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Fouriour series engineering mechanics

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Orthogonal Functions

Fourier Series

is there a global warming signal?

T(t) = a + bt +

A1 cos(2f1t) + B1 sin(2f1t) +

A2 cos(2f2t) + B2 sin(2f2t) +

A3 cos(2f3t) + B3 sin(2f3t) +

with

f2 = 2 cycles per year

etc

cos{2f1(t-t0)}

cos{2f1(t-t0)}

But remember cos(a+b)=cos(a)cos(b)-sin(a)sin(b)

cos{2f1(t-t0)} =

cos(2f1t0) cos(2f1t)

sin(2f1t0) sin(2f1t) =

A cos(2f1t) + B sin(2f1t)

cos{2f1(t-t0)} =

cos(2f1t0) cos(2f1t)

sin(2f1t0) sin(2f1t) =

A cos(2f1t) + B sin(2f1t)

So using both sines and cosines moves the delay, t0, out of

the cosine, and into the coefficients of the sines and

cosines. This trick linearizes the unknown, t0.

f1 = 1 cycle per year

f2 = 2 cycles per year

etc

Allows us to represent non-sinusoidal

shape of annual cycle.

cos(ft)

0.3cos(2ft)

sum: cos(ft)+0.3cos(2ft)

exactly periodic,

but shape not

exactly sinusoidal

data

fit

constant term, a

error of fit, e

linear term, bt

b = 0.31 degrees F per decade

d = [ eTe / N ]1/2 = 7 deg F

Cm = d2 [GTG]-1

b = [ d2 Cmb,b ]1/2 = 0.05 degrees F per decade

95% confidence

b = 0.310.1 degrees F per decade

So LGA is warming

orthogonal functions

T(t) = A0 +

A1 cos(2f1t) + B1 sin(2f1t) +

A2 cos(2f2t) + B2 sin(2f2t) +

a Fourier

Seriest) +

A3 cos(2f3t)Called

+B

sin(2f

3

3

with f2=2f1, f3=3f1, etc

1 cos(2f1t1) sin(2f1t1) cos(2f2t1) sin(2f2t1)

1 cos(2f1t2) sin(2f1t2) cos(2f2t2) sin(2f2t2)

G=

1 cos(2f1t4) sin(2f1t4) cos(2f2t4) sin(2f2t4)

1 cos(2f1t5) sin(2f1t5) cos(2f2t5) sin(2f2t5)

1 cos(2f1t6) sin(2f1t6) cos(2f2t6) sin(2f2t6)

the matrix GTG is diagonal

dot product of any pair of columns

of G is zero

columns of G are orthogonal

Suppose the time-series is N data points long, with

spacing t.

Then the lowest frequency must be f1 = 1 / (Nt)

one oscillation over the length of the time-series

And the highest frequency must be fN/2 = 1 / (2t)

one-half oscillation per sampling interval

f1 = 1 / (2Nt)

f1 = 1 / (2t)

Count of unknowns

The constant term, one unknown

plus

2 coefficients per frequency, N/2 frequencies so N unknowns

minus

One unknown since the fN/2 term, which has no sine term

equals

N unknowns, same as number of data

MatLab Code

N = 100;

dt = 0.5;

tmin = 0.0;

t = tmin + dt*[0:N-1]';

tmax = tmin + dt*(N-1);

% times vector

df = 1/(N*dt);

M = N;

% frequency spacing

% number of unknowns same as data

G = zeros(N,M);

G(:,1)=ones(N,1);

for p = 2*[1:M/2-1]

G(:,p) = cos(pi*p*df*t);

G(:,p+1) = sin(pi*p*df*t);

end

p=M/2;

G(:,M) = cos(2*pi*p*df*t);

Off diagonal elements are zero

So least-squares solution is

m = [GTG]-1 GTd =

= diag( N-1, 2/N, 2/N, N-1 ) GT d

NO matrix inversion required!

data, d

d=Gm with

m=[GTG]-1GTd

d=Gm with

m=DGTd

where D=diag( N-1, 2/N, 2/N, N-1 )

spectrum

amount of power at different

frequencies

si2 = Ai2 + Bi2

s i2

time-series has

a lot of

energy at

frequency fp

fi

fp

N=4380

2 mo

3 mo

4 mo

6 mo

12 mo

Big annual

cycle in Neuse

hydrograph

Assume uncorrelated, normally-distributed data, d, with

variance d2

The problem Gm=d is linear, so the unknowns, m, (the

coefficients of the cosines and sines, Ai and Bi) are also

normally-distributed.

Since sines and cosines are orthogonal, GTG is diagonal

and Cm= d2 [GTG]-1 is diagonal, too

So that ms have uncorrelated errors. All but the first and last

have variance m2= 2d2/N.

The spectrum si2=Ai2+Bi2 is the sum of two uncorrelated,

normally distributed random variables and is thus 2distributed.

The 2-distribution has a variance of 4, so that s2= 8d2/N

nothing different in principle

but calculations become easier

But first

Lets switch to angular frequency

measured in radians per second

i = 2 fi

Beats writing all those 2s !

Remember

Eulers formula

exp( it ) = cos( t ) + i sin( t )

?

exp( -it ) = cos( t ) - i sin( t )

cos( t ) = (1/2) [exp( it ) + exp( -it )]

sin( t ) = (1/2i) [exp( it ) - exp( -it )]

=1

Lets compare

=0

with p=p

p= -p

T(t) = A0 cos(0t) + B0 sin(0t) +

A1 cos(1t) + B1 sin(1t) +

A2 cos(2t) + B2 sin(First,

2t) +if T is real, then we must have C-p = Cp*

A3 cos(3t) + B3 sin(Then

exp(-pt) + Cp exp(pt) =

3t) +C-p

with

T(t) = ... +

C-2 exp(-i2t) +

C-1 exp(-1t) +

C0 exp(i0t) +

(Cpr+iCpi) [cos(pt) + i sin(pt)] =

2Cpr cos(pt) - 2Cpi sin(--pt)]

So these two representations are equivalent

T(t) = ... +

C-2 exp(-i2t) +

C-1 exp(-1t) +

C0 exp(i0t) +

C1 exp(i1t) +

C2 exp(i2t) +

C3 exp(i3t) +

T0

T1

T2

T3

T4

exp(-i2t0)

exp(-i2t1)

exp(-i2t2)

exp(-i2t3)

the equation d=Gm

exp(-i1t0)

exp(-i1t1)

exp(-i1t2)

exp(-i1t3)

exp(i0t0)

exp(i0t1)

exp(i0t2)

exp(i0t3)

exp( i1t0)

exp( i1t1)

exp( i1t2)

exp( i1t3)

exp(i2t0)

exp( i2t1)

exp( i2t2)

exp( i2t3)

C-2

C-1

C0

C1

C2

real numbers:

complex nos:

given Gm =d

minimize E=eTe

implies m=[GTG]-1 GT d

The Hermitian

transpose, that is, the

transpose of the

complex conjugate.

given Gm =d

minimize E=eHe

where eH = e*T

implies m=[GHG]-1 GH d

The formula m=[GHG]-1GHd is not hard to work out using the standard

minimization procedure, but we dont have time to work it out in class.

T0

T1

T2

T3

T4

d=Gm

=

exp(-i2t0)

exp(-i2t1)

exp(-i2t2)

exp(-i2t3)

exp(-i1t0)

exp(-i1t1)

exp(-i1t2)

exp(-i1t3)

exp(i0t0) exp(i1t0)

exp(i0t1) exp(i1t1)

exp(i0t2) exp(i1t2)

exp(i0t3) exp(i1t3)

exp(i2t0)

exp(i2t1)

exp(i2t2)

exp(i2t3)

Note T2 i Ci exp(+it2)

C-2

C-1

C0

C1

C2

m=N-1GHm

exp(i2t0) exp(i2t1) exp(i2t2)

exp(i1t0) exp(i1t1) exp(i1t2)

=N-1 exp(i0t0) exp(i0t1) exp(i0t2)

exp(-i1t0) exp(-i1t1) exp(-i1t2)

exp(i2t3) exp(i2t4)

exp(i1t3) exp(i1t4)

exp(i0t3) exp(i0t4)

exp(-i1t3) exp(-i1t4)

Note C2 i Ti exp(-iti)

C-2

C-1

C0

C1

C2

T0

T1

T2

T3

T4

T0

T1

T2

T3

T4

d=Gm

=

exp(-i2t0)

exp(-i2t1)

exp(-i2t2)

exp(-i2t3)

exp(-i1t0)

exp(-i1t1)

exp(-i1t2)

exp(-i1t3)

exp(i0t0) exp(i1t0)

exp(i0t1) exp(i1t1)

exp(i0t2) exp(i1t2)

exp(i0t3) exp(i1t3)

exp(i2t0)

exp(i2t1)

exp(i2t2)

exp(i2t3)

Note T2 i Ci exp(+it2)

C-2

C-1

C0

C1

C2

M=N-1GHm

exp(i2t0) exp(i2t1) exp(i2t2)

exp(i1t0) exp(i1t1) exp(i1t2)

=N-1 exp(i0t0) exp(i0t1) exp(i0t2)

exp(-i1t0) exp(-i1t1) exp(-i1t2)

Opposite

signs

exp(i2t3) exp(i2t4)

exp(i1t3) exp(i1t4)

exp(i0t3) exp(i0t4)

exp(-i1t3) exp(-i1t4)

Note C2 i Ti exp(-iti)

C-2

C-1

C0

C1

C2

T0

T1

T2

T3

T4

Find the coefficients C given the data, T

Note normalization factor of N

Equivalent to m = GHd

-1

Discrete Inverse Fourier Transform

Find the data T given the coefficients, C

Equivalent to d = N-1Gm Note normalization factor of N

-1

Warnings: 1) no one can agree on signs

2) no one can agree on normalizations

Counting unknowns

frequencies from (N/2) to (N/2)in steps of

So N+1 complex numbers, Cp

So 2N+2 real and imaginary parts, C pr and Cpi

But C-p = Cp*, so really only N/2+1 unknown complex

numbers

So N+2 real and imaginary parts , Cpr and Cpi (p0)

But C0i=0 and CN/2i=0 (always)

So N unknowns, matching N data

% transform is VERY INFLEXIBLE. Learn these rules:

N=256;

% you can choose the length N of the time series

% in some implementations N can be any positive

% integer, but in others it MUST be a

% power-or-two. I set it here to 256, which

% is two-to-the-eigth-power.

dt=1.0;

% and you can choose the sampling interval dt

% but then the following variables are set

tmax=dt*(N-1); % we presume the time series starts at t=0, so

% the maximum time is tmax

t=dt*[0:N-1];

% time then goes from 0 to (N-1)*dt

fmax=1/(2.0*dt);

% the maximum frequency in the fft calculation is

% called the Nyquist frequency. It is

% determined by the two-points-per wavelength

% rule

df=fmax/(N/2); % the frequency spacing, df, assumes that a N-point

% time series is reperesented by an N-point fourier

% transform

f=df*[0:N/2,-N/2+1:-1]'; % The fourier transform has N values, from a negative

% frequency of -(fmax-df) through zero freqency, to

% positive frequency of fmax. But note the weird order. The

% zero and positive frequencies are put in the first

% half of the array and the negative frequencies are

% put in the second half.

w0 = 2*pi*fmax/10; % sample p, a simple sinusoid of frequency w0

p = sin(w0*t);

% fourier transform using MatLab's fft function. The help function

% says that it uses the NEGATIVE sign in the exponential.

pt=fft(p); % these are the coefficients, C, of the complex exponential

% presumably one would do something with the fourier transform

% at this point - apply a filter, for example. But I do nothing.

% Inverse fourier transform using the Matlab function ifft.

% Help says it uses the POSITIVE sign in the exponential, and that

% it has the right normalization that ifft(fft(x))=x. But

% BE WARNED, that doesn't mean that the normalization on fft

% is 1 and that the normalization on ifft is (1/N), like

% I had it in class. You can put any constant, b, in front

% of the fft integral, as long as you put 1/b in front of

% the IFFT integral. But judging by the Help, I think that

% Matlab used b=1.

pr=ifft(pt); % this reconstructs the function from the coefficients

The Fourier Transform equation

m = [GTG]-1GTd = diag(N-1,2/N, 2/N,N-1) GT d

has N multiplications for each of N unknowns,

So N2 in total. For example, for N=1024, N2=1,048,576

But in the special case of N being a power of two,

there is an algorithm the fast fourier transform

algorithm - that can compute m in only Nlog2N

multiplications

For example, N=1024, Nlog2N=10,240

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