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"" redirects here. For the Lagrangian, see Lagrangian used in the 19th century by Abel, Lerch, Heaviside, and
mechanics. Bromwich.
The early history of methods having some similarity to
In mathematics, the Laplace transform is an integral Laplace transform is as follows. From 1744, Leonhard
transform named after its discoverer Pierre-Simon Euler investigated integrals of the form
Laplace (/lpls/). It takes a function of a real variable
t (often time) to a function of a complex variable s (fre-
quency).
z = X(x)eax dx and z = X(x)xA dx
The Laplace transform is very similar to the Fourier
transform. While the Fourier transform of a function
is a complex function of a real variable (frequency), the as solutions of dierential equations but did not pursue
Laplace transform of a function is a complex function of the matter very far.[4]
a complex variable. Laplace transforms are usually re-
stricted to functions of t with t > 0. A consequence of Joseph Louis Lagrange was an admirer of Euler and, in
this restriction is that the Laplace transform of a func- his work on integrating probability density functions, in-
tion is a holomorphic function of the variable s. Un- vestigated expressions of the form
like the Fourier transform, the Laplace transform of a
distribution is generally a well-behaved function. Also
techniques of complex variables can be used directly to
X(x)eax ax dx,
study Laplace transforms. As a holomorphic function,
the Laplace transform has a power series representation.
This power series expresses a function as a linear super- which some modern historians have interpreted within
position of moments of the function. This perspective has modern Laplace transform theory.[5][6]
applications in probability theory.
These types of integrals seem rst to have attracted
The Laplace transform is invertible on a large class of Laplaces attention in 1782 where he was following in the
functions. The inverse Laplace transform takes a func- spirit of Euler in using the integrals themselves as solu-
tion of a complex variable s (often frequency) and yields a tions of equations.[7] However, in 1785, Laplace took the
function of a real variable t (time). Given a simple mathe- critical step forward when, rather than just looking for a
matical or functional description of an input or output to solution in the form of an integral, he started to apply the
a system, the Laplace transform provides an alternative transforms in the sense that was later to become popular.
functional description that often simplies the process of He used an integral of the form
analyzing the behavior of the system, or in synthesizing a
new system based on a set of specications.[1] So, for ex-
ample, Laplace transformation from the time domain to
the frequency domain transforms dierential equations xs (x) dx,
into algebraic equations and convolution into multiplica-
tion. It has many applications in the sciences and tech-
nology. akin to a Mellin transform, to transform the whole of
a dierence equation, in order to look for solutions of
the transformed equation. He then went on to apply the
Laplace transform in the same way and started to derive
1 History some of its properties, beginning to appreciate its poten-
tial power.[8]
The Laplace transform is named after mathematician Laplace also recognised that Joseph Fourier's method of
and astronomer Pierre-Simon Laplace, who used a sim- Fourier series for solving the diusion equation could
ilar transform (now called the z-transform) in his work only apply to a limited region of space because those
on probability theory.[2] The current widespread use of solutions were periodic. In 1809, Laplace applied his
the transform (mainly in engineering) came about dur- transform to nd solutions that diused indenitely in
ing and soon after World War II [3] although it had been space.[9]
1
2 2 FORMAL DEFINITION
The Laplace transform is a frequency-domain approach In pure and applied probability, the Laplace transform
for continuous time signals irrespective of whether the is dened as an expected value. If X is a random vari-
system is stable or unstable. The Laplace transform of able with probability density function f, then the Laplace
a function f(t), dened for all real numbers t 0, is the transform of f is given by the expectation
function F(s), which is a unilateral transform dened by
[ ]
L{f }(s) = E esX .
F (s) = f (t)est dt By abuse of language, this is referred to as the Laplace
0
transform of the random variable X itself. Replacing s
where s is a complex number frequency parameter by t gives the moment generating function of X. The
Laplace transform has applications throughout probabil-
s = + i , with real numbers and . ity theory, including rst passage times of stochastic pro-
cesses such as Markov chains, and renewal theory.
Other notations for the Laplace transform include L{f} , Of particular use is the ability to recover the cumulative
or alternatively L{f(t)} instead of F. distribution function of a continuous random variable X
by means of the Laplace transform as follows[11]
The meaning of the integral depends on types of func-
tions of interest. A necessary condition for existence of
the integral is that f must be locally integrable on [0, ). { } { }
1 1
[ sX ] 1 1
For locally integrable functions that decay at innity or F X (x) = L E e (x) = L L{f }(s) (x).
s s
are of exponential type, the integral can be understood to
be a (proper) Lebesgue integral. However, for many ap-
plications it is necessary to regard it to be a conditionally 2.2 Bilateral Laplace transform
convergent improper integral at . Still more generally,
the integral can be understood in a weak sense, and this Main article: Two-sided Laplace transform
is dealt with below.
One can dene the Laplace transform of a nite Borel When one says the Laplace transform without quali-
measure by the Lebesgue integral[10] cation, the unilateral or one-sided transform is normally
intended. The Laplace transform can be alternatively
dened as the bilateral Laplace transform or two-sided
L{}(s) = e st
d(t). Laplace transform by extending the limits of integration
[0,) to be the entire real axis. If that is done the common uni-
lateral transform simply becomes a special case of the bi-
An important special case is where is a probability mea- lateral transform where the denition of the function be-
sure, for example, the Dirac delta function. In operational ing transformed is multiplied by the Heaviside step func-
calculus, the Laplace transform of a measure is often tion.
treated as though the measure came from a probability
The bilateral Laplace transform is dened as follows,
density function f. In that case, to avoid potential confu-
sion, one often writes
B{f }(s) = est f (t) dt.
L{f }(s) = f (t)est dt,
0
characterization of the range. Typical function spaces in depends on the growth behavior of f(t).[12] Analogously,
which this is true include the spaces of bounded contin- the two-sided transform converges absolutely in a strip
uous functions, the space L (0, ), or more generally of the form a < Re(s) < b, and possibly including the
tempered functions (that is, functions of at worst polyno- lines Re(s) = a or Re(s) = b.[13] The subset of values of
mial growth) on (0, ). The Laplace transform is also s for which the Laplace transform converges absolutely
dened and injective for suitable spaces of tempered dis- is called the region of absolute convergence or the do-
tributions. main of absolute convergence. In the two-sided case, it is
In these cases, the image of the Laplace transform lives in sometimes called the strip of absolute convergence. The
Laplace transform is analytic in the region of absolute
a space of analytic functions in the region of convergence.
The inverse Laplace transform is given by the following convergence.
complex integral, which is known by various names (the Similarly, the set of values for which F(s) converges (con-
Bromwich integral, the FourierMellin integral, and ditionally or absolutely) is known as the region of condi-
Mellins inverse formula): tional convergence, or simply the region of convergence
(ROC). If the Laplace transform converges (condition-
ally) at s = s0 , then it automatically converges for all s with
+iT
1 Re(s) > Re(s0 ). Therefore, the region of convergence is a
f (t) = L1 {F }(t) = lim est F (s) ds, half-plane of the form Re(s) > a, possibly including some
2i T iT
points of the boundary line Re(s) = a.
where is a real number so that the contour path of inte-
In the region of convergence Re(s) > Re(s0 ), the Laplace
gration is in the region of convergence of F(s). An alter-
transform of f can be expressed by integrating by parts
native formula for the inverse Laplace transform is given
as the integral
by Posts inversion formula. The limit here is interpreted
in the weak-* topology.
u
In practice, it is typically more convenient to decompose
F (s) = (ss0 ) e(ss0 )t (t) dt, (u) = es0 t f (t) dt.
a Laplace transform into known transforms of functions 0 0
obtained from a table, and construct the inverse by in-
spection. That is, in the region of convergence F(s) can eectively
be expressed as the absolutely convergent Laplace trans-
form of some other function. In particular, it is analytic.
3 Region of convergence There are several PaleyWiener theorems concerning the
relationship between the decay properties of f and the
properties of the Laplace transform within the region of
If f is a locally integrable function (or more generally
convergence.
a Borel measure locally of bounded variation), then the
Laplace transform F(s) of f converges provided that the In engineering applications, a function corresponding to
limit a linear time-invariant (LTI) system is stable if every
bounded input produces a bounded output. This is equiv-
alent to the absolute convergence of the Laplace trans-
R
form of the impulse response function in the region Re(s)
lim f (t)est dt 0. As a result, LTI systems are stable provided the poles
R 0
of the Laplace transform of the impulse response function
exists. have negative real part.
The Laplace transform converges absolutely if the inte- This ROC is used in knowing about the causality and sta-
gral bility of a system.
f (t)est dt 4 Properties and theorems
0
transform turns integral equations and dierential equa- For this to converge for, say, all bounded functions f, it is
tions to polynomial equations, which are much easier to necessary to require that ln x < 0. Making the substitution
solve. Once solved, use of the inverse Laplace transform s = ln x gives just the Laplace transform:
reverts to the time domain.
Given the functions f(t) and g(t), and their respective
Laplace transforms F(s) and G(s), f (t)est dt
0
The nal value theorem is useful because it are the moments of the function f. If the rst n moments
gives the long-term behaviour without having of f converge absolutely, then by repeated dierentiation
to perform partial fraction decompositions or under the integral,
other dicult algebra. If F(s) has a pole in the
right-hand plane or poles on the imaginary axis
(e.g., if f (t) = et or f (t) = sin(t) ), the be-
(1)n (Lf )(n) (0) = n .
haviour of this formula is undened.
This is of special signicance in probability theory, where
4.1 Relation to power series the moments of a random variable X are given by the ex-
pectation values n = E[X n ] . Then, the relation holds
The Laplace transform can be viewed as a continuous
analogue of a power series. If a(n) is a discrete function n [ ]
of a positive integer n, then the power series associated n = (1)n d E esX (0).
dsn
to a(n) is the series
f (t)xt dt L {f (t)} = est f (t) dt
0
0
where the discrete function a(n) is replaced by the con- [ ] st
f (t)est e
tinuous one f(t). (See Mellin transform below.) = f (t) dt parts) (by
s 0 0 s
Changing the base of the power from x to e gives [ ]
f (0 ) 1
= + L {f (t)} ,
s s
( )t
f (t) eln x dt yielding
0
4.6 Relationship to other transforms 5
f (t) st
L{f (t)} = s L{f (t)} f (0 ), e dt = F (p) dp.
0 t s
and in the bilateral case,
Letting s 0, gives one the identity
L{f (t)} = s est f (t) dt = s L{f (t)}. f (t)
dt = F (p) dp.
t
0 0
The general result provided that the interchange of limits can be justied.
Even when the interchange cannot be justied the calcu-
{ } lation can be suggestive. For example, proceeding for-
L f (n) (t) = sn L{f (t)}sn1 f (0 ) f (n1) (0mally
), one has
d
G(s) = M{g()} = s g() X(z) = x[n]z n
0 n=0
t
we set = e we get a two-sided Laplace transform. with the substitution of z esT .
Comparing the last two equations, we nd the relation-
4.6.4 Z-transform ship between the unilateral Z-transform and the Laplace
transform of the sampled signal,
The unilateral or one-sided Z-transform is simply the
Laplace transform of an ideally sampled signal with the
substitution of
Xq (s) = X(z) .
z=esT
L{f (t) + g(t)} = L{f (t)} + L{g(t)} Note that the resistor is exactly the same in the time do-
main and the s-domain. The sources are put in if there are
The Laplace transform of a multiple of a function initial conditions on the circuit elements. For example, if
is that multiple times the Laplace transformation of a capacitor has an initial voltage across it, or if the induc-
that function. tor has an initial current through it, the sources inserted
in the s-domain account for that.
The equivalents for current and voltage sources are simply
L{af (t)} = aL{f (t)} derived from the transformations in the table above.
8 7 EXAMPLES: HOW TO APPLY THE PROPERTIES AND THEOREMS
dN I(s) = L{i(t)},
+ N = 0.
dt V (s) = L{v(t)},
Next, we take the Laplace transform of both sides of the
equation: and
( )
sN (s) N0 + N (s) = 0, V0 = v(t) .
t=0
V (s) 1 1
Z(s) = . R= = .
I(s) V0 =0 s + s=
Using this denition and the previous equation, we nd: Note that
1
1 R= = P
Z(s) = ,
sC
and so the substitution of R and P into the expanded ex-
which is the correct expression for the complex pression for H(s) gives
impedance of a capacitor.
( ) ( )
1 1 1
7.3 Example 3: Method of partial fraction H(s) = .
s+ s+
expansion
Finally, using the linearity property and the known trans-
Consider a linear time-invariant system with transfer form for exponential decay (see Item #3 in the Table
function of Laplace Transforms, above), we can take the inverse
Laplace transform of H(s) to obtain
1
H(s) = . 1 ( t )
(s + )(s + ) h(t) = L1 {H(s)} = e et ,
The impulse response is simply the inverse Laplace trans- which is the impulse response of the system.
form of this transfer function:
1 P R
= + . 1 1 1
(s + )(s + ) s+ s+ H(s) = =
(s + a)(s + b) s+a s+b
The unknown constants P and R are the residues lo- is
cated at the corresponding poles of the transfer function.
Each residue represents the relative contribution of that
singularity to the transfer functions overall shape. { } { } t
1 1 1 1 at bt e
L L = e e = eax eb(tx) dx =
By the residue theorem, the inverse Laplace transform s+a s+b 0
depends only upon the poles and their residues. To nd
the residue P, we multiply both sides of the equation by s
+ to get 7.5 Example 4: Mixing sines, cosines, and
exponentials
Finally, using the Laplace transforms for sine and cosine Assuming certain properties of the object, e.g. spher-
(see the table, above), we have ical shape and constant temperature, calculations based
on carrying out an inverse Laplace transformation on
the spectrum of the object can produce the only possi-
[ ( ) ] ble model of the distribution of matter in it (density as
x(t) = et cos (t)u(t) + sin (t)u(t) . a function of distance from the center) consistent with
the spectrum.[22] When independent information on the
[ ( ) ]
structure of an object is available, the inverse Laplace
x(t) = et cos (t) + sin (t) u(t).
transform method has been found to be in good agree-
ment.
Fourier transform
s sin() cos()
X(s) = + 2 Hamburger moment problem
s2 + 2 s + 2
( ) ( )
s
= sin() 2 + cos() 2 . HardyLittlewood tauberian theorem
s + 2 s + 2
We are now able to take the inverse Laplace transform of Moment-generating function
our terms:
N-transform
{ } { }
1 s 1 Pierre-Simon Laplace
x(t) = sin()L + cos()L
s2 + 2 s2 + 2
= sin() cos(t) + sin(t) cos(). Posts inversion formula
This is just the sine of the sum of the arguments, yielding: Signal-ow graph
LaplaceCarson transform
x(t) = sin(t + ).
Symbolic integration
We can apply similar logic to nd that
Transfer function
{ }
1 s cos sin Z-transform (discrete equivalent of the Laplace
L = cos (t + ). transform)
s2 + 2
11
9 Notes 10 References
[1] Korn & Korn 1967, 8.1 10.1 Modern
[2] Thorie des Probabilits 1812, 1825, chap.I sect.2-20 On
Bracewell, Ronald N. (1978), The Fourier Trans-
generating functions
form and its Applications (2nd ed.), McGraw-Hill
[3] An inuential book was: M.F.Gardner & J.L.Barnes: Kogakusha, ISBN 0-07-007013-X
Transients in Linear Systems studied by the Laplace
Transform (1942) NY Wiley Bracewell, R. N. (2000), The Fourier Transform and
Its Applications (3rd ed.), Boston: McGraw-Hill,
[4] Euler 1744, Euler 1753, Euler 1769 ISBN 0-07-116043-4
[21] http://mathworld.wolfram.com/LaplaceTransform.html
Euler, Leonhard (1769), Institutiones calculi inte-
Wolfram Mathword provides case for complex q gralis [Institutions of Integral Calculus] (in Latin), II,
Paris: Petropoli, ch. 35, pp. 57153
[22] Salem, M.; Seaton, M. J. (1974), I. Contin-
uum spectra and brightness contours, Monthly Grattan-Guinness, I (1997), Laplaces integral so-
Notices of the Royal Astronomical Society, 167: lutions to partial dierential equations, in Gillispie,
493510, Bibcode:1974MNRAS.167..493S, C. C., Pierre Simon Laplace 17491827: A Life
doi:10.1093/mnras/167.3.493, and in Exact Science, Princeton: Princeton University
Salem, M. (1974), II. Three-dimensional models, Press, ISBN 0-691-01185-0
Monthly Notices of the Royal Astronomical Society,
167: 511516, Bibcode:1974MNRAS.167..511S, Lagrange, J. L. (1773), Mmoire sur l'utilit de la
doi:10.1093/mnras/167.3.511 mthode, uvres de Lagrange, 2, pp. 171234
12 12 EXTERNAL LINKS
11 Further reading Good explanations of the initial and nal value the-
orems
Arendt, Wolfgang; Batty, Charles J.K.; Hieber,
Laplace Transforms at MathPages
Matthias; Neubrander, Frank (2002), Vector-
Valued Laplace Transforms and Cauchy Problems, Computational Knowledge Engine allows to easily
Birkhuser Basel, ISBN 3-7643-6549-8. calculate Laplace Transforms and its inverse Trans-
form.
Davies, Brian (2002), Integral transforms and their
applications (Third ed.), New York: Springer, ISBN
0-387-95314-0
Deakin, M. A. B. (1981), The develop-
ment of the Laplace transform, Archive for
History of Exact Sciences, 25 (4): 343390,
doi:10.1007/BF01395660
Deakin, M. A. B. (1982), The develop-
ment of the Laplace transform, Archive for
History of Exact Sciences, 26 (4): 351381,
doi:10.1007/BF00418754
Doetsch, Gustav (1974), Introduction to the The-
ory and Application of the Laplace Transformation,
Springer, ISBN 0-387-06407-9
Mathews, Jon; Walker, Robert L. (1970), Mathe-
matical methods of physics (2nd ed.), New York: W.
A. Benjamin, ISBN 0-8053-7002-1
Polyanin, A. D.; Manzhirov, A. V. (1998), Hand-
book of Integral Equations, Boca Raton: CRC Press,
ISBN 0-8493-2876-4
Schwartz, Laurent (1952), Transformation de
Laplace des distributions, Comm. Sm. Math.
Univ. Lund [Medd. Lunds Univ. Mat. Sem.] (in
French), 1952: 196206, MR 0052555
Siebert, William McC. (1986), Circuits, Signals, and
Systems, Cambridge, Massachusetts: MIT Press,
ISBN 0-262-19229-2
Widder, David Vernon (1945), What is the Laplace
transform?", The American Mathematical Monthly,
MAA, 52 (8): 419425, ISSN 0002-9890, JSTOR
2305640, MR 0013447, doi:10.2307/2305640
12 External links
Hazewinkel, Michiel, ed. (2001), Laplace trans-
form, Encyclopedia of Mathematics, Springer,
ISBN 978-1-55608-010-4
Online Computation of the transform or inverse
transform, wims.unice.fr
Tables of Integral Transforms at EqWorld: The
World of Mathematical Equations.
Weisstein, Eric W. Laplace Transform.
MathWorld.
13
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