Advanced Mathematics for Computer Engineering
Abdollah Jalilian
Department of Statistics Razi University
Jalilian (Department of Statistics)
Spring 2012
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Course Outline
Fourier analysis
Fourier series Fourier transform
A quick review of basic probability concepts
Probability space and random variables Probability distributions
Stochastic processes
Poisson process Markov chains and Birth and Death process Renewal theory
Queuing theory
Queuing system Queuing models
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Text Book and Evaluation
Text Books:
Kreyszig, Erwin (2011). Advanced Engineering Mathematics, Tenth Edition, Wiley.
Allen, A. O. (1990). Probability, Statistics and Queuing Theory with Computer Scince Applications, Second Edition, Academic Press.
Software: (R & Maple), MATLAB,
Evaluation:
Midterm Exam 40%
Final Exam 50%
Project 10%
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Fourier Analysis
Periodic phenomena mathematical modeling by periodic functions (periodic signals) Fourier analysis : approximating complicated periodic functions with series of simple periodic functions (sines and cosines) Periodic function :
f 
: R → R is a periodic function if for some p > 0 

f (x + p) = f (x) 
∀x 

p 
is called a period of f 
for any n = 1, 2,
., np is also a period of f ; i.e.
f (x + np) = f (x)
∀x
the smallest period of f is called its fundamental period
when f
af (x) + bg (x) has the period p
and g have period p, then for any a, b ∈ R,
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Simple Periodic Functions
Simple periodic functions of period p = 2π:
1, cos(x), sin(x), cos(2x), sin(2x),
, cos(nx), sin(nx),
The fundamental period of these functions?
Theorem
Proof?
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Fourier Series
Let f be a piecewise continuous function of period p = 2π, then
f (x) = a _{0} +
∞
n=1
^{} a _{n} cos(nx) + b _{n} sin(nx) ^{}
where
a _{0} =
a _{n} =
b _{n} =
π
2π
1
1
π
−π
π
f
−π
1
π
π
−π
f
f (x)dx 

(x) cos(nx)dx 
n = 1, 2, 
(x) sin(nx)dx 
n = 1, 2, 
The above series is called the Fourier series of f with Fourier coeﬃcients a _{0} , a _{1} , b _{1} , a _{2} , b _{2} ,
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Fourier Series
Does the Fourier series converges for any x? Is the sum equal to f (x)? Partial sums of the Fourier series of a function
S _{n} (x) = a _{0} +
n
j=1
^{} a _{j} cos(jx) + b _{j} sin(jx) ^{}
n = 1, 2,
Convergence means
a _{0} +
∞
n=1
^{} a _{n} cos(nx) + b _{n} sin(nx) ^{} = lim
_{n}_{→}_{∞} S _{n} (x)
∀x
Theorem
The Fourier series converges if f has a lefthand and a righthand derivative at each point in [−π, π]. Its sum is f (x) except at points x _{0} where f is discontinuous. At x _{0} , the sum of the series is the average of the lefthand and the righthand limits of f at x _{0} .
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Fourier Series
Example: Let k > 0 be a constant and
f (x) =
k 0 < x < π
−k
−π < x <
_{0} f (x + 2π) = f (x)
Find the Fourier coeﬃcients of f ? The sum of the series at discontinuity points of f ?
f
a _{0} = 0
a _{n} = 0,
n = 1, 2,
b _{n} = ^{4}^{k}
_{n}_{π}
0
1, 3, 5,
n = 2, 4, 6,
n
=
(x) = ^{4}^{k} sin(x) + _{3} sin(3x) + _{5} sin(5x) + · · ·
π
1
1
S _{n} (0) = S _{n} (−π) = S _{n} (π) = 0
n = 1, 2,
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Exercises
If f
function of period p/a. Assume f is a function of period 2π. Find the Fourier series of f , where
is a function of period p, show that g (x) = f (ax), a
= 0, is a
f (x)
f (x) = x ^{2}
f (x) =
= x
x
π − x
−π < x < 0 0 < x < π
Write a program (MATLAB codes) to compute the ﬁrst 2n + 1 Fourier coeﬃcients of the given periodic function f . Plot the function f on [−π, π] and partial sums of of its Fourier series for diﬀerent n.
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Fourier Series of General Periodic Functions
Let f (x) be a function of period p and L = p/2. Then
g(x) = f ( _{π} x) is a function of period 2π
the Fourier transform of f is given by
L
∞
n=1
L
f (x) = a _{0} +
^{} a _{n} cos( ^{n}^{π} x) + b _{n} sin( ^{n}^{π} x) ^{}
L
L
with Fourier coeﬃcients
2L −L f (x)dx
1
a _{0} =
a _{n} =
b _{n} =
1
L
1
L
−L f (x) cos( ^{n}^{π} x)dx
L
L
^{} L
−L f (x) sin( ^{n}^{π} nx)dx
L
n = 1, 2,
n = 1, 2,
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Fourier Series of General Periodic Functions
Example: Let k > 0 be a constant and
f (x) =
0
k
0 −2 < x
1 < x < 2
−1 < x < 1
< −1
Find the Fourier coﬃcients of f ?
p = 4, L = 2
a _{0} = ^{k}
2
a _{n} =
b _{n} = 0
2k
_{n}_{π}
2k
− _{n}_{π}
n = 1, 5, 9, n = 3, 7, 11,
0 n = 2, 4, 6,
n = 1, 2,
f (x) = ^{k}
2
_{+} 2k
π
Jalilian (Department of Statistics)
cos( ^{π} x) − ^{1}
_{3}
2
cos( ^{3}^{π} x) + ^{1} _{5} cos( ^{5}^{π} x) + ···
2
2
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Fourier Series of General Periodic Functions
Example: Let E > 0 be a constant and
_{u}_{(}_{t}_{)} _{=} ^{} E sin(ωt)
0
Find the Fourier coﬃcients of u?
0 < t < L
−L < t < _{0}
p = ^{2}^{π} , L = ^{π}
ω
ω
a _{0} = ^{E}
π
a _{n} =
b _{n} =
−
E
2
0
0
2E
(n−1)(n+1)π
n = 1
n = 2, 3, 4,
1, 3, 5,
^{n} ^{=} ^{2}^{,} ^{4}^{,} ^{6}^{,}
n
=
u(t) = ^{E} + ^{E} sin(ωt) − ^{2}^{E}
π
2
π
_{1}_{.}_{3} cos(2ωt) + _{3}_{.}_{5} cos(4ωt) + · · ·
1
1
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Fourier Series of Even and Odd Functions
Even function f (−x) = f (x): a Fourier cosine series
a _{0} = ^{1}
L L
0
f (x) = a _{0} +
∞
n=1
f (x)dx
a _{n} = ^{2}
L L
0
a _{n} cos( ^{n}^{π} x)
L
f (x) cos( ^{n}^{π} x)dx
L
n = 1, 2,
Odd function f (−x) = −f (x): a Fourier sine series
Jalilian (Department of Statistics)
f (x) =
∞
n=1
b _{n} sin( ^{n}^{π} x)
L
b _{n} = ^{2}
L L
0
f (x) sin( ^{n}^{π} x)dx
L
n = 1, 2,
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Properties Fourier Series
Theorem
Let f and g be functions of period p = 2L. The Fourier coeﬃcients of c _{1} f + c _{2} g are
c _{1} a _{1}_{n} + c _{2} a _{2}_{n}
n = 0, 1, 2,
,
c _{1} b _{1}_{n} + c _{2} b _{2}_{n}
n = 1, 2,
where a _{1}_{n} and b _{1}_{n} are Fourier coeﬃcients of f and a _{2}_{n} and b _{2}_{n} are Fourier coeﬃcients of g.
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Properties Fourier Series
Theorem
Let f : [−π, π] → R be a periodic function that can be represented by a Fourier series and
F(x) = A _{0} +
N
i=1
^{} A _{n} cos(nx) + B _{n} sin(nx) ^{}
be an approximating function for f (x). Then
π
−π
^{} f (x) − F(x) ^{} ^{2} dx
is minimized if and only if the coeﬃcients of F (x) are the Fourier coeﬃcients of f .
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Vector Space of Functions
The set of all functions on some interval [a, b] is an inﬁnite dimensional vector space.
vector addition scalar multiplication
h = f + g
h = af ,
a ∈ R
h(x) = f (x) + f (x) h(x) = af (x)
Subspace: any subset of a vector space that is closed under addition and scalar multiplication is also a vector space.
subspace of all continuous functions on [a, b]
subspace of all polynomial functions on [a, b]
subspace of all functions of period p = 2L on [a, b]
A basis of an inﬁnite dimensional space? Linear combinations of elements of a basis?
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Inner Product and Norm for Functions
Let f and g be two functions on [a, b], then
the inner product of f and g with respect to the weight function r (x ) ≥ 0 is deﬁned by
f , g = b f (x)g(x)r(x)dx
a
the norm of f is deﬁned by
f = ^{} f , f = b f ^{2} (x)r(x)dx ≥ 0
a
Orthogonality: f , g = 0 Triangle inequality: f + g ( f − g ^{2} = f ^{2} + g ^{2} −
Convergence: f _{n} → f
≤ f + g 2 f , g )
means f _{n} − f → 0 as n → ∞
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Sequence of Orthogonal Functions
y _{0} (x), y _{1} (x), y _{2} (x), orthogonal sequence
a sequence of functions in a subspace S of functions
y _{m} , y _{n} = b y _{m} (x)y _{n} (x)r(x)dx = 0
a
m
= n.
orthonormal sequence
y _{m} , y _{n} = b y _{m} (x)y _{n} (x)r(x)dx
a
= δ _{m}_{n} =
1
0
m = n m
= n
complete orthonormal sequence every f ∈ S can be approximated by a
linear combination of y _{0} , y _{1} , y _{2} ,
_{n}_{→}_{∞} f − S _{n} =
lim
n→∞ b
lim
a
.; i.e.
f (x) − S _{n} (x) ^{2} r(x)dx = 0
where
S _{n} (x) =
n
m=0
a _{m} y _{m} (x)
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Complete Orthonormal Sequence
A complete orthonormal sequence in subspace S is a basis for S
Every function in S can be expressed in terms of a linear combination of elements of the basis
Theorem
Let {y _{0} , y _{1} , y _{2} ,
a subspace S. If there is a f
m = 0, 1, 2,
.} be a complete orthonormal set of functions on [a, b] in
∈ S where f , y _{m} = 0 for every
then f = 0.
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Sinusoidal Functions as a Basis
Example: Let S set of all piecewise continuous functions of period 2π and
y _{m} (x) =
1 m = 0
m
cos( ^{m}^{+}^{1} x)
2
sin( ^{m} x)
2
1, 3, 5,
m = 2, 4, 6,
=
Then y _{0} , y _{1} , y _{2} , 
are orthogonal: y _{m} , y _{n} = 0 
m = n 

and y _{0} = ^{√} 2π, 
y _{m} = 
^{√} π 
m = 1, 2, 3, 
Thus y˜ _{0} (x) = 1/ ^{√} 2π, y˜ _{1} (x) = y _{1} (x)/ ^{√} π, y˜ _{2} (x) = y _{2} (x)/ ^{√} π,
complete orthonormal sequence in S and every f ∈ S can be expressed by a linear combination
is a
f (x) =
∞
m=0
a _{m} y _{m} (x) = a _{0} +
∞
m=1
^{} a _{m} cos(mx) + b _{m} sin(mx) ^{}
Jalilian (Department of Statistics)
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Generalized Fourier Series
Let f be a function on [a, b] that can be represent by a convergent series
f (x) = a _{0} y _{0} (x) +
∞
m=1
a _{m} y _{m} (x) = a _{0} y _{0} (x) + a _{1} y _{1} (x) + a _{2} y _{2} (x) + ···
where y _{0} , y _{1} , y _{2} ,
orthogonal functions on [a, b].
orthogonal series or generalized Fourier series of f
a _{0} , a _{1} , a _{2} ,
.: Fourier constants of f
_{a} m _{=} f , y _{m}
y _{m} ^{2}
^{=}
y _{m} ^{2} b
1
a
y _{m} (x)f (x)r(x)dx
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Generalized Fourier Series
Example: Legender polynomials
P _{n} (x) =
^{1}
d
^{n}
2 ^{n} n! dx
_{n}
(x ^{2} − 1) ^{n} =
^{1}
2
^{n}
^{n}
2
j=0
(−1) ^{j}
n ^{}^{} 2n − 2j
j
n
_{x} n−2j
are orthogonal on [−1, 1] with respect to r (x) = 1 :
1
P _{m} , P _{n} = −1 P _{m} (x)P _{n} (x)dx =
^{2}
2m
_{+} _{1} δ _{m}_{n}
,
FourierLegendre series of f :
P _{m} =
2
2m + 1
f (x) = a _{0} P _{0} (x) +
∞
m=1
a _{m} P _{m} (x) = a _{0} P _{0} + a _{1} P _{1} (x) + a _{2} P _{2} (x) + ···
^{w}^{i}^{t}^{h}
Jalilian (Department of Statistics)
_{a} m _{=} 2m + 1
2
1
−1 f (x)P _{m} (x)dx
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Generalized Fourier Series
How good is the generalized Fourier series approximation? Since
k
k
a
^{2}
m
S _{k} ^{2} =
^{2}
a _{m}
f , S _{k} =
,
m=0
m=0
hence
f − S _{k} ^{2} = f ^{2} +
S _{k} ^{2} − 2 f , S _{k} = f ^{2} −
The Bessel inequality: for any
k = 1, 2,
k
m=0
a _{m} ^{2} ≤ f ^{2} = b f ^{2} (x)r(x)dx
a
Parseval equality: when {y _{0} , y _{1} , y _{2} ,
.} is complete
∞
m=0
a _{m} ^{2} = f ^{2} = b f ^{2} (x)r(x)dx
a
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k
m=0
a ^{2}
m
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Fourier Integral
A nonperiodic function on R = (−∞, ∞) is a function of period p = ∞
Let f _{L} be a function of period p = 2L and deﬁne w _{n} = ^{n}^{π}
L
^{.}
f _{L} (x) =
2L
1
−L f _{L} (x)dx + ^{1}
π
L
∞
n=1
−L f _{L} (x) cos(w _{n} x)dx cos(w _{n} x)
L
L
+ −L f _{L} (x) sin(w _{n} x)dx sin(w _{n} x) ∆w _{n}
If
∞
^{} _{−}_{∞} f (x)dx exists and f _{L} → f , then
_{L}_{→}_{∞} f _{L} (x) =
lim
π ∞
1
0
Jalilian (Department of Statistics)
_{∞}
−∞ f (x) cos(wx)dx cos(wx)
+ −∞ f (x) sin(wx)dx sin(wx) dw
∞
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Fourier Integral
Theorem
Let f be a pciewise continuous function on every ﬁnite interval and has a right and a lefthand derivative at every point. If the integral
∞
−∞
f (x)dx
exists, then
f (x) = ∞
0
^{} A(w ) cos(wx) + B(w ) sin(wx) ^{} dw
A(w) =
π
1
∞
−∞
f
(v ) cos(wv )dv
B(w ) =
π
1
∞
−∞
f
(v ) sin(wv )dv
If f is discontinuous at x _{0} then the value of Fourier integral at x _{0} equals the average of the left and righthand limits of f at x _{0} .
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Fourier Integral of Even and Odd Functions
Even function f (−x) = f (x): a Fourier cosine integral
f (x)
= ∞ A(w ) cos(wx)dw
0
A(w) =
2
π ∞
0
f (x) cos(wx)dx
Odd function f (−x) = −f (x): a Fourier sine integral
Jalilian (Department of Statistics)
f
(x) = ∞ B(w ) sin(wx)dw
0
B(w) =
2
π ∞
0
f (x) sin(wx)dx
Advanced Mathematics for CE
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Fourier Integral
Example: Find the Fourier integral representation of the function
f (x) =
1
0
x < 1 x > 1
2
π ∞
2
^{} cos(wv )
w
0
= ^{2}
π
sin(w )
w
dw
1
A(w) =
f
(v ) cos(wv )dv =
π
0
2
π ∞
sin(w ) cos(wx)
f (x) =
dw
0
w
^{} sin(w (1 + x)) + sin(w (1 − x))
w
π ∞
1
0
=
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Fourier Integral
Example: Find the Fourier integral representation of the function
f (x) = e ^{−}^{k}^{x}
k > 0, x > 0
A(w) =
2
π ∞
0
f
(v ) cos(wv )dv
= − ^{2}
k
π
k ^{2} +
2k
_{w} _{2} e ^{−}^{k}^{v} cos(wv ) − ^{w} sin(wv )
k
∞
0
_{=}
f (x) = ^{2}^{k}
π
π(k ^{2} + w ^{2} )
^{} ∞
0
cos(wx) k ^{2} + w
_{2} dw ⇒ ∞
0
cos(wx) k ^{2} + w
_{2} dw =
π
2k _{e} −kx
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Fourier Transform
Transforming a function: to obtain a new function An integral transformation: transforming by integrating; e.g. Laplace transform Let f (x) be an even function. The Fourier cosine transform of f is
F _{c} (f )(w ) = f ^{ˆ} _{c} (w) =
2 ∞
π
0
f (x) cos(wx)dx
with the inverse Fourier cosine transform
−1
F
c
( f ˆ _{c} )(x) = f (x) =
2
π ∞
0
ˆ
f _{c} (w ) cos(wx)dw
Let f (x) be an odd function. The Fourier sine transform of f is
F _{s} (f )(w ) = f ˆ _{s} (w) =
2 ∞
π
0
f (x) sin(wx)dx
with the inverse Fourier cosine transform
−1
F
s
( f ^{ˆ} _{s} )(x) = f (x) =
2 ∞
π
0
ˆ
f _{s} (w ) sin(wx)dw
Jalilian (Department of Statistics)
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Fourier Cosine and Fourier Sine Transforms
Example: Find the Fourier cosine and Fourier sine transforms of
f (x) =
k
0
g(x) = e ^{−}^{x}
x
x
< a
> a
^{a} ^{>} ^{0}
F _{c} (f )(w ) = f ˆ _{c} (w)
=
2
k sin(aw )
π
w
F _{s} (f )(w ) = f ˆ _{s} (w) =
π
2
k ^{} 1 − cos(aw ) ^{}
w
F _{c} (g )(w ) =
gˆ _{c} (w)
=
2
1
π
1
+ w ^{2}
F _{s} (g )(w ) = gˆ _{s} (w) =
π
1
2
w
+ w ^{2}
Jalilian (Department of Statistics)
Advanced Mathematics for CE
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Properties of Fourier Cosine and Fourier Sine Transforms
linearity if f and g have Fourier cosine and sine transforms, then for every a, b ∈ R,
F _{c} (af + bg ) = aF _{c} (f ) + bF _{c} (g)
F _{s} (af + bg ) = aF _{s} (f ) + bF _{s} (g)
transforms of derivatives when f (x) is continuous an absolutely integrable on R, f ^{} (x) is piecewise continuous on every ﬁnite interval and lim _{x}_{→}_{∞} f (x) = 0, then
Why?
Jalilian (Department of Statistics)
w F _{s} (f )(w ) − _{π} f (0)
2
F _{c} (f ^{} )(w ) =
F _{s} (f ^{} )(w ) = −w F _{c} (f )(w )
Advanced Mathematics for CE
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Fourier Cosine and Fourier Sine Transforms
Example: Find the Fourier cosine and Fourier sine transforms of
but
f
f (x) = e ^{−}^{a}^{x}
a > 0
^{}^{} (x) = a ^{2} f (x)
⇒
F _{c} (f ^{}^{} )(w ) = a ^{2} F _{c} (f )(w )
F _{c} (f ^{}^{} )(w ) =
w F _{s} (f ^{} )(w ) − _{π} f ^{} (0)
2
= −w ^{2} F _{c} (f )(w ) + a
2
π
−w ^{2} F _{c} (f )(w ) + a _{π} = a ^{2} F _{c} (f )(w )
2
⇒
Jalilian (Department of Statistics)
Advanced Mathematics for CE
F _{c} (f )(w ) =
π
2
a
a ^{2} + w ^{2}
Spring 2012
32 / 42
Complex Fourier Integral
f (x) = ∞
0
A(w ) cos(wx) + B(w ) sin(wx) dw
=
π ∞
1
0
_{∞}
−∞ cos(wv ) cos(wx) + sin(wv ) sin(wx) f (v)dv dw
=
=
=
π ∞
1
0
−∞ cos(wx − wv )f (v )dv dw
_{∞}
2π
1
−∞ ∞
∞
−∞ cos(w (x − v ))f (v )dv dw
2π ∞
1
−∞ cos(w (x − v )) + i sin(w (x − v )) f (v)dv dw −∞
∞
=
2π
1
−∞ ∞
∞
−∞ e ^{i}^{w} ^{(}^{x}^{−}^{v} ^{)} f (v)dv dw
=
^{1}
2π
−∞
∞
√
1
2π ∞
−∞ e ^{−}^{i}^{w}^{v} f (v)dv e ^{i}^{w}^{x} dw
√
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Complex Fourier Integral
Fourier transform of f
F (f )(w ) = f ^{ˆ} (w) =
inverse Fourier transform of f ˆ
F ^{−}^{1} ( f ^{ˆ} )(x) = f (x) =
^{1}
2π
∞
√
−∞
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