MIT OpenCourseWare http://ocw.mit.edu 18.085 Computational Science and Engineering I Fall 2008 For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms. CHAPTER 4 FOURIER SERIES AND INTEGRALS 4.1 FOURIER SERIES FOR PERIODIC FUNCTIONS This section explains three Fourier series: sines, cosines, and exponentials eikx . Square waves (1 or 0 or −1) are great examples, with delta functions in the derivative. We look at a spike, a step function, and a ramp—and smoother functions too. Start with sin x.It has period 2π since sin(x +2π)= sin x. It is an odd function since sin(−x)= −sin x, and it vanishes at x =0 and x = π. Every function sin nx has those three properties, and Fourier looked at infinite combinations of the sines: Fourier sine series S(x)= b1 sin x + b2 sin 2x + b3 sin 3x + ···= ∞ n=1 bn sin nx (1) If the numbers b1,b2,... drop off quickly enough (we are foreshadowing the im-portance of the decay rate) then the sum S(x) will inherit all three properties: Periodic S(x +2π)= S(x) Odd S(−x)= −S(x) S(0) = S(π)=0 200 years ago, Fourier startled the mathematicians in France by suggesting that any function S(x) with those properties could be expressed as an infinite series of sines. This idea started an enormous development of Fourier series. Our first step is to compute from S(x)the number bk that multiplies sin kx. Suppose S(x)= bn sin nx. Multiply both sides by sin kx. Integrate from 0 to π:  π  π  π S(x)sin kx dx = b1 sin x sin kx dx + ···+ bk sin kx sin kx dx + ··· (2) 0 0 0 On the right side, all integrals are zero except the highlighted one with n = k. This property of “orthogonality” will dominate the whole chapter. The sines make 90◦ angles in function space, when their inner products are integrals from 0 to π: Orthogonality  π 0 sin nx sin kx dx =0 if n = k. (3) 317  318 Chapter 4 Fourier Series and Integrals  π Zero comes quickly if we integrate cos mx dx = sin mmx 0 =0 − 0. So we use this: 11 Product of sines sin nx sin kx = cos(n −k)x − cos(n + k)x. (4)2 2 Integrating cos mx with m = n −k and m = n + k proves orthogonality of the sines. The exception is when n = k. Then we are integrating (sin kx)2 = 12 − 12 cos 2kx:  π  π  π1 1 π sin kx sin kx dx = dx − cos 2kx dx = . (5)2 2 2 The highlighted term in equation (2) is bkπ/2. Multiply both sides of (2) by 2/π: 0 0 0 Sine coefficients S(−x)= −S(x) bk = 2 π  π 0 S(x)sin kx dx = 1 π  π −π S(x)sin kx dx. (6) Notice that S(x)sin kx is even (equal integrals from −π to 0 and from 0 to π). I will go immediately to the most important example of a Fourier sine series. S(x) is an odd square wave with SW(x)=1 for0 <x<π. It is drawn in Figure 4.1 as an oddfunction(withperiod2π)thatvanishes at x =0 and x = π. SW(x)=1 � x −π 0 π 2π Figure 4.1: The odd square wave with SW(x +2π)= SW(x)= {1or 0or −1}. Example 1 Find the Fourier sine coefficients bk of the square wave SW(x). Solution For k =1, 2,... use the first formula (6) with S(x)=1 between 0 and π:  π  π  " 2 2 −cos kx 2 2 0 2 0 2 0 bk = sin kx dx = = , ,, ,, ,... (7)π 0 π k 0 π 1 23 45 6The even-numbered coefficients b2k are all zero because cos 2kπ = cos 0 = 1. The odd-numbered coefficients bk =4/πk decrease at the rate 1/k. We will see that same 1/k decay rate for all functions formed from smooth pieces and jumps. Put those coefficients 4/πk and zero into the Fourier sine series for SW(x): 4 sin x sin 3x sin 5x sin 7x Square wave SW(x) = + + + + ··· (8)π 1 3 5 7 Figure 4.2 graphs this sum after one term, then two terms, and then five terms. You can see the all-important Gibbs phenomenon appearing as these “partial sums”         4.1 Fourier Series for Periodic Functions 319 include more terms. Away from the jumps, we safely approach SW(x)= 1 or −1. At x = π/2, the series gives a beautiful alternating formula for the number π: 41 1 1 1 11 1 1 1= − + − + ··· so that π =4 − + − + ··· . (9)π 1 3 5 7 1 3 5 7 The Gibbs phenomenon is the overshoot that moves closer and closer to the jumps. Its height approaches 1.18 ... and it does not decrease with more terms of the series! Overshoot is the one greatest obstacle to calculation of all discontinuous functions (like shock waves in fluid flow). We try hard to avoid Gibbs but sometimes we can’t. 4 sin x sin 3x 4 sin x sin 9x Solid curve + 5terms: + ···+ π 1 3 π 1 9 x x−π π Dashed 4 π sin x 1 overshoot−→ SW =1 π 2 NFigure 4.2: Gibbs phenomenon: Partial sums 1 bn sin nx overshoot near jumps. Fourier Coefficients are Best Let me look again at the first term b1 sin x =(4/π)sin x. Thisisthe closest possible approximation to the square wave SW, by any multiple of sin x (closest in the least squares sense). To see this optimal property of the Fourier coefficients, minimize the The integral of sin2 x is π/2. So the derivative is zero when b1 =(2/π) S(x)sin xdx. error over all b1:  π  π The error is (SW−b1 sin x)2 dx The b1 derivative is −2 (SW−b1 sin x)sin xdx. 0 0  π 0 This is exactly equation (6) for the Fourier coefficient. Each bk sin kx is as close as possible to SW(x). We can find the coefficients bk one at a time, because the sines are orthogonal. The square wave has b2 = 0 because all other multiples of sin 2x increase the error. Term by term, we are “projecting the function onto each axis sin kx.” Fourier Cosine Series The cosine series applies to even functions with C(−x)= C(x): ∞Cosine series C(x)= a0 + a1 cos x + a2 cos 2x + ···= a0 + an cos nx. (10) n=1320 Chapter 4 Fourier Series and Integrals Every cosine has period 2π. Figure 4.3 shows two even functions, the repeating ramp RR(x)and the up-down train UD(x) of delta functions. That sawtooth ramp RR is the integral of the square wave. The delta functions in UD give the derivative of the square wave. (For sines, the integral and derivative are cosines.) RR and UD will be valuable examples, one smoother than SW , one less smooth. First we find formulas for the cosine coefficients a0 and …