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Abdollah Jalilian

Department of Statistics Razi University

Jalilian (Department of Statistics)

Spring 2012

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

Jalilian (Department of Statistics)

Spring 2012

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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%

Jalilian (Department of Statistics)

1391/01/29

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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,

Jalilian (Department of Statistics)

Spring 2012

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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

The above functions are orthogonal on [−π, π]; i.e.
π
m = n
−π cos(nx) cos(mx)dx = π
,
0
n
=
m
π
m = n
−π sin(nx) sin(mx)dx = π
,
0
n
=
m
π
cos(nx) sin(mx)dx = 0,
−π

Proof?

Jalilian (Department of Statistics)

Spring 2012

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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 ,

Jalilian (Department of Statistics)

Spring 2012

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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 left-hand and a right-hand 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 left-hand and the right-hand limits of f at x 0 .

Jalilian (Department of Statistics)

Spring 2012

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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 = 4k

nπ

0

1, 3, 5,

n = 2, 4, 6,

n

=

(x) = 4k 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.

Jalilian (Department of Statistics)

Spring 2012

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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( nπ x) + b n sin( nπ 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( nπ x)dx

L

L

L

L f (x) sin( nπ nx)dx

L

n = 1, 2,

n = 1, 2,

Jalilian (Department of Statistics)

Spring 2012

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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

nπ

2k

nπ

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( 3π x) + 1 5 cos( 5π 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 = 2π , L = π

ω

ω

a 0 = E

π

a n =

b n =

E

2

0

0

2E

(n1)(n+1)π

n = 1

n = 2, 3, 4,

1, 3, 5,

n = 2, 4, 6,

n

=

u(t) = E + E sin(ωt) 2E

π

2

π

1.3 cos(2ωt) + 3.5 cos(4ωt) + · · ·

1

1

Jalilian (Department of Statistics)

Spring 2012

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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( nπ x)

L

f (x) cos( nπ 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( nπ x)

L

b n = 2

L L

0

f (x) sin( nπ 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 1n + c 2 a 2n

n = 0, 1, 2,

,

c 1 b 1n + c 2 b 2n

n = 1, 2,

where a 1n and b 1n are Fourier coeﬃcients of f and a 2n and b 2n are Fourier coeﬃcients of g.

Jalilian (Department of Statistics)

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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 .

Jalilian (Department of Statistics)

Spring 2012

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Vector Space of Functions

The set of all functions on some interval [a, b] is an inﬁnite dimensional vector space.

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?

Jalilian (Department of Statistics)

Spring 2012

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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 → ∞

Jalilian (Department of Statistics)

Spring 2012

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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 mn =

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)

Jalilian (Department of Statistics)

Spring 2012

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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.

Jalilian (Department of Statistics)

Spring 2012

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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)

Spring 2012

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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

Jalilian (Department of Statistics)

Spring 2012

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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 n2j

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 mn

,

Fourier-Legendre 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) + ···

with

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

Jalilian (Department of Statistics)

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 = nπ

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 left-hand 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 right-hand limits of f at x 0 .

Jalilian (Department of Statistics)

Spring 2012

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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

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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

=

Jalilian (Department of Statistics)

Spring 2012

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Fourier Integral

Example: Find the Fourier integral representation of the function

f (x) = e kx

k > 0, x > 0

A(w) =

2

π

0

f

(v ) cos(wv )dv

= 2

k

π

k 2 +

2k

w 2 e kv cos(wv ) w sin(wv )

k

0

=

f (x) = 2k

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

Jalilian (Department of Statistics)

Spring 2012

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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)

Spring 2012

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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)

Spring 2012

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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 )

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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 ax

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)

F c (f )(w ) =

π

2

a

a 2 + w 2

Spring 2012

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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 iw (xv ) f (v)dv dw

=

1

2π

−∞

1

2π

−∞ e iwv f (v)dv e iwx dw

Jalilian (Department of Statistics)

Spring 2012

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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

−∞