The Unapologetic Mathematician

Mathematics for the interested outsider

Iterated Integrals V

Our iterated integrals worked out nicely over n-dimensional intervals because these regions are simple products of one-dimensional intervals. When working over more general sets, though, it’s not so nice. Still, we can often do almost as well.

Unlike our earlier approach, though, we won’t peel off an integral from the outside first, but from an inside. That is, instead of writing

\displaystyle\int\limits_Rf(x)\,dx=\int\limits_{a^k}^{b^k}\int\limits_{R_k}f(\hat{x},x^k)\,d\hat{x}\,dx^k

we’ll write

\displaystyle\int\limits_Rf(x)\,dx=\int\limits_{R_k}\int\limits_{a^k}^{b^k}f(\hat{x},x^k)\,dx^k\,d\hat{x}

Underlying all of these equations is the assumption that each of the integrals we write down exists, or at least the inner ones don’t fail to exist often enough to cause the outer ones to also fail to exist.

Okay, so let’s say that we’ve got some bounded region S contained in an n-dimensional interval R. Just like before, we project S into the plane with x^k=0 to get the n-1-dimensional region S_k. This will be contained in the projection R_k of R. Again, we write \hat{x} for the remaining n-1 variables.

Here’s where our restriction comes in: assume that S is contained between the graphs of two integrable functions on S_k. That is, we want

\displaystyle \mathrm{Cl}(S)=\left\{\left(x^1,\dots,x^n\right)\big\vert\hat{x}\in\mathrm{Cl}(S_k),g_1(\hat{x})\leq x^k\leq g_2(\hat{x})\right\}

where g_1:S_k\rightarrow\mathbb{R} and g_2:S_k\rightarrow\mathbb{R} are two integrable functions defined on S_k.

Now we can try to evaluate the integral

\displaystyle\begin{aligned}\int\limits_Sf\,dx&=\int\limits_Rf(x)\chi_S(x)\,dx\\&=\int\limits_{R_k}\int\limits_{a^k}^{b^k}f(x)\chi_S(x)\,dx^k\,d\hat{x}\\&=\int\limits_{S_k}\int\limits_{a^k}^{b^k}f(x)\chi_S(x)\,dx^k\,d\hat{x}\\&=\int\limits_{S_k}\int\limits_{g_1(\hat{x})}^{g_2(\hat{x})}f(x)\chi_S(x)\,dx^k\,d\hat{x}\\&=\int\limits_{S_k}\int\limits_{g_1(\hat{x})}^{g_2(\hat{x})}f(x)\,dx^k\,d\hat{x}\end{aligned}

We first replace R_k by S_k because \chi_S(x) is identically zero wherever \hat{x} is outside of S_k, and thus so will the whole inner integral. Then we replace the limits of integration for the inner integral by g_1(\hat{x}) and g_2(\hat{x}) because for any fixed \hat{x} the function \chi_S(x) is zero for x^k below the former and above the latter.

If we’re lucky, S_k itself can be written in a similar form, as the region between the graphs of two integrable functions in another coordinate direction, and so on. Each inner integral’s integrand depends on the remaining variables of later integrals, as before. But now the bounds of integration can also depend on later variables, which adds new complication. However, once a given variable has been integrated away, nothing further out ever depends on it again, and so this whole procedure is still well-defined.

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December 31, 2009 - Posted by | Analysis, Calculus

9 Comments »

  1. I wish you a Happy New Year!

    Comment by Américo Tavares | December 31, 2009 | Reply

  2. Thanks, but it doesn’t look promising.

    Comment by John Armstrong | December 31, 2009 | Reply

  3. I admire the verbal precision of “Underlying all of these equations is the assumption that each of the integrals we write down exists, or at least the inner ones don’t fail to exist often enough to cause the outer ones to also fail to exist.”

    And it’s too early to prove that 2010 will NOT be a good year for both of us.

    Comment by Jonathan Vos Post | January 1, 2010 | Reply

  4. Yea, the race goes not always to the swift, nor the battle to the strong, but that’s the way to bet.

    Comment by John Armstrong | January 1, 2010 | Reply

  5. John,

    I am sure that I will buy your future book you have already discussed here.

    Américo

    Comment by Américo Tavares | January 1, 2010 | Reply

  6. And I’m sure it’ll never be written unless I get a stable job.

    Comment by John Armstrong | January 1, 2010 | Reply

  7. […] Example of an Iterated Integral My description of how to evaluate a multiple integral over some region other than an -dimensional interval by […]

    Pingback by An Example of an Iterated Integral « The Unapologetic Mathematician | January 4, 2010 | Reply

  8. […] the fundamental theorem of calculus. It’s especially interesting in the context of evaluating iterated integrals for irregular regions where the limits of integration may depend on other […]

    Pingback by Differentiating Partial Integrals « The Unapologetic Mathematician | January 14, 2010 | Reply


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