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Applications

Feng

c Liu, 2007

Department of Mechanical and Aerospace Engineering

University of California, Irvine, CA 92697-3975

Let fT (t) be a function over [−T, T ] that satisfies the following Dirichlet conditions

2. there are only a finite number of extrema.

∞

a0 X

fT (t) = + (an cos ωn t + bn sin ωn t) (1)

2 n=1

where

π

ωn = n (2)

T

is the angular frequency of the n-th harmonic and

π

∆ω = (3)

T

is the base angular frequency. The Fourier coefficients are given by the following integrals.

1 T

Z

an = fT (t) cos ωn tdt (4)

T −T

1 T

Z

bn = fT (t) sin ωn tdt (5)

T −T

n = 0, 1, 2, . . .

1

Equation (1) may be written as

∞

X

fT (t) = A0 + |An | cos ( ωn t − φn ) (6)

|{z} |{z} |{z} |{z}

mean value n=1 amplitude frequency phase

where

a0

A0 = (7)

2

p

|An | = a2n + b2n (8)

bn

φn = tan−1 (9)

an

If we write An as a complex number

it will then contain both the amplitude and phase information of the Fourier component of

f (t) of the angular frequency ωn . We have constructed a one-to-one mapping between a

function f (t) in the ‘time’ domain and a discrete function (an infinite sequence) in the

‘Frequency’ domain, i.e., {(ωn , An ) : n = 0, 1, 2, . . .}. The Fourier-series theorem

guarrantees that the two are equivalent (except at points of discontinuity). In other words,

we can represent a time-domain function (periodic with a finite period) in terms of its

(discrete) frequency spectrum.

Notice in the above we may replace the time variable t by the spatial variable x to

study a spatial function. In that case, we can then replace the angular frequency ω by the

wave number κ and the half period T by the half wave length λ.

The Fourier series in the form of Eqn. (1) may be regarded as an expansion of f (t) in terms

of the orthogonal basis vectors {1, cos ω1 t, sin ω1 t, cos ω2 t, sin ω2 t, . . .}. These basis vectors

may be converted to the complex-valued basis vectors eωn t by using the Euler identities:

eiωn t + e−iωn t

cos ωn t = (11)

2

eiωn t − e−iωn t

sin ωn t = (12)

2i

2

Substituting them into Eq. (1), we get

∞

a0 X eiωn t + e−iωn t eiωn t − e−iωn t

fT (t) = + [an + bn ]

2 n=1

2 2i

∞

a0 X an − ibn iωn t an + ibn −iωn t

= + [ e + e ]

2 n=1

2 2

∞

X

= F0 + (Fn eiωn t + F−n e−iωn t )

n=1

where

Z T

a0 1

F0 = = fT (t)dt

2 2T −T

Z T

an − ibn 1

Fn = = fT (t)e−iωn t dt

2 2T −T

Z T

an + ibn 1

F−n = = fT (t)eiωn t dt

2 2T −T

The above equations may be combined to yeild two simple equations as the alternative

Fourier Series expansion formulas for fT (t).

∞

X

fT (t) = Fn eiωn t (13)

n=−∞

Z T

1

Fn = fT (t)e−iωn t dt (14)

2T −T

Equations (13) and (14) may be interpreted and remembered easily by regarding the

summation as an expansion of fT (t) in terms of the complex-valued basis vectors

φ = {. . . e−iωn t , e−iωn−1 t , . . . , e−iω1 t , e0t , eiω1 t , eiω2 t , . . . , eiωn t , . . .}. The inner product of two

complex-valued functions is defined as

Z T

< f (t), g(t) >≡ f (t)g(t)dt (15)

−T

It can be easily shown that the new basis vectors are orthorgonal and k φn k2 = 2T , ie.,

Z T

iωm t ωn t i(ωm −ωn )t 2T m = n

<e , e >= e dt = (16)

−T 0 m 6= n

The coefficients for the series expansion of Eqn. (13) are then

Fn =

k eiωn t k2

3

which readily reduces to Eqn. (14).

Unlike the real-valued Fourier series expansion defined by Eqns. (1-5), Equations (13)

and (14) work also for complex-valued functions fT (t). The coefficients Fn are in general

complex numbers, which can be written as

Like An , |Fn | and φn contain the amplitude and phase information, respectively, of the

frequency ωn , except now each frequency component is split into a positive and a negative

part. For a real function fT (t): F−n = F¯n .

The above expansion is performed for a function fT (t) defined over [−T, T ]. The expansion

is also valid outside the interval [−T, T ] provided fT (t) is extended beyond [−T, T ] as a

periodic function with the period 2T . For a non-periodic function f (t) in the infinite

domain −∞ < t < +∞, we can take a window [−T, T ] and view f (t) within this window as

fT (t). We can then expand fT (t) in terms of its Fourier series within [−T, T ] and consider

the limit as T → ∞, i.e.,

+∞ Z T

X 1 −iωn τ

f (t) = lim fT (t) = lim fT (τ )e dτ eiωn t

T →∞ T →∞

n=−∞

2T −T

+∞

∆ω T

X Z

−iωn τ

= lim fT (τ )e dτ eiωn t

T →∞

n=−∞

2π −T

If we define a function of ω Z T

FT (ω) = fT (t)e−iωt dt (18)

−T

and let ω take the uniformly distributed values ωn = n∆ω along the ω axis as n runs from

−∞ to ∞, we may then write the Fourier series expansion as

∞

1 X

f (t) = lim FT (ωn )eiωn t ∆ω

2π T →∞ n=−∞

Notice that as T → ∞, ∆ω = Tπ → 0, and the summation in the above equation yields the

original definition of the Riemann integral of FT (ω)eiωt in ω. Thus, we have the exact

integral Z ∞

1

f (t) = F (ω)eiωt dω (19)

2π −∞

where from Eqn. (18) the function F (ω) is

Z ∞

F (ω) = f (t)e−iωt dt (20)

−∞

4

We define it as the Fourier transform of the function f (t) in the time domain and denote it

as Z ∞

F (ω) = F{f (t)} ≡ f (t)e−iωt dt (21)

−∞

For the function F (ω) in the Frequency domain, we define the inverse Fourier transform

Z ∞

−1 1

F {F (ω)} ≡ F (ω)eiωt dω (22)

2π −∞

Eqn. (19) states that f (t) is equal to the inverse transform of F (w). However, Eqn. (19) is

only derived by formally taking T to ∞. A rigorous proof of the convergence of the Fourier

integrals is needed but skipped here. Insteady, we simply state the following

Fourier Integral Theorem:

If f (t) satisfies in (−∞, ∞)

R∞

2. −∞ | f (t) | dt < +∞ (absolute integrable),

Z ∞

F{f (t)} ≡ F (ω) = f (t)e−iωt dt (23)

−∞

and ∞

f (t + 0) + f (t − 0)

Z

−1 1

F {F (ω)} ≡ F (ω)eiωt dω = (24)

2π −∞ 2

F1 (ω) = F{f1 (t)} and F2 (ω) = F{f2 (t)}. We have

1. Linearity

The Fourier transform operator F and its inverse F −1 are both linear, i.e.,

F{αf1 (t) + βf2 (t)} = αF{F1 (t)} + βF{F2 (t)} (25)

and

F −1 {αF1 (ω) + βF2 (ω)} = αF −1 {F1 (ω)} + βF −1 {F2 (ω)} (26)

2. Translation Property

F −1 {F (ω ∓ ω0 )} = f (t)e±iω0 t

5

3. Differentiation

0

F{f (t)} = iωF{f (t)}

00

F{f (t)} = (iω)2 F{f (t)} = −ω 2 F{f (t)}

F{f (n) (t)} = (iω)n F{f (t)}

Z ∞

0

lim f (t) = 0 (from |f (t)|dt < +∞)

t→±∞ −∞

4. Integration

Z t

1

F{ f (t)dt} = F{f (t)}

−∞ iω

(27)

5. Product

Z ∞ Z ∞

1

f1 (t)f2 (t)dt = F1 (ω)F2 (ω)dω

−∞ 2π −∞

6. Energy integral

Let F(ω) = F {f (t)}, then Parseval Equality:

Z ∞ Z ∞

2 1

|f (t)| dt = |F (ω)|2 dω

−∞ 2π

Z−∞

∞

1

= S(ω)dω

2π −∞

(28)

where

S(ω) = |F (ω)|2

is called the energy spectrum/energy density function of f (t).

7. Convolution

The convolution of f1 (t) and f2 (t) is defined as

Z ∞

f1 (t) ∗ f2 (t) ≡ f1 (t)f2 (t − τ )dτ (29)

−∞

Then,

F{f1 (t) ∗ f2 (t)} = F1 (ω)F2 (ω) (30)

Similarly, we have

1

F{f1 (t)f2 (t)} = F1 (ω) ∗ F2 (ω) (31)

2π

6

2 Application of Fourier Transform to PDE

∂u ∂u

+c = 0, −∞ < x < +∞, t > 0

∂t ∂x

u(x, 0) = f (x)

Performing the Fourier transform on both the PDE and the initial condition, we reduce the

PDE into an ODE

dU

− iωcU = 0

dt

U (ω, 0) = F{f (x)} = F (ω)

Solution of the ODE gives

u(x, t) = f (x − ct)

∂2u 2

∂t2

= c2 ∂∂xu2 −∞ < x < +∞, t > 0

u(x, 0) = f (x)

ut (x, 0) = g(x)

Again, by performing the Fourier transform in x, we reduce the PDE problem into an ODE

problem. Let

F (ω) = F{f (x)}

G(ω) = G{g(x)}

then, we have

d2 v

= −c2 ω 2 U

dt2

U (ω, 0) = F (ω)

Ut (ω, 0) = G(ω)

7

General solution to the ODE is

where φ(x) and ψ(ω) are two arbitrary functions of ω. Performing the inverse

transformation and making use of the translation theorem, we get the general solution

traveling-wave solution

u(x, t) = φ(x − ct) + ψ(x + ct)

from which we may proceed as before to obtain the D’lambert solution by applying the

initial conditions. Alternatively, we may determined the form of Φ(ω) and φ(ω) by using

the initial conditions on the frequency domain before performing the inverse transforms.

We then have

1 1

Φ(ω) = 1/2[F (ω) − G(ω)]

iω c

1 1

Ψ(ω) = 1/2[F (ω) + G(ω)]

iω c

By using the integration property, we find the inverse transforms of Φ(ω) and Ψ(ω)

1 x

Z

φ(x) = 1/2[f (x) + g(ξ)dξ]

c −∞

1 x

Z

ψ(x) = 1/2[f (x) − g(ξ)dξ]

c −∞

Application of the translation property then yeilds directly the D’Lambert solution

1 x+ct

Z

u(x, t) = 1/2[f (x − ct) + f (x + ct)] + g(ξ)dξ

2c x−ct

Performing Fourier Transform in x for the PDE (32) and the initial condition, we obtain

dU

= ν(iω)2 U = −ω 2 αU

dt

where

U (ω, t) = F{u(x, t)}

U (ω, 0) = F {u(x, 0)} = F {f (x)} = F (ω)

8

Treating ω as a parametes, we obtain the solution to the above ODE problem

2 νt 2 νt

U (ω, t) = U (ω, 0)e−ω = F (ω)e−ω

Application of the convolution theorem yields

2

u(x, t) = f (x) ∗ F −1 {e−ω νt }

1 −x2

= f (x) ∗ √ e 4νt

4πνt

Z ∞

1 (x−ξ)2

= √ f (ξ)e− 4νt dξ

4πνt −∞

Suppose

f (x) = δ(x − x0 )

then

Z ∞

1 (x−ξ)2

G(x, x0 , t) = √ δ(ξ − x0 )e− 4νt dξ

4πνt −∞

1 (x−x0 )2

= √ e− 4νt

4νπt

Then for any arbitrary initial condition f (x), we have

Z ∞

u(x, t) = f (x0 )G(x, x0 , t)dx0

Z−∞

∞

= f (x0 )G(x, ξ, t)dξ

−∞

G(x, ξ, t) is called the Green’s function for the initial value problem defined by (32) and

(33).

The Fourier Transform cannot handle functions that are not absolute integrable, such as

sin t or a constant. To avoid this difficulty, we can multiply the function by an

exponentially decaying function u(t)e−βt , where

0 t<0

u(t) =

1 t≥0

We can choose β > 0 such that f (t)u(t)e−βt is absolute integrable. We may then perform a

Fourier transform on the modified function

Z ∞

−βt

F{f (t)u(t)e } = f (t)u(t)e−βt e−iωt dt

Z−∞∞

= f (t)e−(β+iω) dt

Z0 ∞

= f (t)e−st (34)

0

9

where s = β + iω is a complex variable. Thus, we define the above integral without the

coefficient as the Laplace transform of f (t) for t ≥ 0.

Z ∞

L{f (t)} = F (s) = f (t)e−st dt (35)

0

1) piecewise continuous over any interval in [0, +∞]

2) |f (t)| ≤ M eat for sufficient, large t, where M and a are constants,

then the Laplace transform of f (t) exists for Real(s) > a:

Z ∞

F (s) = L{f (t)} ≡ F (t)e−st dt (36)

0

Z a+i∞

1

f (t) = F (s)e+st ds (37)

2πi a−i∞

The above result follows directly from the Fourier transform theorem. In addition we can

prove that F (s) = L{f (t)} is analytic in the complex domain Real(s) ≥ a1 > a.

Examples:

1) step function

0 t≤0

f (t) = u(t) =

1 t>0

Direct integration yields Z +∞

1

L{u(t)} = u(t)e−st dt =

0 s

Thus, we have the following Laplace transform pair.

1 1

L{u(t)} = , L−1 { } = u(t)

s s

Other common Laplace transform pairs can also be easily obtain by direct integration as

follows. 2) f (t) = tn

n!

L{tn } =

sn+1

n!

L−1 { } = tn .

sn+1

3) sin ωt

ω

L{sin ωt} =

s2 + ω2

ω

L−1 { } = sin ωt

s2 + ω2

10

4) cos ωt

s

L{cos ωt} =

s2 + ω2

s

L−1 { } = cos ωt

s2 + ω 2

5) e−at

1

L{e−at } =

s+a

1

L−1 { } = e−at

s+a

6)

0 t 6= 0

δ(t) = (38)

∞ t=0

L{δ(t)} = 1

L−1 {1} = δ(t)

1. Linearity

For any constants α and β, we have

2. Differentiation

0

L{f (t)} = sF (s) − f (0− )

0

L{f (k) (t)} = sk F (s) − sk−1 f (0− ) − sk−2 f (0− )

3. Integration

Z t

F (s)

L{ f (t)dt} =

s

Z t0

F (s) 1 0

Z

L{ f (t)dt} = + f (t)dt

−∞ s s −∞

4. Translation

A) Let L{f (t)} = F (t) then

L{e−at f (t)} = F (s + a)

11

B)

0 x<a

f (t − a)u(t − a) =

f (t − a) t ≥ a

L{f (t − a)} = e−as F (s)

Examples:

ω

L{e−at sin ωt} =

(s + a)2 + ω 2

s+a

L{e−at cos ωt} =

(s + a)2 + ω 2

n!

L{e−at tn } =

(s + a)n+1

5. Final value theorem:

Z +∞

0

lim{ f (t)e−st dt} = lim{sF (s) − f (0)}

s→0 0 s→0

Z +∞

0

f (t)dt = lim sF (s) − f (0)

0 s→0

s→+∞

Thus,

f (+∞) = lim sF (s)

s→0

The above is true only when the poles of F (s) are all on the left of the imaginery

axis. Simple pole at origin is allowed. No poles on the imaginery axis are allowed.

s→∞

7. Convolution

Define the convolution of f (t) and g(t) as

Z t Z t

f (t) ∗ g(t) ≡ f (τ )g(t − τ )dτ = g(τ )f (t − τ )dτ

0 0

Then, we have

L{f (t) ∗ g(t)} = F (s)G(s)

12

5 Laplace Inverse Transform

Z ∞

−βt 1

f (t)e = F (s)eiωt dω

2π −∞

Z ∞

1

f (t) = F (β + iω)e(β+iω)t dω

2π −∞

Z β+i∞

1

f (t) = F (s)est ds (39)

2πi β−i∞

The above is the Laplace inverse transform formula, it is an integral in the complex

domain. Usually, we can use Residue theorem to find it. For example

√

1 sinh(x s)

W (x, s) = √

s sin h( s)

sinh(ωt) = , sinh(iωt) = = i sin ωt

2 2

eωt + e−ωt eiωt + e−iωt

cosh(ωt) = , cosh(iωt) = = cos ωt

2 2

I

−1 1 X

W (x, t) = L {W (x, s)} = τ W (x, s)est ds = Res{W (x, s)est }

2πi N =1

Res{W (x, s)e } = lim (s − sn )W (x, s) esn t

st

s→sn

Each singularity in W (x, s) gives rise to an esn t term (exponential growth or decay, or

sinusoidal oscillation, depending on the real part of sn .)

13

Table 1: Some Useful Fourier Transforms

R +∞ 1

R +∞ −iωx

f (x) = −∞ F (ω)eiωx dω F (ω) = 2π −∞ f (x)e dx

f n (x) (iω)n F (ω)

f (x ± a) R∞ e±iaω F (ω)

f (x) ∗ g(x) = −∞ f (x̄)g(x − x̄)dx̄ 2πF (ω)G(ω)

2 2 2 2

e−a x √1 e−ω /4a

a 4π

e−a|x| 1 a

π a2 +ω 2

1

sin ω0 x 2 i[δ(ω + ω0 ) − δ(ω − ω0 )]

1

cos ω0 x 2 [δ(ω + ω0 ) + δ(ω − ω0 )]

1

H(x) 2πiω

1

1 s

n!

tn n = 0, 1, 2, · · · sn+1

1

eat s−a s > a

a

sin at s2 +a2 s > 0

s

cos at s2 +a2 s > 0

e−as

H(t − a) s s>0

−as

H(t − a)f (t − a) e F (s)

eat f (t) F (s − a)

Rt

f (t) ∗ g(t) = 0 f (τ )g(t − τ )dτ F (s)G(s)

f n (t) sn F (s) − sn−1 f (0) − · · · − f n−1 (0)

Rt 1

0 f (τ )dτ s F (s)

1 a2 s2

erf (t/2a) s e √erf c(as)

a 1 −a s

erf c( 2√ t

) se

−a2 √

√1 e 4t

πt

e−a/s / s

−1/2 −a2 /4t

p π −a√s

t e √s

e a≥0

√

−3/2 −a2 /4t 2 π −a s

t e a e a>0

14

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