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Proof Laplace Convolution Integral

This document discusses Green's formula in time and frequency domains and the Laplace transform of convolution. Specifically: 1) Green's formula relates the solution to an initial value problem in the time domain as a convolution, and in the frequency domain as a product of the transfer function and input. 2) The Laplace transform of convolution is equal to the product of the individual Laplace transforms. This shows that convolution transforms to multiplication in the frequency domain. 3) An integration rule is proved using convolution - the Laplace transform of the integral of a function is equal to the Laplace transform of the function divided by s.

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CY Liu
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176 views

Proof Laplace Convolution Integral

This document discusses Green's formula in time and frequency domains and the Laplace transform of convolution. Specifically: 1) Green's formula relates the solution to an initial value problem in the time domain as a convolution, and in the frequency domain as a product of the transfer function and input. 2) The Laplace transform of convolution is equal to the product of the individual Laplace transforms. This shows that convolution transforms to multiplication in the frequency domain. 3) An integration rule is proved using convolution - the Laplace transform of the integral of a function is equal to the Laplace transform of the function divided by s.

Uploaded by

CY Liu
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Green’s Formula, Laplace Transform of Convolution

1. Green’s Formula in Time and Frequency


When we studied convolution we learned Green’s formula. This says,
the IVP
p( D ) x = f (t), with rest IC (1)
has solution
x (t) = (w ∗ f )(t), where w(t) is the weight function. (2)
(Remember, the weight function is the same as the unit impulse response.)
The Laplace transform changes these equations to ones in the frequency
variable s.
p(s) X (s) = F (s) (3)
1
X (s) = F ( s ) = W ( s ) F ( s ), (4)
p(s)
where W (s) is the transfer function.
Equation (2) is Green’s formula in time and (4) is Green’s formula in fre­
quency. In words, viewed from the t side, the solution to (1) is the convo­
lution of the weight function and the input. Viewed from the s side, the
solution is the product of the transfer function and the input.

2. Convolution
Comparing equations (2) and (4) we see that
L(w ∗ f ) = W (s) · F (s). (5)
It appears that Laplace transforms convolution into multiplication. Tech­
nically, equation (5) only applies when one of the functions is the weight
function, but the formula holds in general.
Theorem: For any two functions f (t) and g(t) with Laplace transforms
F (s) and G (s) we have
L( f ∗ g) = F (s) · G (s). (6)
Remarks:
1. This theorem gives us another way to prove convolution is commutative.
It is just the commutivity of regular multiplication on the s-side.
L( f ∗ g) = F · G = G · F = L( g ∗ f ).
Green’s Formula, Laplace Transform of Convolution OCW 18.03SC

2. In fact, the theorem helps solidify our claim that convolution is a type of
multiplication, because viewed from the frequency side it is multiplication.
Proof: The proof is a nice exercise in switching the order of integration. We
won’t use 0− and t+ in the integrals, since they would just clutter the expo­
sition. It is an amusing exercise to put them in and see that they transform
correctly as we manipulate the integrals.
We start by writing L( f ∗ g) as the convolution integral followed by the
Laplace integral.
� ∞
L( f ∗ g) = ( f ∗ g)(t)e−st dt
0
� ∞� t
= f (t − u) g(u)e−st du dt.
0 0

Next, we change the order of integration (see the figure below).


� ∞� ∞
= f (t − u) g(u)e−st dt du.
0 u

Finally, change variables in the inner integral: substitute v = t − u, dv =


dt, (u a constant)
� ∞� ∞
= f (v) g(u)e−s(v+u) dv du
0 0
� ∞ � ∞
−sv
= f (v)e dv g(u)e−su du
0 0
= F ( s ) G ( s ).

tO tO
t=u t=u

/u /u

Fig. 1. Changing the order from du dt to dt du.

3. Integration Rule
If differentiation on the time side leads to multiplication by s on the
frequency side then we should expect integration in time to lead to division
by s. If f (t) is a function with Laplace transform F (s) then the integration

Green’s Formula, Laplace Transform of Convolution OCW 18.03SC

rule states:
t+ F (s)
�� �
L f (τ ) dτ = .
0− s
Proof: One way to prove this is using the t-derivative rule. Let’s be clever
and use convolution instead. The integral is exactly f (t) ∗ 1. Thus,
t+ F (s)
�� �
L f (τ ) dτ = L( f ∗ 1) = F (s) ∗ L(1) = .
0− s

This is what we needed to show.

MIT OpenCourseWare
http://ocw.mit.edu

18.03SC Differential Equations��


Fall 2011 ��

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