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Gaussian Integral

The Gaussian integral, also known as the Euler-Poisson integral or Poisson integral, is the integral of the Gaussian function e−x2 over the entire real number line. It can be evaluated to be equal to the square root of pi. This integral has many applications in fields such as physics and quantum field theory. It is related to concepts such as the normal distribution and the error function. The integral can be evaluated through techniques like using polar coordinates or Cartesian coordinates.

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303 views

Gaussian Integral

The Gaussian integral, also known as the Euler-Poisson integral or Poisson integral, is the integral of the Gaussian function e−x2 over the entire real number line. It can be evaluated to be equal to the square root of pi. This integral has many applications in fields such as physics and quantum field theory. It is related to concepts such as the normal distribution and the error function. The integral can be evaluated through techniques like using polar coordinates or Cartesian coordinates.

Uploaded by

Christopher Mendez
Copyright
© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
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Gaussian integral

Gaussian integral
The Gaussian integral, also known as the Euler-Poisson integral or Poisson integral,[1] is the integral of the Gaussian function ex2 over the entire real line. It is named after the German mathematician and physicist Carl Friedrich Gauss. The integral is:

A graph of (x) =ex2 and the area between the function and the x-axis, which is equal to .

This integral has wide applications. When normalized so that its value is1, it is the density function of the normal distribution. It is closely related to the error function, which is the same integral with finite limits. Although no elementary function exists for the error function, as can be proven by the Risch algorithm, the Gaussian integral can be solved analytically through the tools of calculus. That is, there is no elementary indefinite integral for , but the definite integral can be evaluated. The Gaussian integral is encountered very often in physics and numerous generalizations of the integral are encountered in quantum field theory.

Computation
By polar coordinates
A standard way to compute the Gaussian integral is consider the function e(x2+y2)=er2 on the plane R2, and compute its integral two ways: on the one hand, by double integration in the Cartesian coordinate system, its integral is a square:

on the other hand, by shell integration (a case of double integration in polar coordinates), its integral is computed to be . Comparing these two computations yields the integral, though one should take care about the improper integrals involved.

Gaussian integral Brief proof Briefly, using the method above, one computes that on the one hand,

On the other hand,

where the factor of r comes from the transform to polar coordinates (rdrd is the standard measure on the plane, expressed in polar coordinates), and the substitution involves taking s=r2, so ds=2rdr. Combining these yields

so . Careful proof To justify the improper double integrals and equating the two expressions, we begin with an approximating function:

so that the integral may be found by

since

Taking the square of I(a) yields

Gaussian integral Using Fubini's theorem, the above double integral can be seen as an area integral

taken over a square with vertices {(a,a), (a,a), (a,a), (a,a)} on the xy-plane. Since the exponential function is greater than 0 for all real numbers, it then follows that the integral taken over the square's incircle must be less than , and similarly the integral taken over the square's circumcircle must be greater than . The integrals over the two disks can easily be computed by switching from cartesian

coordinates to polar coordinates:

(See to polar coordinates from Cartesian coordinates for help with polar transformation.) Integrating,

By the squeeze theorem, this gives the Gaussian integral

By Cartesian coordinates
Georgakis[2] wrote that the following is "a better alternative to the usual method of reduction to polar coordinates". Let

Since the limits on infinity. That is, and

as

goes to

depend on the sign of

, it simplifies the calculation to use the fact that , and the variables

is an even function, and, therefore, the integral over all real numbers is just twice the integral from zero to . Thus, over the range of integration,

have the same limits. This yields:

Then

Finally,

, as expected.

Gaussian integral

Relation to the gamma function


The integrand is an even function,

Thus, after the change of variable

, this turns into the Euler integral

where is the gamma function. This shows why the factorial of a half-integer is a rational multiple of generally,

. More

Generalizations
The integral of a Gaussian function
The integral of an arbitrary Gaussian function is

An alternative form is

n-dimensional and functional generalization


Suppose A is a symmetric positive-definite (hence invertible) nn covariance matrix. Then,

where the integral is understood to be over Rn. This fact is applied in the study of the multivariate normal distribution. Also,

where is a permutation of {1, ..., 2N} and the extra factor on the right-hand side is the sum over all combinatorial pairings of {1, ..., 2N} of N copies of A1. Alternatively,

for some analytic function f, provided it satisfies some appropriate bounds on its growth and some other technical criteria. (It works for some functions and fails for others. Polynomials are fine.) The exponential over a differential operator is understood as a power series.

Gaussian integral While functional integrals have no rigorous definition (or even a nonrigorous computational one in most cases), we can define a Gaussian functional integral in analogy to the finite-dimensional case. There is still the problem, though, that is infinite and also, the functional determinant would also be infinite in general. This can be taken care of if we only consider ratios:

In the DeWitt notation, the equation looks identical to the finite-dimensional case.

n-dimensional with linear term


If A is again a symmetric positive-definite matrix, then

Integrals of similar form

An easy way to derive these is by parameter differentiation.

Higher-order polynomials
Exponentials of other even polynomials can easily be solved using series. For example the solution to the integral of the exponential of a quartic polynomial is

The n+p = 0 mod 2 requirement is because the integral from to 0 contributes a factor of (1)n+p/2 to each term, while the integral from 0 to + contributes a factor of 1/2 to each term. These integrals turn up in subjects such as quantum field theory.

Gaussian integral

References
[1] (http:/ / slovari. yandex. ru/ dict/ bse/ article/ 00063/ 81000. htm) [2] Constantine Georgakis, "A Note on the Gaussian Integral", Mathematics Magazine, February, 1994, page 47.

Weisstein, Eric W., " Gaussian Integral (http://mathworld.wolfram.com/GaussianIntegral.html)" from MathWorld. David Griffiths. Introduction to Quantum Mechanics. 2nd Edition back cover. Abramowitz, M. and Stegun, I. A. Handbook of Mathematical Functions, Dover Publications, Inc. New York

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