FAhandout

Advanced Mathematics for Computer Engineering
Abdollah Jalilian
www.razi.ac.ir/jalilian/
Department of Statistics
Razi University
Spring 2012
Jalilian (Department of Statistics)
Advanced Mathematics for CE
Spring 2012
1 / 42
Course Outline
Fourier analysis
I
I
Fourier series
Fourier transform
A quick review of basic probability concepts

I
I
Probability space and random variables

Probability distributions
Stochastic processes
I
I
I
Poisson process
Markov chains and Birth and Death process
Renewal theory
Queuing theory
I
I
Queuing system
Queuing models
Spring 2012
2 / 42
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%
1391/01/29
Final Exam 50%

Project 10%
Spring 2012
3 / 42
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)
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)
the smallest period of f is called its fundamental period

when f and g have period p, then for any a, b R,
af (x) + bg (x) has the period p
Spring 2012
4 / 42
Simple Periodic Functions

Simple periodic functions of period p = 2:
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 [, ];

Z
cos(nx) cos(mx)dx =
0

Z
sin(nx) sin(mx)dx =
0
Z
cos(nx) sin(mx)dx = 0,
i.e.
m=n
,
n 6= m
m=n
,
n 6= m
Proof?
Spring 2012
5 / 42
Fourier Series
Let f be a piecewise continuous function of period p = 2, then
f (x) = a0 +

an cos(nx) + bn sin(nx)
n=1
where
Z
1
f (x)dx
2
Z
1
an =
f (x) cos(nx)dx n = 1, 2, . . .

Z
1
bn =
f (x) sin(nx)dx n = 1, 2, . . .

a0 =
The above series is called the Fourier series of f with Fourier coefficients
a0 , a1 , b1 , a2 , b2 , . . ..
Spring 2012
6 / 42
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
Sn (x) = a0 +
n
X

aj cos(jx) + bj sin(jx)
n = 1, 2, . . .
j=1
Convergence means
a0 +

an cos(nx) + bn sin(nx) = lim Sn (x)
n
n=1
Theorem
The Fourier series converges if f has a left-hand and a right-hand
derivative at each point in [, ]. Its sum is f (x) except at points x0
where f is discontinuous. At x0 , the sum of the series is the average of the
left-hand and the right-hand limits of f at x0 .
Spring 2012
7 / 42
Fourier Series
Example: Let k > 0 be a constant and

k
0<x <
f (x) =
k < x < 0
f (x + 2) = f (x)
Find the Fourier coefficients of f ?

The sum of the series at discontinuity points of f ?
a0 = 0
an = 0,

bn =
f (x) =
n = 1, 2, . . .
4k
n
n = 1, 3, 5, . . .
n = 2, 4, 6, . . .
i
4k h
1
1
sin(x) + sin(3x) + sin(5x) +
3
5
Sn (0) = Sn () = Sn () = 0 n = 1, 2, . . .
Spring 2012
8 / 42
Exercises
If f is a function of period p, show that g (x) = f (ax), a 6= 0, is a

function of period p/a.
Assume f is a function of period 2. Find the Fourier series of f ,
where
I
f (x) = |x|
f (x) = x2
f (x) =
x
x
< x < 0
0<x <
Write a program (MATLAB codes) to compute the first 2n + 1 Fourier

coefficients of the given periodic function f . Plot the function f on
[, ] and partial sums of of its Fourier series for different n.
Spring 2012
9 / 42
Fourier Series of General Periodic Functions

Let f (x) be a function of period p and L = p/2. Then
g (x) = f ( L x) is a function of period 2
the Fourier transform of f is given by
f (x) = a0 +
X
n=1
an cos(
n
n
x) + bn sin( x)
L
L
with Fourier coefficients

Z L
1
f (x)dx
a0 =
2L L
Z
1 L
n
an =
f (x) cos( x)dx n = 1, 2, . . .
L L
L
Z L
1
n
bn =
f (x) sin( nx)dx n = 1, 2, . . .
L L
L
Spring 2012
10 / 42

Example: Let k > 0 be a constant and
1<x <2
0
k 1 < x < 1
f (x) =
0 2 < x < 1
p = 4, L = 2
Find the Fourier cofficients of f ?

a0 =
an =
k
2
2k
n
2k
n
n = 1, 5, 9, . . .
n = 3, 7, 11, . . .
n = 2, 4, 6, . . .
bn = 0 n = 1, 2, . . .
f (x) =
i
k
2k h
1
3
1
5
+
cos( x) cos( x) + cos( x) +
2
2
3
2
5
2
Spring 2012
11 / 42

Example: Let E > 0 be a constant and

E sin(t) 0 < t < L
u(t) =
0
L < t < 0
p=
,L =
Find the Fourier cofficients of u?
a0 =
an =
2E
(n1)(n+1)

bn =
u(t) =
0
E
2
n = 1, 3, 5, . . .
n = 2, 4, 6, . . .
n=1
n = 2, 3, 4, . . .
i
E
E
2E h 1
1
+ sin(t)
cos(2t) +
cos(4t) +
2
1.3
3.5
Spring 2012
12 / 42
Fourier Series of Even and Odd Functions

Even function f (x) = f (x): a Fourier cosine series
f (x) = a0 +
an cos(
n=1
a0 =
1
L
f (x)dx
an =
2
L
n
x)
L
f (x) cos(
0
n
x)dx
L
n = 1, 2, . . .
Odd function f (x) = f (x): a Fourier sine series

f (x) =
bn sin(
n=1
bn =
2
L
f (x) sin(
0
n
x)
L
n
x)dx
L
n = 1, 2, . . .
Spring 2012
13 / 42
Properties Fourier Series
Theorem
Let f and g be functions of period p = 2L. The Fourier coefficients of
c1 f + c2 g are
c1 a1n + c2 a2n
n = 0, 1, 2, . . . ,
c1 b1n + c2 b2n
n = 1, 2, . . .
where a1n and b1n are Fourier coefficients of f and a2n and b2n are Fourier
coefficients of g .
Spring 2012
14 / 42
Properties Fourier Series

Theorem
Let f : [, ] R be a periodic function that can be represented by a
Fourier series and
F (x) = A0 +
N
X
An cos(nx) + Bn sin(nx)
i=1
be an approximating function for f (x). Then

Z
2
f (x) F (x) dx
is minimized if and only if the coefficients of F (x) are the Fourier

coefficients of f .
Spring 2012
15 / 42
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?
Spring 2012
16 / 42
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
Z
hf , g i =
f (x)g (x)r (x)dx

a
the norm of f is defined by

s
p
kf k = hf , f i =
f 2 (x)r (x)dx 0
Orthogonality: hf , g i = 0
Triangle inequality: kf + g k kf k + kg k
(kf g k2 = kf k2 + kg k2 2hf , g i)
Convergence: fn f means kfn f k 0 as n
Spring 2012
17 / 42
Sequence of Orthogonal Functions

y0 (x), y1 (x), y2 (x), . . . a sequence of functions in a subspace S of functions
orthogonal sequence
Z b
hym , yn i =
ym (x)yn (x)r (x)dx = 0 m 6= n.
a
orthonormal sequence
b
Z
hym , yn i =

ym (x)yn (x)r (x)dx = mn =
1 m=n
0 m=
6 n
complete orthonormal sequence every f S can be approximated by a

linear combination of y0 , y1 , y2 , . . .; i.e.
Z b
2
lim kf Sn k = lim
f (x) Sn (x) r (x)dx = 0
n
n a
where
Sn (x) =
n
X
am ym (x)
m=0
Spring 2012
18 / 42
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 {y0 , y1 , y2 , . . .} be a complete orthonormal set of functions on [a, b] in
a subspace S. If there is a f S where hf , ym i = 0 for every
m = 0, 1, 2, . . . then kf k = 0.
Spring 2012
19 / 42
Sinusoidal Functions as a Basis

Example: Let S set of all piecewise continuous functions of period 2 and
1
m=0
m+1
ym (x) =
cos( 2 x) m = 1, 3, 5, . . .
m = 2, 4, 6, . . .
sin( m2 x)
Then y0 , y1 ,
y2 , . . . are orthogonal: hym , yn i = 0 m 6= n
and ky0 k = 2, kym k = m = 1, 2, 3, . . .
Thus y0 (x) = 1/ 2, y1 (x) = y1 (x)/ , y2 (x) = y2 (x)/ , . . . is a

complete orthonormal sequence in S and every f S can be expressed by
a linear combination
f (x) =
am ym (x) = a0 +
m=0
X

am cos(mx) + bm sin(mx)
m=1
Spring 2012
20 / 42
Generalized Fourier Series

Let f be a function on [a, b] that can be represent by a convergent series
f (x) = a0 y0 (x) +
am ym (x) = a0 y0 (x) + a1 y1 (x) + a2 y2 (x) +
m=1
where y0 , y1 , y2 , . . . orthogonal functions on [a, b].

orthogonal series or generalized Fourier series of f
a0 , a1 , a2 , . . .: Fourier constants of f
1
hf , ym i
am =
=
kym k2
kym k2
ym (x)f (x)r (x)dx

a
Spring 2012
21 / 42

Example: Legender polynomials
n
b2c

i
1 dn h 2
1 X
2n 2j n2j
n
j n
(x 1) = n
Pn (x) = n
(1)
x
2 n! dx n
2
j
n
j=0
are orthogonal on [1, 1] with respect to r (x) = 1 :

r
Z 1
2
2
mn , kPm k =
hPm , Pn i =
Pm (x)Pn (x)dx =
2m + 1
2m + 1
1
Fourier-Legendre series of f :
f (x) = a0 P0 (x) +
am Pm (x) = a0 P0 + a1 P1 (x) + a2 P2 (x) +
m=1
with
2m + 1
am =
2
f (x)Pm (x)dx
1
Spring 2012
22 / 42

How good is the generalized Fourier series approximation?
Since
k
k
X
X
2
2
kSk k2 =
am
, hf , Sk i =
am
m=0
m=0
hence
2
kf Sk k = kf k + kSk k 2hf , Sk i = kf k
k
X
2
am
m=0
The Bessel inequality: for any k = 1, 2, . . .

Z b
k
X
2
2
am kf k =
f 2 (x)r (x)dx
m=0
Parseval equality: when {y0 , y1 , y2 , . . .} is complete

Z b
X
2
am
= kf k2 =
f 2 (x)r (x)dx
m=0
a
Spring 2012
23 / 42
Fourier Integral
A nonperiodic function on R = (, ) is a function of period p =
Let fL be a function of period p = 2L and define wn = n
L .
1
fL (x) =
2L

Z L
1X
fL (x) cos(wn x)dx cos(wn x)
fL (x)dx +
L
L
n=1
Z L

+
fL (x) sin(wn x)dx sin(wn x) wn
If
|f (x)|dx
exists and fL f , then
1
lim fL (x) =
L
Z

f (x) cos(wx)dx cos(wx)

f (x) sin(wx)dx sin(wx) dw

Z
Spring 2012
24 / 42
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
Z
|f (x)|dx
exists, then
Z
f (x) =

A(w ) cos(wx) + B(w ) sin(wx) dw
1
A(w ) =
f (v ) cos(wv )dv
1
B(w ) =
f (v ) sin(wv )dv
If f is discontinuous at x0 then the value of Fourier integral at x0 equals

the average of the left- and right-hand limits of f at x0 .
Spring 2012
25 / 42
Fourier Integral of Even and Odd Functions

Even function f (x) = f (x): a Fourier cosine integral
Z
f (x) =
A(w ) cos(wx)dw
0
2
A(w ) =
f (x) cos(wx)dx
0
Odd function f (x) = f (x): a Fourier sine integral

Z
f (x) =
B(w ) sin(wx)dw
0
2
B(w ) =
f (x) sin(wx)dx
0
Spring 2012
26 / 42
Fourier Integral
Example: Find the Fourier integral representation of the function

1 |x| < 1
f (x) =
0 |x| > 1
2
A(w ) =

2 cos(wv ) 1
2 sin(w )
f (v ) cos(wv )dv =
=
w
w
0
Z
2 sin(w ) cos(wx)
dw
0
w

Z
1 sin(w (1 + x)) + sin(w (1 x))
=
dw
0
w
f (x) =
Spring 2012
27 / 42
Fourier Integral
Example: Find the Fourier integral representation of the function
f (x) = e kx
A(w ) =
k > 0, x > 0
f (v ) cos(wv )dv
0

h
i
k
w
2
kv
e
cos(wv
)
sin(wv
)
k2 + w 2
k
0
2k
=
(k 2 + w 2 )
2k
f (x) =
Z
0
cos(wx)
dw
k2 + w2
Z
0
cos(wx)
kx
dw =
e
k2 + w 2
2k
Spring 2012
28 / 42
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
r Z
2
Fc (f )(w ) = fc (w ) =
f (x) cos(wx)dx
0
with the inverse Fourier cosine transform
r Z
2
1
Fc (fc )(x) = f (x) =
fc (w ) cos(wx)dw
0
Let f (x) be an odd function. The Fourier sine transform of f is
r Z
2
Fs (f )(w ) = fs (w ) =
f (x) sin(wx)dx
0
with the inverse Fourier cosine transform
r Z
2
1
fs (w ) sin(wx)dw
Fs (fs )(x) = f (x) =
0
Spring 2012
29 / 42
Fourier Cosine and Fourier Sine Transforms

Example: Find the Fourier cosine and Fourier sine transforms of

k x <a
f (x) =
a>0
0 x >a
g (x) = e x
2 k sin(aw )
w
r

2 k 1 cos(aw )
Fs (f )(w ) = fs (w ) =
Fc (f )(w ) = fc (w ) =
2 1
1 + w2
r
2 w
Fs (g )(w ) = gs (w ) =
1 + w2
Fc (g )(w ) = gc (w ) =
Spring 2012
30 / 42
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,
Fc (af + bg ) = aFc (f ) + bFc (g )
Fs (af + bg ) = aFs (f ) + bFs (g )
transforms of derivatives when f (x) is continuous an absolutely integrable
on R, f 0 (x) is piecewise continuous on every finite interval
and limx f (x) = 0, then
r
2
f (0)
Fc (f 0 )(w ) = w Fs (f )(w )
Fs (f 0 )(w ) = w Fc (f )(w )
Why?
Spring 2012
31 / 42
Fourier Cosine and Fourier Sine Transforms

Example: Find the Fourier cosine and Fourier sine transforms of
f (x) = e ax
f 00 (x) = a2 f (x)
a>0
Fc (f 00 )(w ) = a2 Fc (f )(w )
but
r
00
2 0
f (0)
r
2
= w 2 Fc (f )(w ) + a
Fc (f )(w ) = w Fs (f )(w )
r
2
w Fc (f )(w ) + a
2
= a2 Fc (f )(w )
Fc (f )(w ) =
2
a
2
a + w2
Spring 2012
32 / 42
Complex Fourier Integral

Z
f (x) =
=
=
=
=
=
=
i
A(w ) cos(wx) + B(w ) sin(wx) dw
0

Z Z h
i
1
cos(wv ) cos(wx) + sin(wv ) sin(wx) f (v )dv dw
0

Z Z
1
cos(wx wv )f (v )dv dw
0

Z Z
1
cos(w (x v ))f (v )dv dw
2

Z Z

1
cos(w (x v )) + i sin(w (x v )) f (v )dv dw
2

Z Z
1
iw (xv )
e
f (v )dv dw
2

Z
Z
1
1
iwv
e
f (v )dv e iwx dw
2
2
Spring 2012
33 / 42

Fourier transform of f
1
F(f )(w ) = f(w ) =
2
e iwx f (x)dx
inverse Fourier transform of f

F
1
(f)(x) = f (x) =
2
e iwx f(w )dw
Theorem
If f is absolutely integrable and piecewise continuous on every finite
interval, then its Fourier transform exists.
Spring 2012
34 / 42

Example: Find the Fourier transforms of

1 |x| < 1
f (x) =
0 |x| > 1
ax
e
x >0
g (x) =
0
x <0
a>0
sin(w )
2 w
1
F(g )(w ) =
2(a + iw )
F(f )(w ) =
Spring 2012
35 / 42
Properties of Fourier Transform

linearity if f and g have Fourier transforms, then for every a, b R,
F(af + bg ) = aF(f ) + bF(g )
transforms of derivatives when f (x) is continuous on R, f 0 (x) is
absolutely integrable on R and lim|x| f (x) = 0, then
F(f 0 )(w ) = iw F(f )(w )
convolution if f and g are piecewise continuous, bounded and absolutely
integrable on R, then
F(f g ) = 2F(f )F(g )

where
Z
(f g )(x) =
f (t)g (x t)dt =
f (x t)g (t)dt
Why?
Spring 2012
36 / 42
Discrete Fourier Transform (DFT)

Let f be a function of period p = 2.
Assume f is sampled at equally spaced points
fk = f (xk ) xk =
2k
N
k = 0, 1, . . . , N 1
Find the coefficents c0 , c1 , . . . , cN1 such that

fk = f (xk ) =
N1
X
cn e inxk
k = 0, 1, 2 . . . , N 1
n=0
To find cn s
N1
X
fk e
imxk
k=0
N1
X N1
X
k=0 n=0
N1
X N1
X
cn
n=0
cn e i(nm)xk
e i(nm)
2k
N
k=0
Spring 2012
37 / 42

But
N1
X
n=0
cn
N1
X
i(nm) 2k
N
N1
X
cn
n=0
k=0
= Ncm +
N1
Xh
k=0
N1
X
i(nm) 2
N
cn
n6=m
= Ncm +
N1
X
N1
Xh
ik
e i(nm) N
ik
k=0
h
i
2 N
1 e i(nm) N
cn
n6=m
1 e i(nm) N
= Ncm
Thus
N1
1 X
cn =
fk e inxk
N
n = 0, 1, . . . , N 1
k=0
Spring 2012
38 / 42

Let
fn = Ncn =
N1
X
fk e inxk
n = 0, 1, . . . , N 1
k=0
f = (f0 , f1 , . . . , fN1 )T ,
f = (f0 , f1 , . . . , fN1 )T ,
enk = e inxk = e in
Then
f0
f1
f2
..
.
fN1
2k
N
= w nk
w0
w0
w0
..
.
w0
w1
w2
..
.
w0
w2
w4
..
.
w0
w N1
w 2(N1)
N1
FN = enk n,k=0
w = wN = e
w0
w N1
w 2(N1)
..
.
w (N1)
2i
N
f0
f1
f2
..
.
fN1
f = FN f
Spring 2012
39 / 42
Inverse of DFT
Since
f = FN f
Then
f = FN1f
FN1 =?

N1
Complex conjugate of FN : FN = N1 w
nk n,k=0
FN FN = FN FN = NI
FN1 =
1
FN
N
Spring 2012
40 / 42

Example: Assume N = 4 and f = (0, 1, 4, 9)T .
i
Then w = w4 = e 2 = i

0
14
1 1
1
1
1 i 1 i 1 4 + 8i

1 1 1 1 4 = 6
9
4 8i
1 i 1 i
1 1
1
1
14
4 + 8i
1
1
i
1
i
4 1 1 1 1 6
1 i 1 i
4 8i
0
1
=
4
9
Spring 2012
41 / 42
Fast Fourier Transform (FFT)

Let N = 2M. Then
N1
M1
M1
X
X
X (2k+1)n
fn =
wNkn fk =
wN2kn f2k +
wN
f2k+1
k=0
Since
k=0
h 2i i2
2i
wN2 = e N
= e M = wM
fn =
Split f =
k=0
M1
X
kn
wM
f2k + wNn
k=0
(f0 , f1 , . . . , fN1 )T into
fev = (f0 , f2 , . . . , fN2 )T

fev = FM fev
kn
wM
f2k+1
k=0
,
,
fn = fev,n + wNn fod,n

fM+n = fev,n wNn fod,n
M1
X
fod = (f1 , f3 , . . . , fN1 )T

fod = FM fod
n = 0, 1, . . . , M 1
n = 0, 1, . . . , M 1
Spring 2012
42 / 42

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Advanced Mathematics for Computer Engineering

Jalilian (Department of Statistics)

Advanced Mathematics for CE

A quick review of basic probability concepts

Probability space and random variables

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Text Book and Evaluation

Software: (R & Maple), MATLAB, ...

Final Exam 50%

Advanced Mathematics for CE

the smallest period of f is called its fundamental period

Advanced Mathematics for CE

Simple Periodic Functions

Advanced Mathematics for CE

Advanced Mathematics for CE

Advanced Mathematics for CE

Find the Fourier coefficients of f ?

Advanced Mathematics for CE

If f is a function of period p, show that g (x) = f (ax), a 6= 0, is a

Write a program (MATLAB codes) to compute the first 2n + 1 Fourier

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Fourier Series of General Periodic Functions

with Fourier coefficients

Advanced Mathematics for CE

Fourier Series of General Periodic Functions

Find the Fourier cofficients of f ?

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Fourier Series of General Periodic Functions

Find the Fourier cofficients of u?

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Fourier Series of Even and Odd Functions

Odd function f (x) = f (x): a Fourier sine series

Advanced Mathematics for CE

Properties Fourier Series

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Properties Fourier Series

be an approximating function for f (x). Then

is minimized if and only if the coefficients of F (x) are the Fourier

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Vector Space of Functions

h(x) = f (x) + f (x)

Advanced Mathematics for CE

Inner Product and Norm for Functions

f (x)g (x)r (x)dx

the norm of f is defined by

Advanced Mathematics for CE

Sequence of Orthogonal Functions

complete orthonormal sequence every f S can be approximated by a

Advanced Mathematics for CE

Complete Orthonormal Sequence

Every function in S can be expressed in terms of a linear combination of

Jalilian (Department of Statistics)

Advanced Mathematics for CE

Sinusoidal Functions as a Basis

and ky0 k = 2, kym k = m = 1, 2, 3, . . .

Thus y0 (x) = 1/ 2, y1 (x) = y1 (x)/ , y2 (x) = y2 (x)/ , . . . is a

Jalilian (Department of Statistics)

Advanced Mathematics for CE