CHAPTER 11

Fourier Analysis

This chapter on Fourier analysis covers three broad areas: Fourier series in Secs. 11.1–11.4,
more general orthonormal series called Sturm–Liouville expansions in Secs. 11.5 and 11.6
and Fourier integrals and transforms in Secs. 11.7–11.9.
The central starting point of Fourier analysis is Fourier series. They are infinite series
designed to represent general periodic functions in terms of simple ones, namely, cosines
and sines. This trigonometric system is orthogonal, allowing the computation of the
coefficients of the Fourier series by use of the well-known Euler formulas, as shown in
Sec. 11.1. Fourier series are very important to the engineer and physicist because they
allow the solution of ODEs in connection with forced oscillations (Sec. 11.3) and the
approximation of periodic functions (Sec. 11.4). Moreover, applications of Fourier analysis
to PDEs are given in Chap. 12. Fourier series are, in a certain sense, more universal than
the familiar Taylor series in calculus because many discontinuous periodic functions that
come up in applications can be developed in Fourier series but do not have Taylor series
expansions.
The underlying idea of the Fourier series can be extended in two important ways. We
can replace the trigonometric system by other families of orthogonal functions, e.g., Bessel
functions and obtain the Sturm–Liouville expansions. Note that related Secs. 11.5 and
11.6 used to be part of Chap. 5 but, for greater readability and logical coherence, are now
part of Chap. 11. The second expansion is applying Fourier series to nonperiodic
phenomena and obtaining Fourier integrals and Fourier transforms. Both extensions have
important applications to solving PDEs as will be shown in Chap. 12.
In a digital age, the discrete Fourier transform plays an important role. Signals, such
as voice or music, are sampled and analyzed for frequencies. An important algorithm, in
this context, is the fast Fourier transform. This is discussed in Sec. 11.9.
Note that the two extensions of Fourier series are independent of each other and may
be studied in the order suggested in this chapter or by studying Fourier integrals and
transforms first and then Sturm–Liouville expansions.
Prerequisite: Elementary integral calculus (needed for Fourier coefficients).
Sections that may be omitted in a shorter course: 11.4–11.9.
References and Answers to Problems: App. 1 Part C, App. 2.

11.1 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. To define Fourier series, we first need some background material.
A function f (x) is called a periodic function if f ( x) is defined for all real x, except

474
SEC. 11.1 Fourier Series 475

f (x)

Fig. 258. Periodic function of period p

possibly at some points, and if there is some positive number p, called a period of f (x),
such that

(1) f (x p) f (x) for all x.

(The function f (x) tan x is a periodic function that is not defined for all real x but
undefined for some points (more precisely, countably many points), that is x p>2,
3p>2, Á .)
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. (See Probs. 2–4.)
Familiar periodic functions are the cosine, sine, tangent, and cotangent. Examples of
functions that are not periodic are x, x 2, x 3, ex, cosh x, and ln x, to mention just a few.
If f (x) has period p, it also has the period 2p because (1) implies f (x 2p)
f ([x p] p) f (x p) f (x), etc.; thus for any integer n 1, 2, 3, Á ,

(2) f (x np) f (x) for all x.

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.
Our problem in the first few sections of this chapter will be the representation of various
functions f (x) of period 2p in terms of the simple functions

(3) 1, cos x, sin x, cos 2x, sin 2x, Á , cos nx, sin nx, Á .

All these functions have the period 2p. They form the so-called trigonometric system.
Figure 259 shows the first few of them (except for the constant 1, which is periodic with
any period).

0 π π
2π 0 π π
2π 0 π π
2π

cos x cos 2x cos 3x

0 π π
2π 0 π π
2π 0 π π
2π

sin x sin 2x sin 3x

Fig. 259. Cosine and sine functions having the period 2p (the first few members of the
trigonometric system (3), except for the constant 1)
476 CHAP. 11 Fourier Analysis

The series to be obtained will be a trigonometric series, that is, a series of the form

a0 a1 cos x b1 sin x a2 cos 2x b2 sin 2x Á

a (an cos nx
(4)
a0 bn sin nx).
n 1

a0, a1, b1, a2, b2, Á are constants, called the coefficients of the series. We see that each
term has the period 2p. Hence if the coefficients are such that the series converges, its
sum will be a function of period 2p.
Expressions such as (4) will occur frequently in Fourier analysis. To compare the
expression on the right with that on the left, simply write the terms in the summation.
Convergence of one side implies convergence of the other and the sums will be the
same.
Now suppose that f (x) is a given function of period 2p 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) f (x) a0 a (an cos nx bn sin nx)

n 1

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

p
1
(0) a0 f (x) dx
2p
p
p
1
(6) (a) an p f (x) cos nx dx n 1, 2, Á
p
p
1
(b) bn p f (x) sin nx dx n 1, 2, Á .
p

The name “Fourier series” is sometimes also used in the exceptional case that (5) with
coefficients (6) does not converge or does not have the sum f (x)—this may happen but
is merely of theoretical interest. (For Euler see footnote 4 in Sec. 2.5.)

A Basic Example
Before we derive the Euler formulas (6), let us consider how (5) and (6) are applied in
this important basic example. Be fully alert, as the way we approach and solve this
example will be the technique you will use for other functions. Note that the integration
is a little bit different from what you are familiar with in calculus because of the n. Do
not just routinely use your software but try to get a good understanding and make
observations: How are continuous functions (cosines and sines) able to represent a given
discontinuous function? How does the quality of the approximation increase if you take
more and more terms of the series? Why are the approximating functions, called the
SEC. 11.1 Fourier Series 477

partial sums of the series, in this example always zero at 0 and p? Why is the factor
1>n (obtained in the integration) important?

EXAMPLE 1 Periodic Rectangular Wave (Fig. 260)

Find the Fourier coefficients of the periodic function f (x) in Fig. 260. The formula is

k if p x 0
(7) f (x) and f (x 2p) f (x).
k if 0 x p

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 x 0 and x p.)
Solution. From (6.0) we obtain a0 0. This can also be seen without integration, since the area under the
curve of f (x) between p and p (taken with a minus sign where f (x) is negative) is zero. From (6a) we obtain
the coefficients a1, a2, Á of the cosine terms. Since f ( x) is given by two expressions, the integrals from p
to p split into two integrals:

p 0 p
1 1
an f (x) cos nx dx ( k) cos nx dx k cos nx dx d
p p c
p p 0

p
1 sin nx 0 sin nx
k ` k ` d 0
pc n p n 0

because sin nx 0 at p, 0, and p for all n 1, 2, Á . 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, Á obtained from (6b);

p 0 p
1 1
bn f (x) sin nx dx ( k) sin nx dx k sin nx dx d
p pc
p p 0

1 cos nx 0 cos nx p
` ` d.
p ck n p
k
n 0

Since cos ( a) cos a and cos 0 1, this yields

k 2k
bn [cos 0 cos ( np) cos np cos 0] (1 cos np).
np np

Now, cos p 1, cos 2p 1, cos 3p 1, etc.; in general,

1 for odd n, 2 for odd n,

cos np and thus 1 cos np
1 for even n, 0 for even n.

Hence the Fourier coefficients bn of our function are

4k 4k 4k Á
b1
p, b2 0, b3
3p
, b4 0, b5
5p
, .

Fig. 260. Given function f (x) (Periodic reactangular wave)

478 CHAP. 11 Fourier Analysis

Since the an are zero, the Fourier series of f (x) is

4k 1 1 Á ).
(8)
p (sin x 3 sin 3x 5 sin 5x

The partial sums are

4k 4k 1
S1
p sin x, S2
p asin x 3
sin 3xb . etc.

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 x p, 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.
Furthermore, assuming that f (x) is the sum of the series and setting x p>2, we have

p 4k 1 1 Áb .
fa b k a1
2 p 3 5

Thus

1 1 1 Á p
1 .
3 5 7 4

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.

Fig. 261. First three partial sums of the corresponding Fourier series
SEC. 11.1 Fourier Series 479

Derivation of the Euler Formulas (6)

The key to the Euler formulas (6) is the orthogonality of (3), a concept of basic importance,
as follows. Here we generalize the concept of inner product (Sec. 9.3) to functions.

THEOREM 1 Orthogonality of the Trigonometric System (3)

The trigonometric system (3) is orthogonal on the interval p x p (hence
also on 0 x 2p or any other interval of length 2p 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,
p
(a) cos nx cos mx dx 0 (n m)
p

p
(9) (b) sin nx sin mx dx 0 (n m)
p

p
(c) sin nx cos mx dx 0 (n m or n m).
p

PROOF This follows simply by transforming the integrands trigonometrically from products into
sums. In (9a) and (9b), by (11) in App. A3.1,
p p p
1 1
cos nx cos mx dx cos (n m)x dx cos (n m)x dx
2 2
p p p
p p p
1 1
sin nx sin mx dx cos (n m)x dx cos (n m)x dx.
2 2
p p p

Since m n (integer!), the integrals on the right are all 0. Similarly, in (9c), for all integer
m and n (without exception; do you see why?)
p p p
1 1
sin nx cos mx dx sin (n m)x dx sin (n m)x dx 0 0.
2 2
p p p

Application of Theorem 1 to the Fourier Series (5)

We prove (6.0). Integrating on both sides of (5) from p to p, we get

a (an cos nx
p p
f (x) dx c a0 bn sin nx) d dx.
p p n 1

We now assume that termwise integration is allowed. (We shall say in the proof of
Theorem 2 when this is true.) Then we obtain

a aan
p p p p
f (x) dx a0 dx cos nx dx bn sin nx dxb .
p p n 1 p p
480 CHAP. 11 Fourier Analysis

The first term on the right equals 2pa0. Integration shows that all the other integrals are 0.
Hence division by 2p gives (6.0).
We prove (6a). Multiplying (5) on both sides by cos mx with any fixed positive integer
m and integrating from p to p, we have

a (an cos nx
p p
(10) f (x) cos mx dx c a0 bn sin nx) d cos mx dx.
p p n 1

We now integrate term by term. Then on the right we obtain an integral of a0 cos mx,
which is 0; an integral of an cos nx cos mx , which is amp for n m and 0 for n m by
(9a); and an integral of bn sin nx cos mx, which is 0 for all n and m by (9c). Hence the
right side of (10) equals amp. Division by p gives (6a) (with m instead of n).
We finally prove (6b). Multiplying (5) on both sides by sin mx with any fixed positive
integer m and integrating from p to p, we get

a (an cos nx
p p
(11) f (x) sin mx dx c a0 bn sin nx) d sin mx dx.
p p n 1

Integrating term by term, we obtain on the right an integral of a0 sin mx, which is 0; an
integral of an cos nx sin mx, which is 0 by (9c); and an integral of bn sin nx sin mx, which
is bmp if n m and 0 if n m, by (9b). This implies (6b) (with n denoted by m). This
completes the proof of the Euler formulas (6) for the Fourier coefficients.

Convergence and Sum of a Fourier Series

The class of functions that can be represented by Fourier series is surprisingly large and
general. Sufficient conditions valid in most applications are as follows.

THEOREM 2 Representation by a Fourier Series

Let f (x) be periodic with period 2p and piecewise continuous (see Sec. 6.1) in the
interval p x p. 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
limits2 of f (x) at x 0.
f (x)
f (1 – 0)
2
1 The left-hand limit of f (x) at x 0 is defined as the limit of f (x) as x approaches x0 from the left
and is commonly denoted by f (x 0 0). Thus
f (1 + 0)
ƒ(x0 0) lim ƒ( x0 h) as h * 0 through positive values.
0 1 x h*0

Fig. 262. Left- and The right-hand limit is denoted by ƒ(x0 0) and
right-hand limits
ƒ(x0 0) lim ƒ( x0 h) as h * 0 through positive values.
h*0
ƒ(1 0) 1,
ƒ(1 0) _1 The left- and right-hand derivatives of ƒ(x) at x0 are defined as the limits of
2

of the function f (x 0 h) f (x 0 0) f (x 0 h) f (x 0 0)
and ,
h h
x2 if x 1
f (x) respectively, as h * 0 through positive values. Of course if ƒ(x) is continuous at x0, the last term in
x>2 if x 1 both numerators is simply ƒ(x0).
SEC. 11.1 Fourier Series 481

PROOF We prove convergence, but only for a continuous function f (x) having continuous first
and second derivatives. And we do not prove that the sum of the series is f (x) because
these proofs are much more advanced; see, for instance, Ref. 3C124 listed in App. 1.
Integrating (6a) by parts, we obtain

p p p
1 f (x) sin nx 1
an p f (x) cos nx dx np np f r (x) sin nx dx.
p p p

The first term on the right is zero. Another integration by parts gives

p p
f r (x) cos nx 1
an f s (x) cos nx dx.
n 2p p n 2p p

The first term on the right is zero because of the periodicity and continuity of f r (x). Since
f s is continuous in the interval of integration, we have

ƒ f s (x) ƒ M

for an appropriate constant M. Furthermore, ƒ cos nx ƒ 1. It follows that

p p
1 1 2M
ƒ an ƒ 2
f s (x) cos nx dx 2
M dx .
n p p n p p n2

Similarly, ƒ bn ƒ 2 M>n 2 for all n. Hence the absolute value of each term of the Fourier
series of f (x) is at most equal to the corresponding term of the series

1 1 1 1 Áb
ƒ a0 ƒ 2M a1 1 2 2 2
2 2 3 32

which is convergent. Hence that Fourier series converges and the proof is complete.
(Readers already familiar with uniform convergence will see that, by the Weierstrass
test in Sec. 15.5, under our present assumptions the Fourier series converges uniformly,
and our derivation of (6) by integrating term by term is then justified by Theorem 3 of
Sec. 15.5.)

EXAMPLE 2 Convergence at a Jump as Indicated in Theorem 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 does 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.

Summary. A Fourier series of a given function f (x) of period 2p 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.