26/11/2019 An Introduction to the Gauge Integral

Abstract. This page gives an introduction to the gauge integral (also known as the Henstock, Kurzweil, or
generalized Riemann integral), and compares it with the Riemann and Lebesgue integrals.

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An Introduction to

The Gauge Integral

also known as
the generalized Riemann integral, the Henstock integral,
the Kurzweil integral, the Henstock-Kurzweil integral,
the HK-integral, the Denjoy-Perron integral, etc.

by Eric Schechter, version of 11 Nov 2009.

Your comments are invited.

Historical and Bibliographical Overview

Integrals and derivatives were already known before Newton and Leibniz. Those two mathematicians are
generally credited with inventing Calculus around 1670 because they developed its Fundamental Theorem -- i.e.,
that areas are essentially the same thing as antiderivatives. Later, Cauchy investigated the integrals of continuous
functions.

Still later, Riemann refined the definition that Cauchy had been using, and investigated the integrals of
discontinuous functions. The Riemann integral is simpler to define than any of the other integrals discussed
below, and it is the "standard" integral that we teach to undergraduate students. Still, it is more complicated than
the antiderivative, and it seems to be beyond the understanding of many undergraduate students.

The theory of the Riemann integral was not fully satisfactory. Many important functions do not have a Riemann
integral -- even after we extend the class of integrable functions slightly by allowing "improper" Riemann
integrals. Moreover, even for integrable functions, it is difficult to prove good convergence theorems using only
the tools ordinarily associated with Riemann integrals. A pointwise, bounded limit of Riemann integrable
functions is not necessarily Riemann integrable. (For instance, since the rationals are enumerable, the
characteristic function of the rationals can be represented as the pointwise limit of a sequence of characteristic
functions of finite sets.)

In 1902, Henri Lebesgue devised a new approach to integration, overcoming many of the defects of the Riemann
integral. Lebesgue's definition is appreciably more complicated, but Lebesgue's techniques yield better
convergence theorems and, for the most part, more integrable functions. The Lebesgue integral has become the
"standard" integral in our graduate courses in analysis.

The Lebesgue integral is strictly more general than the proper Riemann integral -- i.e., it can integrate a wider
class of functions. However, in comparing the improper Riemann integral with the Lebesgue integral, we find
that neither is strictly more general than the other. Examples will be given later in this article.

Neither the improper Riemann integral nor the Lebesgue integral yielded a fully satisfactory construction of
antiderivatives. Slightly more satisfactory answers -- i.e., more general notions of integral -- were given by

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Arnaud Denjoy (1912) and Oskar Perron (1914). Denjoy's and Perron's definitions turned out to be equivalent;
both were very complicated.

Decades later, independently, Ralph Henstock (1955) and Jaroslav Kurzweil (1957) found a much simpler
formulation of the Denjoy-Perron integral. In fact, the Henstock-Kurzweil formulation -- the gauge integral -- is
considerably simpler than the Lebesgue idea, and its definition is only slightly different from the definition of
the Riemann integral. Consequently, interest in this integral has been rising over the last few decades, and some
mathematicians have even advocated that we should teach the gauge integral either alongside or in place of
either the Riemann integral or the Lebesgue integral. I will express my own opinions about that possibility, at the
bottom of this web page. (In January 1997 I circulated a letter advocating the use of the gauge integral. It was
signed by Henstock, Kurzweil, and several other leaders of the gauge integral movement. I distributed it to
several publishers of calculus textbooks. However, it apparently hasn't had any effect.)

Henstock, Kurzweil, and other early researchers in this area were writing in rather specialized and technical
terms for advanced audiences, so their ideas did not spread quickly at first. Here is a partial bibliography:

McLeod's expository book, The Generalized Riemann Integral (1980), was intended largely for teachers
of integration theory.
Mawhin, Introduction à l'analyse 2nd edition (1981). Contains some material on the gauge integral. (I
don't know whether that was also true of the first edition.)
Muldowney, General theory of integration in function spaces, including Wiener and Feynman integration,
1987.
DePree and Swartz, Introduction to Real Analysis, 1988, was intended for advanced undergraduate
students. It includes two chapters of very readable material on the gauge integral.
Lanzhou Lectures on Henstock Integration by Lee Peng-Yee, 1989, a rather clear exposition of research-
level material.
The integrals of Lebesgue, Denjoy, Perron, and Henstock by Russell Gordon, 1994. This book is a
comprehensive introduction to the subject.
Mawhin, Analyse, first edition (1992); 2nd edition (1997).
Bartle's article, "Return to the Riemann integral," in the October 1996 American Mathematical Monthly, is
brief and easy to read; probably it was read widely.
My book, published in October 1996, was intended for beginning graduate students; I hope it is helpful. It
includes a chapter on the gauge integral, plus parts of several other chapters.
A substantial number of articles in Real Analysis Exchange are devoted to new discoveries concerning
various aspects of the gauge integral. These articles make up perhaps 5 or 10 percent of the journal's
content. This is the journal to read, for anyone who wants to do research in this area. Of course, most of
these are research articles, not introductory articles; they will be unreadable to anyone who does not
already know the basics of the subject. -- I might mention in particular that Gordon's article in Real
Analysis Exchange 22 (1) 1996/7, pp. 23-33, gives a historical overview of this subject in much more
detail than the present web page.
Gordon's article in American Mathematical Monthly, February 1998, discusses tagged partitions and
gauges in interesting ways.
Robert G. Bartle and Donald R. Sherbert, Introduction to Real Analysis, Third Edition, Wiley, 2000.
Suitable for advanced undergraduates. Includes a chapter on the gauge integral.
Peng Yee Lee and Rudolf Vyborny, The Integral: An Easy Approach after Kurzweil and Henstock,
Cambridge University Press, 2000. A combined textbook/research monograph, suitable for advanced
undergraduates or beginning graduate students. Very up-to-date -- for instance, it includes Bartle's recent
theorem on negligible variation.
Jaroslav Kurzweil, Henstock-Kurzweil Integration: Its Relation to Topological Vector Spaces. World
Scientific Pub Co., 2000. This book is intended only for advanced specialists in integration theory, not for
a general audience. It investigates topologies on the vector space of all gauge-integrable functions.
Robert Bartle, A Modern Theory of Integration, Graduate Studies in Mathematics, AMS, 2001. Suitable
for advanced undergraduates or beginning graduate students.

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Charles Swartz, Introduction to Gauge Integrals, World Scientific Pub Co., 2001. Suitable for advanced
undergraduates.

The Definition
To put the gauge integral into proper perspective, we should first review the definition of the Riemann integral.
For the moment, we consider only the proper Riemann integral; improper integrals will be discussed later. There
are several different equivalent ways to define the Riemann integral; among them, this one is best suited for our
present purposes:

Now a very slight modification yields the definition of the gauge integral. Again, there are several different,
equivalent ways to define the gauge integral; we shall give only the formulation which emphasizes the similarity
between the Riemann and gauge integrals.

    en
español

The only change is in the use of delta. Instead of a positive constant, delta must be a positive-valued function.
The function delta is called a gauge. It doesn't have to be continuous, or measurable, or anything else; it just has
to take strictly positive values. Also note that

This little change in the definition has enormous consequences in the applications.

The collection of numbers n, si, ti is called a tagged division (or a tagged partition); the numbers si are called
the tags. The tagged division is called δ-fine if it satisfies the condition ti-ti-1 < δ(si) for all i. Some of the books
and papers on this subject use a slightly different condition, e.g., that si-δ(si) < ti-1 < ti < si+δ(si). This affects the
development of the theory only superficially -- e.g., in some places we need to replace an ε with either 2ε or ε/2.

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Cousin's Lemma states that for any gauge δ, there exists at least one δ-fine tagged division. Cousin's Lemma is
not obvious; that is admittedly a drawback in the gauge theory. The proof of Cousin's Lemma uses the fact that
the real number system has the Least Upper Bound property.

There are several slightly different ways to prove Cousin's Lemma; here is a sketch of one of the proofs. Let S={x∈[a,b] : there exists a δ-
fine tagged division on [a,x]}. Then S is nonempty, since a∈S. Also, S is bounded above by b. By the Least Upper Bound Property, the set
S has a supremum, or least upper bound; let us denote that number by σ. Then σ∈[a,b]. If σ < b, use the fact that δ(σ) > 0 to arrive at a
contradiction. If σ = b, use the fact that δ(b) > 0 to prove that the supremum is actually a maximum -- i.e., that b is a member of S.

The set of all gauge-integrable functions from [a,b] to R is a vector space -- i.e., any constant multiple of such a
function or any sum of two such functions is another such function. That vector space is often known as the
Denjoy space, because of some work Denjoy did in studying it.

We have only considered the simplest possible versions of the definitions, but we remark that some
generalizations are possible.

With slightly more complicated definitions, we could allow plus and minus infinity as possible values for
the integrals. (Just equip the extended real line with its usual convergence structure, and use convergences
instead of epsilons. This variant is used in the appendix to Anatole Beck's book, Continuous Flows in the
Plane.)
Or, instead of working with real-valued functions f, we could work with functions f taking values in any
Banach space X; most of the main properties generalize easily to this setting. (See my book, for instance.)
We could also replace [a,b] with other domains, but that is harder; it is discussed below.
Henstock and Kurzweil have also considered replacing the expression f(si)(ti –ti–1) with a more general
expression g(si, [ti–1,ti]), where g is a function of a real variable and an interval variable; but the results in
that case are more complicated and will not be considered here.

Simplicity and Concreteness of the Definitions

The gauge integral is far simpler to define than the Lebesgue integral -- it does not need to be preceded by
explanations of sigma-algebras and measures. Its simplicity stems from the fact that it makes good use of the
special properties of the interval [a,b], properties that are not shared by all measure spaces. The basic proofs in
the gauge theory are very concrete and intuitive; we can give particular examples of the functions delta. A
simple example is given in the next section of this article.

However, the fact that we're using properties of intervals means that the gauge integral does not generalize
readily to settings other than intervals. It can be generalized to functions defined on the whole real line, or to
functions defined on finite-dimensional spaces, but its definition and theory then become slightly more
complicated. It apparently can also be generalized to infinite dimensional spaces, and more abstract setttings, but
I'm not very familiar with this theory, and I believe it's a lot more complicated. Some of Henstock's writing deals
with this theory. I believe that Muldowney's book gives a more elementary treatment of this theory, but I have to
confess that I'm not very familiar with the theory or with his book.

Contrast that with the Lebesgue approach, which requires far more prerequisite equipment (sigma-algebras,
measures, measurable sets, measurable functions) but then generalizes without any difficulty at all to settings
entirely unrelated to intervals. Thus, the Lebesgue approach may be preferable if one wants to study stochastic
processes such as Brownian motion. (Brownian motion can be explained in terms of Wiener measure, a measure
on an infinite-dimensional space of continuous functions.)

Here is an example of the concreteness of the gauge integral: Any introductory course on measure and
integration should include a construction of Lebesgue measure, but how should that be done? The usual
constructions are rather complicated and abstract; they have little to do with the uses of Lebesgue measure. But
it is easy to define the gauge integral, and after we've defined it we can proceed this way: Define

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where 1S is the characteristic function of the set S. Then the Lebesgue measurable subsets of [a,b] are those sets
S for which this gauge integral exists, and mu gives the Lebesgue measure of such a set. This definition is
extremely simple and intuitive. Of course, one still has to do a fair amount of work to prove that the Lebesgue
measurable sets form a sigma-algebra and the Lebesgue measure is countably additive on those sets.

A Simple Example

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Generality: Existence of Integrals

In this discussion we consider only integrals of functions from [a,b] to R. The following Venn diagram indicates
the relations between the most basic kinds of integrals. For instance, every Lebesgue integrable function is also
gauge integrable. In other words, L1[a,b] is a subset of the Denjoy space.

As indicated by the Venn diagram above, not every Lebesgue integral can be viewed as a Riemann integral, or
even as an improper Riemann integral. For a simple example, consider the characteristic function of the
rationals.
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As indicated by the Venn diagram above, not every improper Riemann integral is a Lebesgue integral. For an
example, let f(t) = t2 cos(1/t2) with f(0)=0. Then 01|f '(t)|dt is infinite, and the Lebesgue integral 01f '(t)dt does
not exist, but the improper Riemann integral 0Tf '(t)dt exists (for any T) and equals f(T).

The examples above are typical. If g(t) is any gauge integrable function on [a,b], then g(t) is Lebesgue
measurable. Hence the Lebesgue integral ab|g(t)|dt exists, if we permit infinity as a possible value. The
Lebesgue integral abg(t)dt exists (with its usual definition) if and only if ab|g(t)|dt is finite. For any
nonnegative function, the Lebesgue and gauge integrals are the same.

This analogy may be helpful: The gauge integrable functions are like convergent series; then the Lebesgue
integrable functions are like absolutely convergent series. The absolutely convergent series are easier to work
with, and yield a tidier theory. The convergent series are more general, but only occasionally do we need to work
with a series that is conditionally convergent.

Rapidly oscillating functions such as the derivative of t2 cos(1/t2) are the only ones added to our collection of
integrable functions when we switch from the Lebesgue integral to the gauge integral. These functions are more
often used for pathological counterexamples than for positive applications. Thus the greater generality of the
gauge theory does not make it much more applicable. (A possible exception is in the theory of differential
equations; there seem to be some important new applications there.) For the most part, the big advantage of the
gauge integral is the new insight that it yields into the Lebesgue integral.

Here is another drawback to the gauge theory: The Lebesgue theory yields the Banach space L1[a,b] of all
Lebesgue-integrable functions. It's a very nice space, with a nice metric and nice convergence theorems. The
gauge theory yields a slightly larger vector space, which we might call G[a,b]. But the metric and the
convergence theorems for this space are much less nice. That's not surprising: this space contains not only the
nice functions of L1[a,b], but also some additional functions that are rather nasty. If we don't really need to work
with those nasty functions, we might prefer to stick to the setting of L1[a,b], which has nicer worktools (i.e., the
metric, the convergence theorems, etc.).

Fundamental Theorems
The gauge integral simplifies and strengthens the Fundamental Theorems of Calculus:

First Fundamental Theorem of Calculus (derivatives of integrals). Let f be a real-valued,

gauge integrable function on [a,b], and let F(t) = atf(s)ds. Then:

(a)
the derivative F '(t) exists and equals f(t), for almost every t in [a,b].

(b)
the derivative F '(t) exists and equals f(t), at each t where f is continuous.

Result (a), or one like it, is what we teach our graduate students, under the stronger assumption that f is
Lebesgue integrable. Result (b), or one like it, is what we teach our undergraduates -- usually under the
assumption that f is continuous throughout all of [a,b], but that stronger assumption is not really needed.

Second Fundamental Theorem of Calculus (integrals of derivatives). Let F be a real-valued,

differentiable function on [a,b]. Then the gauge integral ab F '(t)dt exists and equals F(b)–F(a).

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We teach our undergraduates a theorem like this, but it usually has the additional hypothesis that the Riemann
integral ab F '(t)dt exists. That is a conclusion, rather than a hypothesis, if we use the gauge integral.

Actually, the hypotheses can be made even weaker: We can allow F to be nondifferentiable at countably many
points. More precisely: Assume F is continuous, and that G is some function defined at every point of [a,b], and
that F'(t) exists and equals G(t) for all but at most countably many values of t. Then the gauge integral ab G(t)dt
exists and equals F(b)–F(a).

Improper Integrals
The proper Riemann integral was not adequate for some elementary purposes, so we extended it to an improper
Riemann integral. For instance, in our undergraduate courses,

But for the gauge integral, such an extension is not needed; that is the content of

Thus, any "improper gauge integral" also exists as a proper one.

(Clarification: The function f must be defined at every point of [a,b]. In the case of f(t)=1/√t on the interval
(0,1], we also assign some value to f(0). What value we assign doesn't really matter, just so long as f(0) is some
particular number.)

Convergence Theorems
The theorem we usually teach to our undergraduates is this one:

Suppose (fn) is a sequence of Riemann integrable functions on [a,b], converging uniformly to a

limit f. Then f and |fn–f| are Riemann integrable, and as
well.

But uniform convergence is a very strong assumption, so we usually teach our graduate students a result like
this:

Dominated Convergence Theorem. Suppose (fn) is a sequence of gauge integrable functions,

converging pointwise to a limit f. Also suppose that e(t)  <  fn(t)  <  g(t) for all n and t, where e
and g are some gauge-integrable functions. Then f and |fn–f| are gauge integrable, and
as well.

We usually teach this to our graduate students under the additional assumption that the functions e and g are
Lebesgue integrable; then the other functions are Lebesgue integrable too. However, the version of the theorem
presented above can be stated (without proof) in undergraduate courses -- perhaps even in a freshman calculus
course.

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There are other convergence theorems for gauge integrals, involving hypotheses weaker than the domination
condition e(t)  <  fn(t)  <  g(t), but those theorems are generally much more complicated. Research is still being
done in that area.

The role of the gauge integral in teaching analysis

The gauge integral is simple to define, and very concrete. Hence it offers an improved intuition about
integration; it improves our understanding of the Lebesgue integral.

Here are my opinions (substantially revised 11/16/00). The role of the gauge integral in our teaching must be
viewed in terms of the way that we presently teach analysis. Here in the USA, we usually teach analysis on three
levels:

1. The freshman calculus course, which uses the Riemann integral and omits most proofs.
2. An advanced undergraduate course, typically using a textbook titled "Introduction to Real Analysis" or
something like that. This course generally teaches how to do analysis proofs; it includes proofs of the
results that were stated without proof in calculus.
3. A beginning graduate course, which generally covers the Lebesgue integral.

Now, I think there is not much point in trying to introduce the gauge integral on level (1). Our freshman calculus
students have little or no understanding of proofs; they concentrate on formulas and computations. For instance,
for most of those students, the Second Fundamental Theorem of Calculus is simply the equation
b
a  F '(t)dt = F(b)–F(a); any further clauses about continuity or differentiability or existence of integrals are
unnoticed by most students. We show our calculus students that the characteristic function of the rationals is not
Riemann integrable on (for instance) the interval [0,1], but most of our calculus students have no idea what we
are talking about.

Level (2), on the other hand, would be an excellent place to introduce the gauge integral. The conventional
course at the advanced undergraduate level concentrates on the use of tools such as epsilons and deltas,
convergent sequences, limsups and liminfs, etc. Those are the same tools used in the theory of the gauge
integral. Thus, adding that integral to the course would only involve slight modifications in the course. The book
by DePree and Swartz is particularly well suited for this purpose. Bartle and Sherbert, 3rd edition, is also
applicable to this purpose, though it devotes slightly fewer pages to the gauge integral.

Introducing the gauge integral into level (3), the graduate course, might also be a good idea, but it would involve
greater complication. The graduate course has its share of epsilons and limsups, but its most basic tools are
topologies and sigma-algebras, a very different sort of thinking. The gauge integral does not generalize readily to
abstract settings like abstract sigma-algebras. (It can be generalized to a setting something like that, but it then
loses much of its wonderful simplicity.) In its simplest form, it is more like the Lebesgue integral with respect to
Lebesgue measure, not other measures. Of course, Lebesgue measure is the most important measure. (Perhaps
we should deemphasize the other measures in the first graduate course on integration theory, in order to make
the gauge integral fit into the course more readily. Other measures can be developed in greater detail in a later
course.)

I think that the two theories -- Lebesgue and gauge -- both are valuable, and both deserve to be covered in the
graduate course. I'm not yet sure what is the best way to organize such a course. We can develop one of the two
theories, and then use its results as tools in developing the other theory. This is the approach taken by Gordon's
book (which develops the Lebesgue theory first) and by Bartle's "MTI" book and the Lee/Vyborny book (both of
which develop the gauge theory first).

Some remarks on the lack of pathological examples

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Examples are important, both in teaching and in research. When we study any sort of integral, we prove that
certain classes of functions are integrable, and we give examples. We also state that not all functions are
integrable, and we may perhaps give examples of that too. That may be difficult, but it is important to do so, lest
some students get the impression that all functions are integrable.

Of course, there are some obvious examples -- e.g., if we permit the function to be unbounded or if we permit its
domain to be unbounded. But what about a bounded function on a bounded interval? Within this class of
functions, it is hard to give an example of a function that is not integrable. It was already hard enough with the
Riemann integral -- for that integral we had to use rather bizarre functions, such as the characteristic function of
the rationals. Now, when we turn to the gauge integral or the Lebesgue integral, more functions are integrable,
and so it is even harder to produce examples of non-integrable functions.

Actually, the problem is the same for gauge integrals or Lebesgue integrals. Indeed, when f is a bounded real-
valued function on a bounded interval, then these three conditions are equivalent:

f is gauge integrable;
f is Lebesgue integrable;
f is Lebesgue measurable.

Thus, the problem of giving examples of nonintegrable functions is not really a new one. But perhaps we are
putting that problem in a new context: We have suggested teaching the gauge integral to undergraduate students,
but it will be difficult to explain to undergraduates that it is not true that

"every bounded function on a bounded interval is gauge integrable."

Indeed, there do exist functions which contradict that conjecture, but it is extremely difficult to exhibit such a
function.

Every introductory textbook on Lebesgue integrals includes a short proof (due to Vitali) of the existence of a
nonmeasurable set; the characteristic function of that set is then a nonmeasurable function. But that proof, like
every known proof of that theorem, is nonconstructive -- it uses the Axiom of Choice to prove the existence of
the nonmeasurable function without actually "finding" the function or describing it explicitly. Vitali's proof is
one of the most elementary uses of the Axiom of Choice, and perhaps it makes a good introduction to the Axiom
of Choice; it could be included in an appendix in a book intended for some advanced undergraduate students.
But I think this is conceptually way beyond the grasp of freshman calculus students. All we can do is tell these
students: "Yes, there does exist a non-integrable, bounded function on a bounded interval, but describing it to
you would require a great deal of higher math, far beyond the scope of this freshman calculus course."

You might notice that, in the last paragraph, I said that every known proof requires the Axiom of Choice. Is it
possible that we may someday find another proof that is constructive? i.e., that we may find an explicit example
of an unmeasurable function? Probably not. This is not just a personal opinion -- it has some supporting
evidence, though the evidence is rather technical. Solovay proved in 1970 that the nonexistence of a
nonmeasurable function is consistent with ZF set theory (i.e., conventional set theory minus the Axiom of
Choice), provided that there exists an inaccessible cardinal. The existence of an inaccessible cardinal is
empirically consistent with conventional set theory -- i.e., after many decades, no one has yet found a
contradiction, so Solovay's model seems to be reliable. If you're interested, these topics are discussed a little
more in my book, and more references are given there. -- My, we certainly seem to have gotten into some deep
math, while discussing what to teach to freshmen!

Some Open Research Problems

I'm not a leading researcher in this area, but I have corresponded with several of the leaders. I asked them what
are some of the main problems still being researched. Here are some of their responses:

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Give a descriptive definition of the Riemann integral. Saks mentioned in his book that you can approach
an integral descriptively (like Newton -- e.g., the integral is some sort of antiderivative) or constructively
(like Riemann -- e.g., the integral is some sort of limit of approximating sums). Many results we have
proved for the gauge integral are not applicable to the Riemann integral, and the above-mentioned
question is one of them.

Lee Peng-Yee has given a Riemann-type definition of the Ito integral using the Henstock method. It
definitely includes the Ito integral but Lee Peng-Yee has not yet been able to determine whether it also
includes anything else -- i.e., is it equivalent to the Ito integral, or is it more general?

Is there a natural topology for the Denjoy space? The sup norm gives us a natural topology on C[0,1], and
the norm || · ||1 gives us a natural topology for L1[0,1]. Is there a topology that is somehow natural for the
Denjoy space (i.e., the space of all gauge-integrable functions)? We do know many convergence theorems
for the gauge integral, as mentioned earlier on this web page, but so far they have not provided a good
answer to this question about topologies. Several topologies for the Denjoy space have been proposed in
the literature, but none of them seems to have quite enough properties for us to call it a "natural" topology.
Some properties that would be pleasant would be: metrizable; complete or barrelled or ultrabarreled;
locally convex; and corresponding in some natural way to some of the best known convergence theorems
about gauge integrals. We may be able to get some of those properties, but apparently not all of them; that
is made evident by discoveries in Kurzweil's recent book on this subject.

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