My 2019 Mathematics A To Z: Fourier series


Today’s A To Z term came to me from two nominators. One was @aajohannas, again offering a great topic. Another was Mr Wu, author of the Singapore Maths Tuition blog. I hope neither’s disappointed here.

Fourier series are named for Jean-Baptiste Joseph Fourier, and are maybe the greatest example of the theory that’s brilliantly wrong. Anyone can be wrong about something. There’s genius in being wrong in a way that gives us good new insights into things. Fourier series were developed to understand how the fluid we call “heat” flows through and between objects. Heat is not a fluid. So what? Pretending it’s a fluid gives us good, accurate results. More, you don’t need to use Fourier series to work with a fluid. Or a thing you’re pretending is a fluid. It works for lots of stuff. The Fourier series method challenged assumptions mathematicians had made about how functions worked, how continuity worked, how differential equations worked. These problems could be sorted out. It took a lot of work. It challenged and expended our ideas of functions.

Fourier also managed to hold political offices in France during the Revolution, the Consulate, the Empire, the Bourbon Restoration, the Hundred Days, and the Second Bourbon Restoration without getting killed for his efforts. If nothing else this shows the depth of his talents.

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Fourier series.

So, how do you solve differential equations? As long as they’re linear? There’s usually something we can do. This is one approach. It works well. It has a bit of a weird setup.

The weirdness of the setup: you want to think of functions as points in space. The allegory is rather close. Think of the common association between a point in space and the coordinates that describe that point. Pretend those are the same thing. Then you can do stuff like add points together. That is, take the coordinates of both points. Add the corresponding coordinates together. Match that sum-of-coordinates to a point. This gives us the “sum” of two points. You can subtract points from one another, again by going through their coordinates. Multiply a point by a constant and get a new point. Find the angle between two points. (This is the angle formed by the line segments connecting the origin and both points.)

Functions can work like this. You can add functions together and get a new function. Subtract one function from another. Multiply a function by a constant. It’s even possible to describe an “angle” between two functions. Mathematicians usually call that the dot product or the inner product. But we will sometimes call two functions “orthogonal”. That means the ordinary everyday meaning of “orthogonal”, if anyone said “orthogonal” in ordinary everyday life.

We can take equations of a bunch of variables and solve them. Call the values of that solution the coordinates of a point. Then we talk about finding the point where something interesting happens. Or the points where something interesting happens. We can do the same with differential equations. This is finding a point in the space of functions that makes the equation true. Maybe a set of points. So we can find a function or a family of functions solving the differential equation.

You have reasons for skepticism, even if you’ll grant me treating functions as being like points in space. You might remember solving systems of equations. You need as many equations as there are dimensions of space; a two-dimensional space needs two equations. A three-dimensional space needs three equations. You might have worked four equations in four variables. You were threatened with five equations in five variables if you didn’t all settle down. You’re not sure how many dimensions of space “all the possible functions” are. It’s got to be more than the one differential equation we started with.

This is fair. The approach I’m talking about uses the original differential equation, yes. But it breaks it up into a bunch of linear equations. Enough linear equations to match the space of functions. We turn a differential equation into a set of linear equations, a matrix problem, like we know how to solve. So that settles that.

So suppose f(x) solves the differential equation. Here I’m going to pretend that the function has one independent variable. Many functions have more than this. Doesn’t matter. Everything I say here extends into two or three or more independent variables. It takes longer and uses more symbols and we don’t need that. The thing about f(x) is that we don’t know what it is, but would quite like to.

What we’re going to do is choose a reference set of functions that we do know. Let me call them g_0(x), g_1(x), g_2(x), g_3(x), \cdots going on to however many we need. It can be infinitely many. It certainly is at least up to some g_N(x) for some big enough whole number N. These are a set of “basis functions”. For any function we want to represent we can find a bunch of constants, called coefficients. Let me use a_0, a_1, a_2, a_3, \cdots to represent them. Any function we want is the sum of the coefficient times the matching basis function. That is, there’s some coefficients so that

f(x) = a_0\cdot g_0(x) + a_1\cdot g_1(x) + a_2\cdot g_2(x) + a_3\cdot g_3(x) + \cdots

is true. That summation goes on until we run out of basis functions. Or it runs on forever. This is a great way to solve linear differential equations. This is because we know the basis functions. We know everything we care to know about them. We know their derivatives. We know everything on the right-hand side except the coefficients. The coefficients matching any particular function are constants. So the derivatives of f(x) , written as the sum of coefficients times basis functions, are easy to work with. If we need second or third or more derivatives? That’s no harder to work with.

You may know something about matrix equations. That is that solving them takes freaking forever. The bigger the equation, the more forever. If you have to solve eight equations in eight unknowns? If you start now, you might finish in your lifetime. For this function space? We need dozens, hundreds, maybe thousands of equations and as many unknowns. Maybe infinitely many. So we seem to have a solution that’s great apart from how we can’t use it.

Except. What if the equations we have to solve are all easy? If we have to solve a bunch that looks like, oh, 2a_0 = 4 and 3a_1 = -9 and 2a_2 = 10 … well, that’ll take some time, yes. But not forever. Great idea. Is there any way to guarantee that?

It’s in the basis functions. If we pick functions that are orthogonal, or are almost orthogonal, to each other? Then we can turn the differential equation into an easy matrix problem. Not as easy as in the last paragraph. But still, not hard.

So what’s a good set of basis functions?

And here, about 800 words later than everyone was expecting, let me introduce the sine and cosine functions. Sines and cosines make great basis functions. They don’t grow without bounds. They don’t dwindle to nothing. They’re easy to differentiate. They’re easy to integrate, which is really special. Most functions are hard to integrate. We even know what they look like. They’re waves. Some have long wavelengths, some short wavelengths. But waves. And … well, it’s easy to make sets of them orthogonal.

We have to set some rules. The first is that each of these sine and cosine basis functions have a period. That is, after some time (or distance), they repeat. They might repeat before that. Most of them do, in fact. But we’re guaranteed a repeat after no longer than some period. Call that period ‘L’.

Each of these sine and cosine basis functions has to have a whole number of complete oscillations within the period L. So we can say something about the sine and cosine functions. They have to look like these:

s_j(x) = \sin\left(\frac{2\pi j}{L} x\right)

c_k(x) = \cos\left(\frac{2\pi k}{L} x\right)

Here ‘j’ and ‘k’ are some whole numbers. I have two sets of basis functions at work here. Don’t let that throw you. We could have labelled them all as g_k(x) , with some clever scheme that told us for a given k whether it represents a sine or a cosine. It’s less hard work if we have s’s and c’s. And if we have coefficients of both a’s and b’s. That is, we suppose the function f(x) is:

f(x) = \frac{1}{2}a_0 + b_1 s_1(x) + a_1 c_1(x) + b_2 s_2(x) + a_2 s_2(x) + b_3 s_3(x) + a_3 c_3(x) + \cdots

This, at last, is the Fourier series. Each function has its own series. A “series” is a summation. It can be of finitely many terms. It can be of infinitely many. Often infinitely many terms give more interesting stuff. Like this, for example. Oh, and there’s a bare \frac{1}{2}a_0 there, not multiplied by anything more complicated. It makes life easier. It lets us see that the Fourier series for, like, 3 + f(x) is the same as the Fourier series for f(x), except for the leading term. The ½ before that makes easier some work that’s outside the scope of this essay. Accept it as one of the merry, wondrous appearances of ‘2’ in mathematics expressions.

It’s great for solving differential equations. It’s also great for encryption. The sines and the cosines are standard functions, after all. We can send all the information we need to reconstruct a function by sending the coefficients for it. This can also help us pick out signal from noise. Noise has a Fourier series that looks a particular way. If you take the coefficients for a noisy signal and remove that? You can get a good approximation of the original, noiseless, signal.

This all seems great. That’s a good time to feel skeptical. First, like, not everything we want to work with looks like waves. Suppose we need a function that looks like a parabola. It’s silly to think we can add a bunch of sines and cosines and get a parabola. Like, a parabola isn’t periodic, to start with.

So it’s not. To use Fourier series methods on something that’s not periodic, we use a clever technique: we tell a fib. We declare that the period is something bigger than we care about. Say the period is, oh, ten million years long. A hundred light-years wide. Whatever. We trust that the difference between the function we do want, and the function that we calculate, will be small. We trust that if someone ten million years from now and a hundred light-years away wishes to complain about our work, we will be out of the office that day. Letting the period L be big enough is a good reliable tool.

The other thing? Can we approximate any function as a Fourier series? Like, at least chunks of parabolas? Polynomials? Chunks of exponential growths or decays? What about sawtooth functions, that rise and fall? What about step functions, that are constant for a while and then jump up or down?

The answer to all these questions is “yes,” although drawing out the word and raising a finger to say there are some issues we have to deal with. One issue is that most of the time, we need an infinitely long series to represent a function perfectly. TThis is fine if we’re trying to prove things about functions in general rather than solve some specific problem. It’s no harder to write the sum of infinitely many terms than the sum of finitely many terms. You write an &infty; symbol instead of an N in some important places. But if we want to solve specific problems? We probably want to deal with finitely many terms. (I hedge that statement on purpose. Sometimes it turns out we can find a formula for all the infinitely many coefficients.) This will usually give us an approximation of the f(x) we want. The approximation can be as good as we want, but to get a better approximation we need more terms. Fair enough. This kind of tradeoff doesn’t seem too weird.

Another issue is in discontinuities. If f(x) jumps around? If it has some point where it’s undefined? If it has corners? Then the Fourier series has problems. Summing up sines and cosines can’t give us a sudden jump or a gap or anything. Near a discontinuity, the Fourier series will get this high-frequency wobble. A bigger jump, a bigger wobble. You may not blame the series for not representing a discontinuity. But it does mean that what is, otherwise, a pretty good match for the f(x) you want gets this region where it stops being so good a match.

That’s all right. These issues aren’t bad enough, or unpredictable enough, to keep Fourier series from being powerful tools. Even when we find problems for which sines and cosines are poor fits, we use this same approach. Describe a function we would like to know as the sums of functions we choose to work with. Fourier series are one of those ideas that helps us solve problems, and guides us to new ways to solve problems.


This is my last big essay for the week. All of Fall 2019 A To Z posts should be at this link. The letter G should get its chance on Tuesday and H next Thursday. I intend to have A To Z essays should be available at this link. If you’d like to nominate topics for essays, I’m asking for the letters I through N at this link. Thank you.

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Author: Joseph Nebus

I was born 198 years to the day after Johnny Appleseed. The differences between us do not end there. He/him.

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