Chapter 11 Fourier Analysis

Advanced Engineering Mathematics

Wei-Ta Chu
National Chung Cheng University
wtchu@cs.ccu.edu.tw

1
 11.1 Fourier Series

2
 Fourier Series
Fourier series are infinite series that represent periodic
functions in terms of cosines and sines. As such,
Fourier series are of greatest importance to the
engineer and applied mathematician.
A function f(x) is called a periodic function if f(x) is
defined for all real x, except possibly at some points,
and if there is some positive number p, called a period
of f(x), such that
(1)

3
 Fourier Series
The graph of a periodic function has the characteristic
that it can be obtained by periodic repetition of its
graph in any interval of length p. (Fig. 258)
The smallest positive period is often called the
fundamental period.

4
 Fourier Series
If f(x) has period p, it also has the period 2p because (1)
implies ; thus
for any integer n=1, 2, 3, …
(2)
Furthermore if f(x) and g(x) have period p, then af(x) +
bg(x) with any constants a and b also has the period p.

5
 Fourier Series
Our problem in the first few sections of this chapter
will be the representation of various functions f(x) of
period in terms of the simple functions
(3)
All these functions have the period . They form the
so-called trigonometric system. Figure 259 shows the
first few of them

6
 Fourier Series
The series to be obtained will be a trigonometric series,
that is, a series of the form
(4)

a0, a1, b1, a2, b2, … are constants, called the

coefficients of the series. We see that each term has the
period . Hence if the coefficients are such that the
series converges, its sum will be a function of period

7
 Fourier Series
Now suppose that f(x) is a given function of period
and is such that it can be represented by a series (4),
that is, (4) converges and, moreover, has the sum f(x).
Then, using the equality sign, we write
(5)
and call (5) the Fourier series of f(x). We shall prove
that in this case the coefficients of (5) are the so-called
Fourier coefficients of f(x), given by the Euler
formulas
(6.0)
(6.a)
8
(6.b)
 Example 1
Find the Fourier coefficients of the period function f(x) in
Fig. 260. The formula is

(7)

Functions of this kind occur as external forces acting on

mechanical systems, electromotive forces in electric
circuits, etc. The value of f(x) at a single point does not
affect the integral; hence we can leave f(x) undefined at
and

9
 (6.0)
(6.a)
Example 1 (6.b)

From (6.0) we obtain a0=0. This can also be seen

without integration, since the area under the curve of
f(x) between and is zero. From (6.a) we obtain
the coefficient a1, a2, … of the cosine terms. Since f(x)
is given by two expressions, the integrals from to
split into two integrals:

because at for all

10
 Example 1
We see that all these cosine coefficients are zero. That
is, the Fourier series of (7) has no cosine terms, just
sine terms, it is a Fourier sine series with coefficients
b1, b2, … obtained from (6b);

Since , this yields

11
 Example 1
Now, ; in general,

Hence the Fourier coefficients bn of our function are

12
 Example 1
Since the an are zero, the Fourier series of f(x) is
(8)

The partial sums are

Their graphs in Fig. 261 seem to indicate that the

series is convergent and has the sum f(x), the given
function. We notice that at x = 0 and , the points
of discontinuity of f(x), all partial sums have the value
zero, the arithmetic mean of the limits –k and k of our
function, at these points. This is typical.
13
 Example 1
Furthermore, assuming that f(x) is the sum of the series
and setting , we have

Thus

This is a famous result obtained by Leibniz in 1673

from geometric considerations. It illustrates that the
values of various series with constant terms can be
obtained by evaluating Fourier series at specific points.

14
 Example 1

15
 Theorem 1 Orthogonality of the
Trigonometric System
The trigonometric system (3) is orthogonal on the
interval (hence also on or any
other interval of length because of periodicity); that
is, the integral of the product of any two functions in (3)
over that interval is 0, so that for any integers n and m,
(a)
(9) (b)
(c)

(3)
16
 Proof of Theorem 1
Simply by transforming the integrands
trigonometrically from products into sums

Since (integer!), the integrals on the right are all

0. Similarly, for all integers

17
 Application of Theorem 1 to the Fourier
Series (5)
We prove (6.0). Integrating on both sides of (5) from
to , we get

We now assume that termwise integration is allowed.

Then we obtain

The first term on the right equals . Integration

shows that all the other integrals are 0. Hence division
by gives (6.0).

18 (6.0)
 Application of Theorem 1 to the Fourier
Series (5) (6.a)

We prove (6.a). Multiplying (5) on both sides by

with any fixed positive integer m and integrating from
to , we have

We now integrate term by term. Then on the right we

obtain an integral of , which is 0; an integral
of , which is for n = m and 0 for
by (9a); and an integral of , which
is 0 for all n and m by (9c). Hence the right side of (10)
equals . Division by gives (6a) (with m instead
of n).
19
 Application of Theorem 1 to the Fourier
Series (5) (6.b)

We finally prove (6.b). Multiplying (5) on both sides

by with any fixed positive integer m and
integrating from to , we get

Integrating term by term, we obtain on the right an

integral of , which is 0; an integral
of , which is 0 by (9c); and an integral
, which is if n = m and 0 if , by
(9b). This implies (6b) (with n denoted by m). This
completes the proof of the Euler formulas (6) for the
Fourier coefficients.
20
 Convergence and Sum of a Fourier
Series
The class of functions that can be represented by
Fourier series is surprisingly large and general.
Theorem 2: Let f(x) be periodic with period and
piecewise continuous in the interval .
Furthermore, let f(x) have a left-hand derivative and a
right-hand derivative at each point of that interval.
Then the Fourier series (5) of f(x) [with coefficients (6)]
converges. Its sum is f(x), except at points x0 where f(x)
is discontinuous. There the sum of the series is the
average of the left- and right-hand limits of f(x) at x0.

21
 Convergence and Sum of a Fourier
Series
The left-hand limit of f(x) at x0 is defined as the limit
of f(x) as x approaches x0 from the left and is
commonly denoted by f(x0-0). Thus

The right-hand limit is denoted by f(x0+0) and

The left- and right-hand derivatives of f(x)

at x0 are defined as the limits of
and
respectively, as through positive values.
Of course if f(x) is continuous at x0, the last
22 term in both numerators is simply f(x0).
 Example 2
The rectangular wave in Example 1 has a jump at x = 0.
Its left-hand limit there is –k and its right-hand limit is
k (Fig. 261). Hence the average of these limits is 0.
The Fourier series (8) of the wave dos indeed converge
to this value when x=0 because then all its terms are 0.
Similarly for the other jumps. This is in agreement
with Theorem 2.

23
 Summary
A Fourier series of a given function f(x) of period
is a series of the form (5) with coefficients given by
the Euler formulas (6). Theorem 2 gives conditions
that are sufficient for this series to converge and at
each x to have the value f(x), except at discontinuities
of f(x), where the series equals the arithmetic mean of
the left-hand and right-hand limits of f(x) at that point.
(5)
(6.0)
(6.a)
24
(6.b)
 11.2 Arbitrary Period. Even and Odd
Functions. Half-Range Expansions

25
 Introduction
This section concerns three topics:
Transition from period to any period 2L, for the
function f, simply by a transformation of scale on the x-
axis.
Simplifications. Only cosine terms if f is even (“Fourier
cosine series”). Only sine terms if f is odd (“Fourier sine
series”).
Expansion of f given for in two Fourier series,
one having only cosine terms and the other only sine
terms (“half-range expansions”).

26
 Transition
Periodic functions in applications may have any period.
The notation p=2L for the period is practical because L
will be a length of a violin string in Sec. 12.2, of a rod
in heat conduction in Sec. 12.5, and so on.
The transition from period to be period p=2L is
effected by a suitable change of scale, as follows.
Let f(x) have period p = 2L. Then we can introduce a
new variable v such that f(x), as a function of v, has
period .

27
 Transition
If we set
(1) so that

then corresponds to . This means that f,

as a function of v, has period and, therefore, a
Fourier series of the form
(2)
with coefficients obtained from (6) in the last section

(3)

28
 Transition
We could use these formulas directly, but the change to
x simplifies calculations. Since
(4) we have

and we integrate over x from –L to L. Consequently,

we obtain for a function f(x) of period 2L the Fourier
series
(5)
with the Fourier coefficients of f(x) given by the
Euler formulas ( in dx cancels in (3))

29
 Transition
Just as in Sec. 11.1, we continue to call (5) with any
coefficients a trigonometric series. And we can
integrate from 0 to 2L or over any other interval of
length p=2L.
(0)

(6) (a)

(b)

30
 Example 1
Find the Fourier series of the function (Fig. 263)

p=2L=4, L=2

Solution. From (6.0) we obtain a0=k/2. From (6a) we

obtain

Thus an=0 if n is even and

31 (6a)
 (6b)
Example 1
From (6b) we find that bn=0 for n=1, 2, …. Hence the
Fourier series is a Fourier cosine series (that is, it has
no sine terms)

32
 Example 2
Find the Fourier series of the function (Fig. 264)

p=2L=4, L=2

Solution. Since L=2, we have in (3) and

obtain from (8) in Sec. 11.1 with instead of , that
is,

the present Fourier series

Conform this by using (6) and integrating.

33 (8) in Sec. 11.1
 Example 3
A sinusoidal voltage , where t is time, is passed
through a half-wave rectifier that clips the negative
portion of the wave (Fig. 265). Find the Fourier series
of the resulting periodic function

Solution. Since u=0 when –L < t < 0, we obtain from

(6.0), with t instead of x,

34
(6.0)
 Example 3
From (6a), by using formula (11) in App. A3.1 with
and ,

If n=1, the integral on the right is zero, and if n=2,

3, …, we readily obtain

35
 Example 3
If n is odd, this is equal to zero, and for even n we have

In a similar fashion we find from (6b) that b1=E/2 and

bn=0 for n=2, 3, …. Consequently,

36
 Simplifications
If f(x) is an even function, that is, f(-x)=f(x) (see Fig.
266), its Fourier series (5) reduces to a Fourier cosine
series
(5*)
with coefficients (note: integration from 0 to L only!)
(6*)

37
 Simplifications
If f(x) is an odd function, that is, f(-x)=-f(x) (see Fig.
267), its Fourier series (5) reduces to a Fourier sine
series
(5**)
with coefficients
(6**)

38
 Simplifications
These formulas follow from (5) and (6) by
remembering from calculus that the definite integral
gives the net area (=area above the axis minus area
below the axis) under the curve of a function between
the limits of integration. This implies
(a) for even g
(7)
(b) for odd h

(0)
(6) (a)

39
(b)
 Simplifications
Formula (7b) implies the reduction to the cosine series
(even f makes odd since sin is odd) and
to the sine series (odd f makes odd
since cos is even).
Similar, (7a) reduces the integrals in (6*) and (6**) to
integrals from 0 to L. These reductions are obvious
from the graphs of an even and an odd function.

(0)
(a) for even g
(7) (6) (a)
(b) for odd h
40
(b)
 Summary

41
 Example 4
The rectangular wave in Example 1 is even. Hence it
follows without calculation that its Fourier series is a
Fourier cosine series, the bn are all zero.
Similarly, it follows that the Fourier series of the odd
function in Example 2 is a Fourier sine series.
In Example 3 you can see that the Fourier cosine series
represents . This is an even
function.

42
 Theorem 1
Sum and Scalar Multiple
The Fourier coefficients of a sum f1+f2 are the sums of
the corresponding Fourier coefficients of f1 and f2.
The Fourier coefficients of cf are c times the
corresponding Fourier coefficients of f.

43
 Example 5
Find the Fourier series of the function (Fig. 268)

Solution. We have f=f1+f2, where . The

Fourier coefficients of f2 are zero, except for the first
one (the constant term), which is . Hence, by
Theorem 1, the Fourier coefficients an, bn are those of
f1, except for a0, which is . Since f1 is odd, an=0 for
n=1, 2, …, and

44
 Example 5
Integrating by parts, we obtain

Hence, , and the Fourier

series of f(x) is

45
 Half-Range Expansions
Half-range expansions are Fourier series. We want to
represent f(x) in Fig. 270.0 by a Fourier series, where
f(x) may be the shape of a distorted violin string or the
temperature in a metal bar of length L, for example.

46
 Half-Range Expansions
We would extend f(x) as a function of period L and
develop the extended function into a Fourier series.
But this series would, in general, contain both cosine
and sine terms. We can do better and get simpler series.
Indeed, for our given f we can calculate Fourier
coefficients from (6*) or form (6**). And we have a
choice and can make what seems more practical.

(6*)

(6**)
47
 Half-Range Expansions
If we use (6*), we get (5*). This is the even periodic
extension f1 of f in Fig. 270a. If we use (6**), we get
(5**). This is the odd periodic extension f2 of f in Fig.
270b.
Both extensions have period 2L. This motivates the
name half-range expansions: f is given only on half
the range, that is, on half the interval of periodicity of
length 2L.

48
 Example 6
Find the two half-range expansion of the function (Fig.
271)

Solution. (a) Even periodic extension. From (6*) we

obtain

We consider an. For the first integral we obtain by

integration by parts

49
 Example 6
Similarly, for the second integral we obtain

We insert these two results into the formula for an. The
sine terms cancel and so does a factor L2. This gives

Thus,
and an=0 if . Hence the first half-range
expansion of f(x) is Fig. (272a)

This Fourier cosine series represents the even periodic

extension of the given function f(x), of period 2L.
50
 Example 6
(b) Odd periodic extension. Similarly, from (6**) we
obtain
Hence the other half-range expansion of f(x) is (Fig.
272b)

The series represents the odd periodic extension of f(x),

of period 2L.

51
 11.3 Forced Oscillations

52
 Forced Oscillations
Fourier series have important application for both
ODEs and PDEs.
From Sec. 2.8 we know that forced oscillations of a
body of mass m on a spring of modulus k are governed
by the ODE
(1)
where is the displacement from rest, c the
damping constant, k the spring constant, and r(t) the
external force depending on time t.

53
 Forced Oscillations
If r(t) is a sine or cosine function and if there is
damping (c>0), then the steady-state solution is a
harmonic oscillation with frequency equal to that of
r(t).
However, if r(t) is not a pure sine or cosine function
but is any other periodic function, then the steady-state
solution will be a superposition of harmonic
oscillations with frequencies equal to that of r(t) and
integer multiplies of these frequencies.

54
 Forced Oscillations
And if one of these frequencies is close to the
(practical) resonant frequency of the vibrating system
(see Sec. 2.8), then the corresponding oscillation may
be the dominant part of the response of the system to
the external force.
This is what the use of Fourier series will show us. Of
course, this is quite surprising to an observer unfamilar
with Fourier series, which are highly important in the
study of vibrating systems and resonance.

55
 Example 1
In (1), let m = 1 (g), c = 0.05 (g/sec), and k = 25
(g/sec2), so that (1) becomes
(2)
where r(t) is measured in . Let (Fig. 276)

Find the steady-state solution y(t).

56
 Example 1
Solution. We represent r(t) by a Fourier series, finding
(3)
Then we consider the ODE
(4)
whose right side is a single term of the series (3). From
Sec. 2.8 we know that the steady-state solution yn(t) of
(4) is of the form
(5)
By substituting this into (4) we find that
(6)

57
 Example 1
Since the ODE (2) is linear, we may expect the steady-
state solution to be
(7)
where yn is given by (5) and (6). In fact, this follows
readily by substituting (7) into (2) and using the
Fourier series of r(t), provided the termwise
differentiation of (7) is permissible.

(5)

58
 Example 1
From (6) we find that the amplitude of (5) is (a factor
cancels out)

Values of the first few amplitudes are

(5)

(6)
59
 Example 1
Figure 277 shows the input (multiplied by 0.1) and the
output. For n=5 the quantity Dn is very small, the
denominator of C5 is small, and C5 is so large that y5 is the
dominating term in (7).
Hence the output is almost a harmonic oscillation of five
times the frequency of the driving force, a little distorted
due to the term y1, whose amplitude is about 25% of that of
y5. You could make the situation
still more extreme by decreasing
the damping constant c.

60
 11.4 Approximation by
Trigonometric Polynomials

61
 Approximation
Approximation theory: An area that is concerned
with approximating functions by other functions –

Let f(x) be a function on the interval − ≤ ≤ that

usually simpler functions

can be represented on this interval by a Fourier series.

≈ + ∑ ( cos + sin )
Then the Nth partial sum of the Fourier series
(1)
is an approximation of the given f(x).

62
 Approximation
In (1) we choose an arbitrary N and keep it fixed. Then
we ask whether (1) is the “best” approximation of f by
a trigonometric polynomial of the same degree N,

= + ∑ ( cos + sin )
that is, by a function of the form
(2)
Here, “best” means that the “error” of the
approximation is as small as possible.
We have to define error of such an approximation.

63
 Approximation
on the whole interval − ≤ ≤ . This is preferable
Measure the goodness of agreement between f and F

since the sum f of a Fourier series may have jumps.

but the maximum of | − ( )| is large. We

F in this figure is a good overall approximation of f,

"
= #" − !
choose
(3)

64
 Approximation
function f on the interval − ≤ ≤ . Clearly ≥ 0
This is called the square error of F relative to the

(2) such that E is minimum. Since − = −

N being fixed, we want to determine the coefficients in

2 + , we have
" " "
(4) = #" ! − 2 #" ! + #" !
We square (2), insert it into the last integral in (4), and

cos and sin ( ≥ 1), which equal , and

evaluate the occurring integrals. This gives integrals of

integrals of cos , sin , and cos sin ) ,

which are zero.
65
 Approximation
Thus
" "
* ! =* + + cos + sin !
#" #"

= (2 + + ⋯+ + + ⋯+ )

gives integrals of cos as well as sin , just as

We now insert (2) into the integral of fF in (4). This

in Euler’s formulas, Sec. 11.1, for and . Hence

"
* ! = (2 + + ⋯+ + + ⋯+ )
#"

66
 Approximation
With the expressions, (4) becomes
"
(5) =* ! −2 2 + + +
#"

+ 2 + +( + )

We now take = and = in (2). Then in (5)

the second line cancels half of the integral-free

coefficients of the square error, call it ∗ , is

expression in the first line. Hence for this choice of the

"
(6) ∗ = * ! − 2 + +( + )
67 #"
 Approximation
−2 + =
We finally subtract (6) from (5). Then the integrals

− −
drop out and we get terms
and similar terms :

− ∗
= 2 − + + A − + −

Since the sum of squares of real numbers on the right

− ≥0 ≥
cannot be negative,
∗ ∗

and = ∗ if and only if = ⋯, = .

68
 Theorem 1
Theorem 1: Minimum Square Error

on the interval − ≤ ≤ is minimum if and only if

The square error of F in (2) (with fixed N) relative to f

of f. This minimum value ∗ is given by (6).

the coefficients of F in (2) are the Fourier coefficients

From (6) we see that ∗ cannot increase as N increases,

but may decrease. Hence with increasing N the partial
sums of the Fourier series of f yield better and better
approximations to f, considered from the viewpoint of
the square error.
69
 Theorem 1
Since ∗ ≥ 0 and (6) holds for every N, we obtain
from (6) the important Bessel’s inequality
1 "
(7) 2 ++ + ≤ * !
#"

for the Fourier coefficients of any function f for which

integral on the right exists.

"
(6) ∗ = * ! − 2 + +( + )
#"

70
 Theorem 1
It can be shown that for such a function f, Parseval’s
theorem holds; that is, formula (7) holds with the
equality sign, so that it becomes Parseval’s identity
/
1 "
(8) 2 + +( + )= * !
#"

71
 Example 1
Compute the minimum square error ∗ of F(x) with

= + (− < < )
N=1, 2, …, 10, 20, …, 100, and 1000 relative to

on the interval − ≤ ≤
Solution.
1 1 −1 2
= + 2 (sin − sin 2 + sin 3 − + ⋯ + sin 3 )
2 3 3
By Example 3 in Sec. 11.3. From this and (6),
"
1
∗ = * + ! − 2 +4+
#"

72
 Example 1
Numeric values are

73
 11.5 Sturm-Liouville Problems.
Orthogonal Functions

74
 Sturm-Liouville Problem
Can we replace the trigonometric system by other
orthogonal systems (sets of other orthogonal functions)?
The answer is yes.

8 9: : + ; + 5< 9=0
Consider a second-order ODE of the form

≤ ≤ , satisfying equations of
(1)
on some interval
the form
6 9 + 6 9: = 0 =
7 9 + 7 9: = 0 =
(2a)
(2b)
Here 5 is a parameter, and 6 , 6 , 7 , 7 are given real
constants.
75
 Sturm-Liouville Problem
At least one of each constant in each condition (2)
must be different from zero.
Equation (1) is known as a Sturm-Liouville equation.
Together with conditions 2(a), 2(b) it is known as the
Sturm-Liouville problem.
A boundary value problem consists of an ODE and
given boundary conditions referring to the two

interval ≤ ≤
boundary points (endpoints) x=a and x=b of a given

76
 Eigenvalues, Eigenfunctions
Clearly, 9 ≡ 0 is a solution – the trivial solution – of
the problem (1), (2) for any 5 because (1) is
homogeneous and (2) has zeros on the right. This is of

We want to find eigenfunctions 9 , that is, solutions

no interest.

call a number 5 for which an eigenfunction exists an

of (1) satisfying (2) without being identically zero. We

eigenvalue of the Sturm-Liouville problem (1), (2).

(1) 8 9: : + ; + 5< 9=0

6 9 + 6 9: = 0 =
7 9 + 7 9: = 0 =
(2a)
77
(2b)
 Example 1
Find the eigenvalues of eigenfunctions of the Sturm-

9 :: + 59 = 0, 9 0 = 0, 9 =0
Liouville problem
(3)
This problem arises, for instance, if an elastic string (a

at its ends = 0 and = and then allowed to

violin string, for example) is stretched a little and fixed

vibrate. Then 9
deflection >( , ?) of the string, assumed in the form
is the “space function” of the

> , ? = 9 @(?), where ? is time.

78
 (3) 9 :: + 59 = 0, 9 0 = 0, 9 =0

Example 1
Solution. From (1) and (2) we see that 8 = 1, ; =
0, < = 1 in (1), and = 0, = , 6 = 7 = 1, 6 =
7 = 0 in (2). For negative 5 = −A a general solution
of the ODE in (3) is 9 = B C DE + B C #DE .
From the boundary conditions we obtain B = B = 0,
so that 9 ≡ 0, which is not an eigenfunction. For
5 = 0 the situation is similar. For positive 5 = A a
general solution is 9 = cos A + sin A

(1) 8 9: : + ; + 5< 9=0

6 9 + 6 9: = 0 =
7 9 + 7 9: = 0 =
(2a)
79
(2b)
 9 = cos A + sin A

Example 1
9 0 = = 0. The second boundary condition then
From the first boundary condition we obtain

yields 9 = FG A = 0, thus A = 0, ±1, ±2, ….

For A = 0 we have 9 ≡ 0. For 5 = A = 1, 4, 9, 16, ⋯,
taking = 1, we obtain 9 = sin A , A = 5 =
1, 2, ….
Hence the eigenvalues of the problem are 5 = A ,
where A = 1, 2, …, and corresponding eigenfunctions
are 9 = sin A , where A = 1, 2, ….

80
 Eigenvalues, Eigenfunctions
Note that the solution to this problem is precisely the
trigonometric system of the Fourier series considered

Under rather general conditions on the functions 8, ;, <

earlier.

in (1), the Sturm-Liouville problem (1), (2) has

If 8, ;, <, 8′ in (1) are real-valued and continuous on

infinitely many eigenvalues.

the interval ≤ ≤ and < is positive throughout

that interval, then all the eigenvalues of the Sturm-
Liouville problem (1), (2) are real.
8 9: : + ; + 5< 9=0
6 9 + 6 9: = 0 =
(1)
7 9 + 7 9: = 0 =
81
(2a)
(2b)
 Orthogonal Functions
Functions 9 ,9 , … defined on some interval
≤ ≤ are call orthogonal on this interval with
respect to the weight function < > 0 if for all )
and all different from ),
O
(4) 9N , 9 = * < 9N 9 ! =0
P
(9N , 9 ) is a standard notation for this integral. The
norm 9N of 9N is defined by
O
9N = (9N , 9N ) = * < 9N !
(5)
P

with = )
Note that this is the square root of the integral in (4)
82
 Orthogonal Functions
The functions 9 , 9 , … are called orthonormal on
≤ ≤ if they are orthogonal on this interval and
all have norm 1.

Kronecker symbol QN , namely

Then we can write (4), (5) jointly by using the

O
0 G ) ≠
9N , 9 = * < 9N 9 ! = QN = R
P
1 G ) =

If < = 1, we more briefly call the functions

< = 1; similarly for orthognormality. Then

orthogonal instead of orthogonal with respect to

O O
9N , 9 = * 9N 9 ! =0 9N = (9N , 9N ) = * 9N !
() ≠ )
83 P P
 Example 2
The functions 9N = sin ) , ) = 1, 2, … form an
orthogonal set on the interval − ≤ ≤ , because
for ) ≠ we obtain by integration () ≠ )
"
1 " 1 "
9N , 9 = * sin ) sin ! = * cos ) − ! − * cos ) + ! =0
#" 2 #" 2 #"

The norm 9N = (9N , 9N ) equals because

"
9N = 9N , 9N = * sin ) ! =
#"
Hence the corresponding orthonormal set, obtained by
division by the norm, is
TUV E TUV E TUV WE
, ,…
" " "
,
84
 Theorem 1
Theorem 1. Orthogonality of Eigenfunctions of

Suppose that the functions 8, ;, <, 8′ in the Sturm-

Sturm-Liouville Problems

and < > 0 on the interval ≤ ≤ . Let 9N ( )

Liouville equation (1) are real-valued and continuous

and 9 ( ) be eigenfunctions of the Sturm-Liouville

eigenvalues 5N and 5 , respectively. Then 9N , 9 are

problem (1), (2) that correspond to different

function <, that is,

orthogonal on that interval with respect to the weight

O
(6) 9N , 9 = * < 9N 9 ! =0 () ≠ )
P
85
 Theorem 1
If 8 = 0, then (2a) can be dropped from the
problem. If 8 = 0, then (2b) can be dropped. [It is
then required that 9 and 9′ remain bounded at such a
point, and the problem is called singular, as opposed

If 8 = 8( ), then (2) can be replaced by the

to a regular problem in which (2) is used.]

“periodic boundary conditions”

(7) 9 =9 , 9: = 9′( )
The boundary value problem consisting of the Sturm-
Liouville equation (1) and the periodic boundary
conditions (7) is called a periodic Sturm-Liouville
86
problem.
 Example 3
with 8 = 1, ; = 0, < = 1. From Theorem 1 it follows
The ODE in Example 1 is a Sturm-Liouville equation

that the eigenfunctions 9N = sin ) () = 1, 2, … ) are

orthogonal on the interval 0 ≤ ≤

87
 Example 4
Legendre’s equation 1 − 9 :: − 2 9 : + +1 9 =0

1− 9 : : + 59 = 0 5 = ( + 1)
may be written

8 = 1 − , ; = 0, < = 1. Since 8 −1 = 8 1 = 0, we
Hence, this is a Sturm-Liouville equation (1) with

Liouville problem on the interval −1 ≤ ≤ 1. We know

need no boundary conditions, but have a “singular” Sturm-

that for = 0, 1, … , hence 5 = 0, 1 ⋅ 2, 2 ⋅ 3, … , the

Legendre polynomials Z are solutions of the problem.
Hence these are the eigenfunctions. From Theorem 1 it
follows that they are orthogonal on that interval, that is,
* ZN Z ! =0 () ≠ )
#
88
 11.6 Orthogonal Series. Generalized
Fourier Series

89
 Orthogonal Series
Let 9 , 9 , 9 , ⋯ be orthogonal with respect to a weight
function < on an interval ≤ ≤ , and let ( )
be a function that can be represented by a convergent
series /

(1) = + N 9N ( )= 9 + 9 +⋯
N

This is called an orthogonal series, orthogonal

If the 9N are the eigenfunctions of a Sturm-Liouville

expansion, and generalized Fourier series.

problem, we call (1) an eigenfunction expansion.

90
 /

(1) = + N 9N ( )= 9 + 9 +⋯
N

Orthogonal Series
Given ( ), we have to determine the coefficients in

to 9 , 9 , ….
(1), called the Fourier constants of with respect

multiply both sides of (1) by < 9 ( ) (n fixed) and

Because of the orthogonality, this is simple. We

then integrate on both sides from a to b. We assume

that term-by-term integration is permissible. Then we
obtain
O O / / O /

,9 =* < 9 ! =* < + N 9N 9 ! = + N* <9N 9 ! = + N (9N , 9 )

P P N N P N

91
 Orthogonal Series
right are zero, except when ) = . Hence the whole
Because of the orthogonality all the integrals on the

infinite series reduces to the single term

9 ,9 = 9 ,9 = 9

Assuming that all the functions 9 have nonzero norm,

we can divide by 9 ; writing again ) for , to be
in agreement with (1), we get the desired formula for

( , 9N ) 1
the Fourier constants
O
= = * < 9N !
N
9N 9N
(2)
P
92
( = 0, 1, … )
 Example 1
A Fourier-Legendre series is an eigenfunction
expansion
/

= + N ZN = Z + Z + Z +⋯= + + W
− +⋯
N

in terms of Legendre polynomials. The latter are the

Example 4 of Sec. 11.5 on the interval −1 ≤ ≤ 1.

eigenfunctions of the Sturm-Liouville problem in

93
 Example 1
We have < = 1 for Legendre’s equation, and (2)

2) + 1
gives
= * ZN ! ) = 0, 1, …
(3) N
2 #

because the norm is

2
ZN = * ZN ! = ) = 0, 1, …
2) + 1
(4)
#

as we state without proof.

94
 Example 1
For instance, let = sin . Then we obtain the

2) + 1
coefficients
= * (sin )ZN !
N
2 #
3 3
= * (sin ) ! = = 0.95493
2 #

Hence the Fourier-Legendre series of sin is

sin = 0.95493Z − 1.15824ZW + 0.21929Z^ − 0.01664Z[
+0.00068Z_ − 0.00002Z +⋯

The coefficient of Z W is about 3 ⋅ 10#[ . The sum of

the first three nonzero terms gives a curve that
practically coincides with the sine curve.
95
 Mean Square Convergence.
Completeness
A sequence of functions ` is called convergent with
lim − =0
the limit if
`
(12*) `→/

written out by (5) in Sec. 11.5 (where we can drop the

square root, as this does not affect the limit)
O
lim * <( ) ` − ! =0
(12) `→/ P

Accordingly, the series (1) converges and represents

O
if lim * < F` − ! =0
(13) `→/ P

where F` is the 6th partial sum of (1)

`

(14) F` = + N 9N ( )
N
96
 Mean Square Convergence.
Completeness
An orthonormal set 9 , 9 , ⋯ on an interval
≤ ≤ is complete in a set of functions S defined
on ≤ ≤ if we approximate every belonging to

combination 9 + 9 + ⋯ + ` 9` , that is,

S arbitrarily closely in the norm by a linear

technically, if for every d > 0 we can find constants

, ⋯ , ` (with 6 large enough) such that
(15) −( 9 + ⋯+ ` 9` ) <d

97
 Mean Square Convergence.
Completeness
Performing the square in (13) and using (14), we first
have
O O O O
lim * < F` − ! = * <F` ! − 2 * < F` ! + * < !
`→/ P P P P
O ` ` O O
=* < + N 9N ! −2 + N* < 9N ! + * < !
P N N P P

The first integral on the right equals ∑ N because

<9N 9e ! = 0 for ) ≠ 7 , and <9N ! = 1. In the
second sum on the right, the integral equals N , by (2)
with 9N = 1.

98
 Mean Square Convergence.
Completeness
Hence the first term on the right cancels half of the
second term, so that the right side reduces to
` O
−+ N +* < !
N P

This is nonnegative because in the previous formula

weight <( ) is positive!) and so is the integral on the

the integrand on the left is nonnegative (recall that the

left. This proves the important Bessel’s inequality

` O
(16) + N ≤ = * <( ) ( ) ! (6 = 1, 2, … )
N P

99
 Mean Square Convergence.
Completeness
Here we can let 6 → ∞, because the left sides form a
monotone increasing sequence that is bounded by the
right side, so that we have convergence by the familiar
Theorem 1 in App. A.3.3 Hence
/

(17) + N ≤
N

Furthermore, if 9 , 9 , … is complete in as set of

By (13) this implies equality in (16) with 6 → ∞.

functions S, then (13) holds for every belonging to S.

100
 Mean Square Convergence.
Completeness
Hence in the case of completeness every in S
satisfies the so-called Parseval equality
/ O
(18) + N = = * <( ) ( ) !
N P

As a consequence of (18) we prove that in the sense of

completeness there is no function orthogonal to every
function of the orthonormal set, with the trivial
exception of a function of zero norm.

101
 Theorem 2 Completeness
Let 9 , 9 , … be a complete orthonormal set on
≤ ≤ in a set of functions S. Then if a function
belongs to S and is orthogonal to every 9N , it must
have norm zero. In particular, if is continuous, then
must be identically zero.

102
 11.7 Fourier Integral

103
 Fourier Integral
Manny problems involve functions that are
nonperiodic and are of interest on the whole x-axis,
we ask what can be done to extend the method of
Fourier series to such functions. This idea will lead to

We start from a special function g of period 2h and

“Fourier integrals.”

see what happens to its Fourier series if we let h → ∞.

Then we do the same for an arbitrary function g of
period 2h.

104
 Example 1
g( ) of period
2h > 2 given by
Consider the periodic rectangular wave

0 G − h < < −1
g = i 1 G − 1 < < 1
0 G 1 < < h

2h = 4, 8, 16 as well as the nonperiodic function ( ),

The left part of Fig. 280 shows this function from

which we obtain from g if we let h → ∞,

1 G − 1 < < 1
= lim =j
g→/
g
0 k?lC<@GFC

105
 Example 1

106
 Example 1
coefficients of g as h increases. Since g is even,
We now explore what happens to the Fourier

= 0 for all . For the Euler formulas (6), Sec.

11.2, give
1 1
= * ! =
2h # h
1 2 2 sin( /h)
= * cos ! = * cos ! =
h # h h h h /h

107
 Example 1
This sequence of Fourier coefficients is called the
amplitude spectrum of g because
maximum amplitude of the wave cos( /h).
is the

2h = 4, 8, 16. We see that for increasing h these

Figure 280 shows this spectrum for the periods

positive @ -axis, where @ = /h. Indeed, for

amplitudes become more and more dense on the

2h = 4, 8, 16 we have 1, 3, 7 amplitudes per “half-

wave” of the function (2 sin @ )/(h@ ) (dashed in
the figure). Hence for 2h = 2` we have 2`# − 1

eventually be everywhere dense on the positive @ -

amplitudes per half-wave, so that these amplitudes will

108 axis (and will decrease to zero.)

 From Fourier Series to Fourier Integral
We now consider any periodic function g
2h that can be represented by a Fourier series
of period

= + +( cos @ + sin @ ) @ =
g
h

and find out what happens if we let h → ∞. Together

with Example 1 the present calculation will suggest

involving cos @ and sin @ with @ no longer

that we should expect an integral (instead of a series)

restricted to integer multiples @ = @ = /h of /h

but taking all values. We shall also see what form such
an integral might have.
109
 From Fourier Series to Fourier Integral

11.2, and denote the variable of integration by A, the

If we insert and from the Euler formulas (6), Sec.

Fourier series of g ( ) becomes

1 g
= * A !A
g
2h #g g
/
1 g g
+ + cos @ * A cos @ A !A + sin @ * A sin @ A !A
h #g
g
#g
g

+1
We now set
Δ@ = @ −@ = − =
2
h h h

110
 From Fourier Series to Fourier Integral
Then = Δ@/ , and we may write the Fourier series
g
in the form
1 g
(1)
= * A !A
g
2h #g g
/
1 g g
+ + (cos @ )Δ@ * g A cos @ A !A + (sin @ )Δ@ * g A sin @ A !A
#g #g

This representation is valid for any fixed h, arbitrarily

large, but finite.

111
 From Fourier Series to Fourier Integral
We now let h → ∞ and assume that the resulting
nonperiodic function
= lim g( )
g→/

is absolutely integrable on the x-axis; that is, the

following (finite!) limits exist:
O
lim * ( ) ! + lim * ( )!
P→#/ P O→/
(2)
/
written * ( )!
#/

112
 From Fourier Series to Fourier Integral
Then → 0, and the value of the first term on the right
g
"
side of (1) approaches zero. Also Δ@ = → 0 and it
g

an integral from 0 to ∞, which represents

seems plausible that the infinite series in (1) becomes
,
namely
1 / / /
(3) = * cos @ * A cos @A!A + sin @ * A sin @A !A !@
#/ #/

1 g
= * A !A
(1) g
2h #g g
/
1 g g
+ + (cos @ )Δ@ * g A cos @ A !A + (sin @ )Δ@ * g A sin @ A !A
113 #g #g
 From Fourier Series to Fourier Integral

1 1
If we introduce the notations
/ /
(4) @ = * A cos @A !A @ = * A sin @A !A
#/ #/

we can write this in the form

1 /
(5) = * (@)cos @ + @ sin @ !@

This is called a representation of ( ) by a Fourier

integral.

114
 Theorem 1 Fourier Integral
If ( ) is piecewise continuous (see Sec. 6.1) in every
finite interval and has a right-hand derivative and a

if the integral (2) exists, then ( ) can be represented

left-hand derivative at every point (see Sec. 11.1) and

a point where ( ) is discontinuous the value of the

by a Fourier integral (5) with and given by (4). At

right-hand limits of ( ) at that point (see Sec. 11.1).

Fourier integral equals the average of the left- and

115
 Example 2
The main application of Fourier integrals is in solving
ODEs and PDEs.
Find the Fourier integral representation of the function
1 G 01
=R
0 G M1

116
 1 /
(5) = * (@)cos @ + @ sin @ !@

Example 2
Solution. From (4) we obtain
1 /
1 sin @A 2 sin @
@ = * A cos @A !A = * cos @A !A = o =
#/ # @ # @

1
@ = * sin @A !A = 0
#

and (5) gives the answer

2 cos @ sin @
/
= * !@
(6) @

The average of the left- and right-hand limits of ( )

at = 1 is equal to 1 + 0 /2, that is, .
117
 Example 2
(multiply by /2)
Furthermore, from (6) and Theorem 1 we obtain

G 0 ≤ <1
/
cos @ sin @ 2
* !@ = G = 1
(7) @ 4
0 G > 1

We mention that this integral is called Dirichlet’s

discontinuous factor.

118
 Example 2
The case = 0 is of particular interest. If 0, then
(7) gives
sin @
/
* !@
@ 2
(8*)

We see that this integral is the limit of the so-called

sine integral q
sin @
pG > * !@
(8) @
as > → ∞. The graphs of Si(u)
and of the integrand are shown
in Fig. 282.
119
 Example 2
In the case of a Fourier series the graphs of the partial
sums are approximation curves of the curve of the
periodic function represented by the series. Similarly,

are obtained by replacing ∞ by numbers . Hence the

in the case of the Fourier integral (5), approximations

2 P
cos @ sin @
integral
* !@
(9) @
approximates the right side in (6) and therefore ( ).

2 /
cos @ sin @
= * !@
(6) @
120
 Example 2
discontinuity of ( ). We might expect that these
Figure 283 shows oscillations near the points of

oscillations disappear as approaches infinity. But this

the points ± 1. This unexpected behavior, which also

is not true; with increasing , they are shifted closer to

occurs in connection with Fourier series, is known as

the Gibbs phenomenon.

121
 Example 2
Using (11) in App. A3.1, we have
2 P
cos @ sin @ 1 P sin(@ + @ ) 1 P sin(@ − @ )
* !@ = * !@ + * !@
@ @ @

In the first integral on the right we set @ + @ = ?.

rs rt
= , and 0 ≤ @ ≤ corresponds to
s t
Then
0 ≤ ? ≤ + 1 . In the last integral we set
rs rt
@ − @ = −?. Then = , and 0 ≤ @ ≤
s t
corresponds to 0 ≤ ? ≤ − 1 .

122
 sin @ q
pG > = * !@
@
(8)
Example 2
Since sin −? = − sin ?, we thus obtain
2 P
cos @ sin @ 1 (E2 )P
sin ? 1 (E# )P
sin ?
* !@ = * !? − * !?
@ ? ?

From this and (8) we see that our integral (9) equals
1 1
pG +1 − pG( [ − 1])

and the oscillations in Fig. 283 result from those in Fig.

282. The increase of amounts to a transformation of
the scale on the axis and causes the shift of the
oscillations (the waves) toward the points of
discontinuity -1 and 1.
123
 Fourier Cosine Integral and Fourier Sine
Integral

then @ = 0 in (4). This holds because the integrand

If has a Fourier integral representation and is even,

of (@) is odd. Then (5) reduces to a Fourier cosine

integral
/
2 /
(10) =* @ cos @ !@ @ = * A cos @A !A

Note the change in @ : for even the integrand is

even, hence the integral from −∞ to ∞ equals twice
the integral from 0 to ∞, just as in (7a) of Sec. 11.2.
1 /
1 /
(4) @ = * A cos @A !A @ = * A sin @A !A
#/ #/
1 /
(5) = * (@)cos @ + @ sin @ !@
124
 Fourier Cosine Integral and Fourier Sine
Integral

is odd, then @ = 0 in (4). This is true because the

Similarly, if has a Fourier integral representation and

integrand of (@) is odd. Then (5) becomes a Fourier

sine integral
/
2 /
(11) =* @ sin @ !@ @ = * A sin @A !A

Note the change of (@) to an integral from 0 to ∞

because (@) is even (odd times odd is even).

1 /
1 /
(4) @ = * A cos @A !A @ = * A sin @A !A
#/ #/
1 /
(5) = * (@)cos @ + @ sin @ !@
125
 11.8 Fourier Cosine and Sine
Transforms

126
 Integral Transform
An integral transform is a transformation in the form
of an integral that produces from given function new
functions depending on a different variable.
One is mainly interested in these transforms because
they can be used as tools in solving ODEs, PDEs, and
integral equations and can often be of help in handling
and applying special functions.
Laplace transform is an example.
/
F =ℒ = * C #xt ? !?

127
 Fourier Cosine Transform
( ). We obtain it from the Fourier cosine integral
The Fourier cosine transform concerns even functions

/
2 /
=* @ cos @ !@ @ = * A cos @A !A

Namely, we set @ = 2/ yz (@), where B

suggests “cosine”. Then, writing A = in the formula
for (@), we have
/
(1a) yz @ = 2/ * cos @ !
/
(1b) = 2/ * yz (@) cos @ !@
128
 Fourier Cosine Transform
Formula (1a) gives from ( ) a new function yz (@),
called the Fourier cosine transform of ( ). Formula
(1b) gives us back ( ) from yz @ , and we therefore
call ( ) the inverse Fourier cosine transform of
yz @ .
The process of obtaining the transform yz from a given
is also called the Fourier cosine transform or the
Fourier cosine transform method.

129
 /
2 /
(11) =* @ sin @ !@ @ = * A sin @A !A

Fourier Sine Transform

Similarly, in (11), Sec. 11.7, we set @ =
2/ yx (@), where F suggests “sine.” Then, writing
A = , we have from (11), Sec. 11.7, the Fourier sine
transform, of ( ) given by
/
(2a) yx @ = 2/ * sin @ !

and the inverse Fourier sine transform of yx (@),

/
given by
(2b) = 2/ * yx (@) sin @ !@

130
 Fourier Sine Transform
The process of obtaining x (@) from is also
called the Fourier sine transform or the Fourier sine
transform method.

ℱz = yz ℱx = yx
Other notations are

and ℱz# and ℱx# for the inverses of ℱz and ℱx ,

respectively.

131
 Example 1
Find the Fourier cosine and Fourier sine transforms of
6 G 0 < <
the function
=R
0 G >
Solution. From the definitions (1a) and (2a) we obtain
by integration
P
sin @
yz @ = 2/ 6 * cos @ ! = 2/ 6
@
P
1 − BkF @
yx @ = 2/ 6 * sin @ ! = 2/ 6
@

Sec. 11.10 (where 6 = 1)

This agrees with formulas 1 in the first two tables in

132
 Example 2
Find ℱz C #E
Solution. By integration by parts and recursion
/
2 /
2 C #E 2/
ℱz C #E
= * C #E
cos @ ! = − cos @ + @ sin @ | =
1+@ 1+@

= 1.
This agrees with formula 3 in Table I, Sec. 11.10, with

133
 Linearity, Transforms of Derivatives
These transforms have operational properties that
permit them to convert differentiations into algebraic

If ( ) ins absolutely integrable on the positive x-axis

operations (just as the Laplace transform does).

and piecewise continuous on every finite interval, then

If and } have Fourier cosine and sine transforms, so

the Fourier cosine and sine transforms of exists.

does + } for any constants and , and by (1a)

/
ℱz + } = 2/ * + } cos @ !
/ /
= 2/ * cos @ ! + 2/ * } cos @ !
134
 Linearity, Transforms of Derivatives
The right side is ℱz + ℱz } . Similarly for ℱx by
(2). This shows that the Fourier cosine and sine
transforms are linear operations,
ℱz + } = ℱz + ℱz }
ℱx + } = ℱx + ℱx }
(3a)
(3b)

135
 Theorem 1 Cosine and Sine Transforms
of Derivatives

the x-axis, let :

Let be continuous and absolutely integrable on

→ 0 as → ∞. Then
be piecewise continuous on every
finite interval, and let
2
(4a) ℱz :( ) = @ℱx ( ) − (0)

(4b) ℱx :
( ) = −@ℱz ( )

136
 Theorem 1 Cosine and Sine Transforms
of Derivatives
This follows from the definitions and by using
integration by parts, namely
/
ℱz :(
) = 2/ * :
cos @ !
/ /
= 2/ cos @ ~ + @ * sin @ !

2
=− 0 + @ℱx ( ( ))

/
ℱx :
( ) = 2/ * :
sin @ !
/ /
= 2/ sin @ ~ − @ * cos @ !
= 0 − @ℱz ( ( ))
137
 Linearity, Transforms of Derivatives
Formula (4a) with ′ instead of gives (when ′, ′′
satisfy the respective assumptions for , ′ in Theorem
2
ℱz ( ) = @ℱx ( ) − ′(0)
1) :: :

hence by (4b)
2
(5a) ℱz ::
( ) = −@ ℱz ( ) − ′(0)

Similarly,
2
(5b) ℱx ::
( ) = −@ ℱx + @ (0)

138
 Example 3
Find the Fourier cosine transform ℱz (C #PE ) of
= C #PE , where > 0.
Solution. By differentiation, C #PE :: = C #PE ; thus
= ′′( ) . From this, (5a)., and the linearity (3a)
2
ℱz = ℱz :: = −@ ℱz − : 0 = −@ ℱz + 2/

Hence + @ ℱz = 2/ . The answer is

P
ℱz C #PE = ( > 0)
" P• 2s •

139
 11.9 Fourier Transform. Discrete and
Fast Fourier Transforms

140
 Complex Form of the Fourier Integral
The (real) Fourier integral is [see (4), (5), Sec. 11.7]
/
=* (@)cos @ + @ sin @ !@

1 1
where
/ /
@ = * A cos @A !A @ = * A sin @A !A
#/ #/

Substituting and into the integral for , we have

1 / /
= * * (A) cos @A cos @ + sin @A sin @ !A!@
#/

141
 Complex Form of the Fourier Integral
By the addition formula for the cosine [(6) in App. 3.1]

cos(@A − @ ) or, since the cosine is even,

the expression in the brackets […] equals

cos(@ − @A). We thus obtain

1 / /
(1*) = * * (A) cos(@ − @A) !A !@
#/

The integral in brackets in an even function of @, call

it (@), because cos(@ − @A) is an even function of
@, the function does not depend on @, and we
integrate with respect to A (not @).

142
 Complex Form of the Fourier Integral
Hence the integral of (@) from @ = 0 to ∞ is times
the integral of (@) from −∞ to ∞. Thus (note the
change of the integration limit!)
1 / /
= * * (A) cos(@ − @A) !A !@
2 #/ #/
(1)
We claim that the integral of the form (1) with FG
instead of BkF is zero:
1 / /
(2) * * (A) sin(@ − @A) !A !@ = 0
2 #/ #/

143
 Complex Form of the Fourier Integral
1 / /
(2) * * (A) sin(@ − @A) !A !@ = 0
2 #/ #/
This is true since sin(@ − @A) is an odd function of
@, which makes the integral in brackets an odd
function of @, call it € @ . Hence the integral of €(@)
from −∞ to ∞ is zero, as claimed.

144
 Complex Form of the Fourier Integral
We now take the integrand of (1) plus G(= −1) times
the integrand of (2) and use the Euler formula [(11) in

C •E = cos + G sin
Sec. 2.2]

Taking @ − @A instead of
(3)

(A) gives
in (3) and multiplying by

A cos(@ − @A) + G A sin(@ − @A) = A C• sE#sD

Hence the result of adding (1) plus G times (2), called

the complex Fourier integral, is
1 / /
= * * (A) C •s E#D !A !@
2 #/ #/
(4)
145
 Fourier Transform and Its Inverse
Writing the exponential function in (4) as a product of
exponential functions, we have
1 /
1 /
(5) = * * (A) C •sD !A C •sE !@
2 #/ 2 #/

The expression in brackets is a function of @, is

denoted by y(@), and is called the Fourier transform
of ; writing A = , we have
1 /
(6) y @ * C #•sE !
2 #/

146
 Fourier Transform and Its Inverse
With this, (5) becomes
1 /
(7) = * y @ C •sE !@
2 #/

and is called the inverse Fourier transform of y(@)

y = ℱ( ) so that = ℱ # ( y)
Another notation for the Fourier transform is

147
 Theorem 1

If ( ) is absolutely integrable on the x-axis and

Existence of the Fourier Transform

Fourier transform y(@) of ( ) given by (6) exists.

piecewise continuous on every finite interval, then the

148
 Example 1
= 1 if < 1 and
= 0 otherwise.
Find the Fourier transform of

Solution. Using (6) and integrating, we obtain

1 1 1
y @ =
C #•sE
* C #•sE
! ⋅ ‚ C #•s − C •s
2 # 2 −G@ # −G@ 2

As in (3) we have C •s = cos @ + G sin @, C #•s =

cos @ − G sin @, and by subtraction C •s − C #•s =
2G sin @. Substituting this in the previous formula on
the right, we see that G drops out and we obtain the
answer sin @
y @ /2
@
149
 Example 2
Find the Fourier transform ℱ(C #PE ) of = C #PE if
> 0 and = 0 if < 0; here > 0.
Solution. From the definition (6) we obtain by

1
integration
/
ℱ C #PE = * C #PE C #•sE !
2
/
ƒ „ …†‡ˆ ‰
o
" # P2•s E "(P2•s)

This proves formula 5 of Table III in Sec. 11.10.

150
 Physical Interpretation: Spectrum
The nature of the representation (7) of ( ) becomes
clear if we think of it as a superposition of sinusoidal
oscillations of all possible frequencies, called a
spectral representation.
This name is suggested by optics, where light is such a

“spectral density” y(@) measures the intensity of

superposition of colors (frequencies). In (7), the

( ) in the frequency interval between @ and @ + Δ@

(Δ@ small, fixed).

151
 Physical Interpretation: Spectrum

y @ !@ can be interpreted as the total

We claim that, in connection with vibrations, the
/
#/
integral

y @ from to gives the contribution of the

energy of the physical system. Hence an integral of

frequencies @ between and to the total energy.

152
 Physical Interpretation: Spectrum
To make this plausible, we begin with a mechanical
system giving a single frequency, namely, the
harmonic oscillator (mass on a spring, Sec. 2.4)
)9 :: + 69 = 0

Here we denote time ? by . Multiplication by 9′ gives

)9 : 9 :: + 69 : 9 = 0. By integration,
1 1
)A + 69 = = Bk F?
2 2
where A = 9′ is the velocity. The first term is the
kinetic energy, the second the potential energy, and
the total energy of the system.
153
 Physical Interpretation: Spectrum
?= )
Now a general solution is (use (3) in Sec. 11.4 with

9= cos @ + sin @ = B C •s‹ E + B# C #•s‹ E

@ = 6/)
where B = ( − G )/2, B# = B̅ = ( + G )/2.
We write simply = B C •s‹ E , = B# C #•s‹ E . Then
9 = + . By differentiation, A = 9 : = : + : =
G@ ( − ). Substitution of A and 9 on the left side of

1 1 1 1
the equation for gives
= )A + 69 = ) G@ − + 6 +
2 2 2 2

154
 Physical Interpretation: Spectrum
`
Here @ = as just stated; hence )@ = 6. Also
N
,
G = −1, so that
1
= 6− − + + = 26
2
= 26B C •s‹ E B# C #•s‹ E = 26B B# = 26 B

amplitude B
Hence the energy is proportional to the square of the

155
 Physical Interpretation: Spectrum
a periodic solution 9 = ( ) that can be represented
As the next step, if a more complicated system leads to

term B we get a series of square B

by a Fourier series, then instead of the single energy

coefficients B given by (6), Sec. 11.4. In this case we

of Fourier

have a “discrete spectrum” (or “point spectrum”)

(infinitely many, in general), that corresponding B

consisting of countably many isolated frequencies

being the contributions to the total energy.

156
 Linearity. Fourier Transform of
Derivatives
Theorem 2. Linearity of the Fourier Transform. The

any functions ( ) and }( ) whose Fourier transforms

Fourier transform is a linear operation; that is , for

+ } exists, and
exist and any constants and , the Fourier transform
of
(8) ℱ + } = ℱ + ℱ(})
Proof.
1 /
ℱ ( ) + }( ) = * + } C #•sE !
2
1 1
#/
/ /
* C #•sE ! + * } C #•sE !
2 #/ 2 #/
ℱ + ℱ(} )
157
 Linearity. Fourier Transform of
Derivatives

Œ(•)
Theorem 3. Fourier Transform of the Derivative of

Let ( ) be continuous on the x-axis and → 0 as

→ ∞. Furthermore, let ′( ) be absolutely
integrable on the x-axis. Then
(9) ℱ : = G@ℱ( ( ))

158
 Linearity. Fourier Transform of
Derivatives
Proof. From the definition of the Fourier transform we
1 /
:
ℱ =
have :
*
#•sE
C !
2 #/

Integrating by parts, we obtain

1 / /
ℱ : C #•sE ~ − (−G@) * C #•sE !
2 #/

→ 0 as → ∞, the desired result follows,

#/

Since
namely, ℱ : 0 + G@ℱ( ( )).

159
 Linearity. Fourier Transform of
Derivatives
Two successive applications of (9) give ℱ :: =
G@ℱ : = G@ ℱ( ).
Since G@ = −@ , we have for the transform of the
second derivative of
(10) ℱ :: = −@ ℱ( ( ))

Similarly for higher derivatives.

160
 Example 3
C #E •
Find the Fourier transform of from Table III,
Sec. 11.10
Solution. We use (9). By formula 9 in Table III
1 #E• :
ℱ C #E =ℱ − C
•

2
1 :
=− ℱ C #E •
2
1
= − G@ ℱ C #E •

2
1 1 #s •
= − G@ C Ž
2 2
G@ #s •/Ž
=− C
2 2
161
 Convolution
The convolution ∗ } of functions and } is defined
by / /
(11) ℎ ∗} * 8 } − 8 !8 * − 8 } 8 !8
#/ #/

The purpose is the same as in the case of Laplace

transforms (Sec. 6.5): taking the convolution of two
functions and then taking the transform of the
convolution is the same as multiplying the transforms
of these functions (and multiplying them by 2 )

162
 Convolution
and }( ) are piecewise continuous, bounded, and
Theorem 4. Convolution Theorem. Suppose that

absolutely integrable on the x-axis. Then

(12) ℱ ∗} 2 ℱ( )ℱ(})

of (12), writing y = ℱ( ) and }• = ℱ(}) as before,

By taking the inverse Fourier transform on both sides

and noting that 2 and 1/ 2 in (12) and (7) cancel

each other, we obtain /
(13) ∗} * y @ }• @ C •sE !@
#/

163
 Discrete Fourier Transform (DFT)
Dealing with sampled values rather than with functions,
we can replace the Fourier transform by the so-called

Let ( ) be periodic, for simplicity of period 2 . We

discrete Fourier transform (DFT).

assume that 3 measurements of ( ) are taken over

the interval 0 ≤ ≤ 2 at regularly spaced points
2 6
` 6 0,1, … , 3 − 1
3
(14)
We also say that ( ) is being sampled at these points.

164
 Discrete Fourier Transform (DFT)
We now want to determine a complex trigonomentric
#

; = + B C• E•
polynomial
(15)
that interpolates ( ) at the nodes (14), that is,
; ` = ( ` ), written out, with ` denoting ` ,
#

(16) ` = ` =; ` = + B C• E• 6 = 0,1, … , 3 − 1

Hence we must determine the coefficients B , … , B #

such that (16) holds.

165