Lecture 29 Notes: Improper Integrals

18.01 Calculus Jason Starr Fall 2005 Lecture 29. December 2, 2005 Homework. Problem Set 8 Part I: (c), (d) and (e); Part II: Problems 1 and 2. Practice Problems. Course Reader: 6B­7. 1. A problem with Riemann integrals. Riemann integrals are defined in very many cases. The result we use most often is that for a piecewise continuous function f (x) on a bounded interval [a, b], the Riemann integral, � b f (x)dx, a exists (and equals a finite number). What if the interval is unbounded, e.g., [a, ∞)? Quite simply, the Riemann integral is not defined. This isn’t a problem with our methods for computing integrals. It is a problem with the very definition of the Riemann integral. In fact, this is only the first of many problems with the definition of the Riemann integral. Eventually these problems led 18.01 Calculus Jason Starr Fall 2005 mathematicians to develop a better definition, the Lebesgue integral, which is studied in course 18.103. Luckily, the particular problem of defining the integral on unbounded intervals can be easily overcome using limits (with no need to use the Lebesgue integral). 2. Improper integrals of the first kind. Let f (x) be defined on the interval [a, ∞). If for every number t > a the function f (x) is Riemann integrable on [a, t], and if the limit, � t lim f (x)dx, t→∞ a exists, then we say the improper integral, ∞ � f (x)dx, a is defined and its value is, � ∞ � t f (x)dx = lim f (x)dx. t→∞ a a Please note, this is a new definition. It is not a theorem about Riemann integrals. Example. Let p > 1 be a real number. Then for every t > 1, the integral, � t 1 dx, p 1 x exists and equals, � �t � 1 1 � = 1 − − . � p−1 (p − 1)x p − 1 (p − 1)tp−1 1 Since p is greater than 1, the limit, 1 lim t→∞ tp−1 , exists and equals 0. Therefore, � lim t→∞ 1 t 1 dx, xp exists and equals, 1 . p−1 Therefore the improper integral exists and equals, � ∞ 1 dx = 1/(p − 1). xp 1 On the other hand, when p equals 1, then, � 1 t 1 dx = ln(t). x 18.01 Calculus Jason Starr Fall 2005 Since the limit limt→∞ ln(t) is not defined (or more precisely, equals +∞), the improper integral, � ∞ 1 dx, x 1 is not defined (or more precisely, equals +∞). Example. For t > 0, the integral, t � cos(x)dx, 0 exists and equals sin(t). Even though all values sin(t) are defined and bounded, the limit, lim sin(t), t→∞ is not defined (essentially because it never settles down). Therefore the improper integral, � ∞ cos(x)dx, 0 is not defined. 3. Improper integrals of the second kind. Here is a second problem with the Riemann integral. Let [a, b] be a bounded interval. Let f (x) be a function that is bounded on [t, b] for every a < t < b, but which is unbounded on [a, b]. According to the definition of the Riemann integral, � b f (x)dx, a is not defined. However, it may happen that for every a < t < b, the integral, � b f (x)dx, t is defined and the limit, � lim+ t→a b f (x)dx, t is defined. In this case, we say the improper integral, � b f (x)dx, a+ is defined and its value is, � b a+ � f (x)dx = lim+ t→a b f (x)dx. t 18.01 Calculus Jason Starr Fall 2005 Similarly, if f (x) is Riemann integrable on every interval [a, t] for a < t < b, and if � t lim− f (x)dx, t→b a exists, we say the improper integral, b− � f (x)dx, a exists and its value is, � a b− � f (x)dx = lim− t→b t f (x)dx. a Example. Let p be a real number in the range 0 < p < 1. Because the function 1/xp is unbounded on [0, 1], the Riemann integral, � 1 1 dx, p 0 x is not defined. However, for every 0 < t < 1, the Riemann integral, � 1 1 dx, p t x is defined equals, 1 − t1−p . 1−p Since 0 < p < 1, the limit, lim t1−p , t→0 exists and equals 0. Therefore, � lim t→0 t 1 1 dx, xp exists and equals 1/(1 − p). Therefore the improper integral, � 1 1 dx, p 0+ x exists and its value is, � 1 0+ 1 dx = 1/(1 − p). xp 4. The Comparison Test. When is an improper integral defined? This is equivalent to asking when a limit is defined. Therefore, every rule for convergence of a limit gives a rule for convergence of an improper integral. There are 2 basic rules for convergence of a limit. 18.01 Calculus Jason Starr Fall 2005 The squeezing lemma. If F (x) ≤ G(x) ≤ H(x) on an interval, if limx→a F (x) and limx→a H(x) exist, and if limx→a F (x) equals limx→a H(x), then limx→a G(x) exists and equals the other 2 limits. Monotone bounded limits. If F (x) is monotone increasing and bounded above on [a, b), then limx→b− F (x) exists. Similarly, if F (x) is monotone decreasing and bounded below, then limx→b− F (x) exists, if F (x) is monotone increasing and bounded below, then limx→a+ F (x) exists, and if F (x) is monotone decreasing and bounded above, then limx→a+ F (x) exists. These give the following tests for convergence of an improper integral. Squeezing lemma. If f (x) ≤ g(x) ≤ h(x) on the interval [a, ∞), and if the improper integrals, � ∞ � ∞ f (x)dx and h(x)dx, a a exist and are equal, then the improper integral, � ∞ g(x)dx, a exists and equals the other 2. The comparison theorem. If 0 ≤ f (x) ≤ g(x) on [a, ∞), and if, � ∞ g(x)dx, a converges, then � ∞ f (x)dx, a converges. Contrapositively, if �∞ a f (x)dx diverges, then �∞ a g(x)dx diverges.