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Hermite Integrals PDF
Hermite Integrals PDF
MICHAEL ANSHELEVICH
RA BSTRACT
2
. Not every nice function has an integral given by a formula. The standard example is
e−x /2 dx which is not an “elementary” function. On the other hand,
Z
2 2
xe−x /2 dx = −ex /2 .
2 2
What about x2 e−x /2 dx? Is this a calculus integral? What about x3 e−x /2 dx? In this talk, I will
R R
give a complete answer to this question. The answer involves Hermite polynomials. The arguments
do not use anything beyond calculus, but connect to a number of more advanced topics.
1. T HE PROBLEM
Every calculus textbook (for example Stewart, page 493) points out that not every integral can be
“done”, that is, can be expressed in terms of the usual (“elementary”) functions. A standard example
is Z
2
e−x /2 dx,
which cannot be computed by calculus methods, no matter how clever you are, despite its impor-
tance in probability and statistics (this is the famous Bell Curve). On the other hand, the integral
Z
2
xe−x /2 dx
is easy: substitution
u = x2 /2, du = x dx
shows that it equals Z
2 /2
e−u du = −e−u + C = −e−x + C.
What about Z
2 /2
x2 e−x dx?
I claim that it is not elementary. But note that
d −x2 /2
2
−xe = (x2 − 1)e−x /2 ,
dx
so Z
2 2
(x2 − 1)e−x /2 dx = −xe−x /2 + C.
Also Z
2 /2 2 /2
x3 e−x dx = −(x2 + 2)e−x + C.
n
e = (−1)n Hn (x)e−x /2 .
dx
Example 1. For example,
H0 (x) = 1,
d −x2 /2 2
e = −xe−x /2
dx
so
H1 (x) = x,
2
d −x2 /2 2 2
2
e = −e−x /2 + x2 e−x /2
dx
so
H2 (x) = x2 − 1,
d3 −x2 /2 2
3
e = (x + 2x − x3 )e−x /2
dx
so
H3 (x) = x3 − 3x
etc.
Let us compute the derivative of a Hermite polynomial times the exponential function.
n n+1
d −x2 /2
d n d −x2 /2 n d 2 2
Hn (x) e = (−1) n
e = (−1) n+1
e−x /2 = −Hn+1 (x) e−x /2 !
dx dx dx dx
In other words, we proved
3
Lemma 1. Z
2 /2 2 /2
Hn+1 (x) e−x dx = −Hn (x) e−x + C.
Well, Z
2 /2
e−x dx
cannot be done (so says Stewart, so it must be true). We know how to do
Z
2
xe−x /2 dx.
and in general
xn = Hn (x) + an−1 Hn−1 (x) + an−2 Hn−2 (x) + . . . + a1 H1 (x) + a0 H0 (x).
And we know Z
2 /2 2 /2
Hk (x) e−x dx = −Hk−1 (x)e−x + C.
How to find a0 ?
In Linear Algebra: {H0 , H1 , H2 , H3 , . . .} form an orthogonal basis. It is not orthonormal:
Z ∞
2 √
hH0 , H0 i = e−x /2 dx = 2π.
−∞
So Z ∞
hxn , H0 i 1 2
a0 = =√ xn e−x /2 dx.
hH0 , H0 i 2π −∞
Note this is a number, not a function. We do not know this number. But:
2 /2
If n is odd, xn e−x is an odd function, so that
Z ∞
1 2
a0 = √ xn e−x /2 dx = 0
2π −∞
so can integrate.
2 /2
If n is even, xn e−x > 0 is a positive function, so that
Z ∞
1 2
a0 = √ xn e−x /2 dx > 0
2π −∞
and we cannot integrate.
2 /2
Theorem 2. We can integrate xn e−x if n is odd, and cannot integrate it if n is even.
2 /2
More generally, we can integrate P (x)e−x if and only if Pn (x) is a linear combination of
{H1 , H2 , . . .} (excluding H0 ).
We also discussed that the moments of the Gaussian distribution are zero for odd n and
Z ∞
1 2
√ x2n e−x dx = (2n − 1)!! = (2n − 1) · (2n − 3) . . . 5 · 3 · 1.
2π −∞
R EFERENCE :
Persi Diaconis and Sandy Zabell, C LOSED FORM SUMMATION FOR CLASSICAL DISTRIBUTIONS :
VARIATIONS ON A THEME OF DE M OIVRE , Statistical Science 6 n. 3 (Aug. 1991) 284–302.
5
3.1. Solution of Exercise 1. For the first part: look at the generating function
∞
X 1
F (x, z) = Hn (x)z n .
n=0
n!
1 (n)
f (a)bn
P
Using Taylor series n!
= f (a + b),
∞ ∞
X 1 X 1 2 dn 2
F (x, z) = n
Hn (x)z = (−1)n ex /2 n e−x /2 z n
n=0
n! n=0
n! dx
∞
2 /2
X 1 dn −x2 /2
= ex n
e (−z)n
n=0
n! dx
2 /2 2 /2 2 /2
= ex e−(x−z) = exz−z .
We showed
Lemma 3 (Generating function).
∞
X 1 2
F (x, z) = Hn (x)z n = exz−z /2 .
n=0
n!
Exercise 2. Use the lemma just above to show that the Hermite polynomials are orthogonal. In
fact, use induction to compute
Z ∞
2
hHn , Hk i = Hn (x)Hk (x) e−x /2 dx.
−∞
6
For the second part of Exercise 1 (other polynomials with Pn0 (x) = nPn (x), look up terms such as
Bernoulli polynomials, Euler polynomials, and Appell polynomials. Try to write out polynomials
{Pn (x)} such that
∞
X 1
Pn (x)z n = exz ef (z)
n=0
n!
for some simple functions f .
Dave asked: what about polynomials with some other relation Pn0 (x) = bn Pn (x), for example
Pn0 = n2 Pn ? Note that the Hermite polynomials are monic, that is, their leading coefficient is
1. For monic polynomials, we can only hope to have Pn0 = nPn (why?) But there is a class of
polynomials satisfying a similar more general property, called the Boas-Buck polynomials (Boas is
Ralph Boas, father of our Harold Boas). This is class is far from completely understood, and in fact
I am interested in it for my research.
So
y 00 − xy 0
..
0 1 0 . 0 0
1 0 2 ...
0 0
0 1 0 . .. . .. . ..
Mn =
. . . . . . . .
.
. . . . n−2
0
0 0 ... 1
0 n − 1
..
0 0 . 0 1 0
8
What are the eigenvalues of Mn ? Expand with respect to the last row:
..
−λ 1 0 . 0 0
1 −λ 2 . . .
0 0
... ... . . .
0 1 −λ
det(Mn+1 − λI) = . .. .. ..
.. . . . n−1 0
...
0
0 1 −λ n
..
0 0 . 0 1 −λ
... ..
−λ 1
0 0 −λ 1
0 . 0
1 −λ 2 . . . 1 −λ 2 . . . 0
0
= −λ 0
... . . . − . . . . . .
1 −λ 0 1 −λ
... ... ... ... ... ... ... ...
n − 1 0
... ...
0 0 1 −λ 0 0 1 n
.. ..
−λ 1 0 . 0
−λ 1 0 . 0
1 −λ 2 . . . ...
0
1 −λ 2 0
= −λ 0
.. . . − n .. . .
1 −λ . . 1 −λ . .
0
... ... ... ... ... ... ... ...
n − 1 n − 2
.. ..
0 0 . 1 −λ 0 0 . 1 −λ
then
x1 < y1 < x2 < y2 < . . . < xn−1 < yn−1 < xn .
Zero of the Hermite polynomials also appear in numerical integration in Numerical Analysis (the
term is Gaussian quadrature).
Exercise 5. Check that for this differential operator to have polynomial eigenfunctions, we for sure
need that p is a polynomial of degree 2, q is a polynomial of degree 1.
One can show that if the polynomial eigenfunctions are orthogonal, then
w0 q(x)
=
w p(x)
(One checks that this is the condition for the operator to be symmetric with respect to the inner
product given by w(x).)
Use partial fractions to find w(x) for different types of q(x) and p(x).