Fourier series

Jose Rodellar, jose.rodellar@upc.edu

Control, Dinamica i Aplicacions - CoDAlab
Departament de Matematica Aplicada III
Universitat Politecnica de Catalunya
Barcelona, Spain

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Purpose of these notes

This material is written to give the students a mathematical

background for the Fourier series, which can be used to
construct analytical solutions for some problems with partial
differential equations.

In addition, Fourier series are very useful to represent functions

in many practical problems.

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Fourier series - Outline

Sets of orthogonal vectors

Sets of orthogonal functions
Fourier series
Mean square approximation
Orthonormal basis and representation of functions

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Sets of orthogonal vectors
Consider a vector space in <3 with an orthonormal basis {i, j,
k}, along the axis x, y, z. Each vector in this space can be
decomposed in the form
f = f1 i + f2 j + f3 k,
where f1 , f2 , f3 are the components which uniquely define the
vector f.
Define the internal product of two vectors f, g in the form
3
X
hf, gi = fi g i .
i=1

and the norm of a vector

v
u 3
p uX
kfk = hf, fi = t fi2 .
i=1

kfk > 0 for all f except that k0k = 0.

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We say that f, g are orthogonal if

hf, gi = 0 .

Be v1 , v2 , v3 non null vectors. They are called a orthogonal

vector set if hvn , vm i = 0 for any n 6= m.

Any orthogonal set can be turn into a so-called orthonormal

base with the vectors having norm 1 in the form
vn
un = , n = 1, 2, 3 .
kvn k

such that

0, for n 6= m
hun , um i =
1, for n = m .

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Every vector f can be expressed as a linear combination of the
vectors {un } in the form
3
X
f= cn u n ,
n=1

where the coefficients cn IR are calculated in the form

X3 3
X 3
X
hf, ui i = h cn un , ui i = hcn un , ui i = cn hun , ui i = ci .
n=1 n=1 n=1

Then
cn = hf, un i .
Geometric meaning: cn are the projections of vector f on the
directions defined by the unit vectors un .

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Sets of orthogonal functions
Consider a function space: a set of functions such that any
linear combination lies inside the set. As prototype, consider
I = [0, `] and the set Cs (I) of piecewise continuous functions on
I.

Be p Cs (I) a strictly positive function that is named weighting

function.
We define the internal product of two functions f , g C(I) with
respect to the weight p as
Z `
hf , gi = f (x)g(x)p(x)dx.
0

If we see a function f as a vector of infinite dimension whose

components are the values f (x) at the infinite points x I, this
internal product can be interpreted as the extension of the
internal product for two vectors.
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We define the norm of a function:
q hZ ` i1/2
kf k = hf , f i = f (x)2 p(x)dx 0.
0

If kf k = 0, then f (x) = 0 for all x [0, `].

Two functions f y g are orthogonal if

Z `
hf , gi = f (x)g(x)p(x)dx = 0 .
0

Be {n }n=1,2,... a set of functions. It is called orthogonal set if

hn , m i = 0 for any n 6= m.

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If no function has null norm, we may normalize them:

n (x)
n (x) = , n = 1, 2, . . . .
kn (x)k

These functions forma a orthonormal set, that is

Z 
0, for n 6= m
hn , m i = n (x)m (x)p(x) = dx =
I 1, for n = m .

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Example
n  nx o
sin is a orthogonal set in I = [0, `] with respect
` n=1,2,...
to the the weight p(x) = 1.

Indeed, we may check that

Z `  nx   mx  
0, for n 6= m
sin sin dx =
0 ` ` `/2, for n = m .
p
All these functions have norm `/2. Then the functions
r  nx 
2
n (x) = sin , n = 1, 2, . . .
` `
form a orthonormal set in [0, `].

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Example
The functions
r  nx 
1 2
0 (x) = , n (x) = cos , n = 1, 2, . . .
` ` `

form a orthonormal set in [0, `].

Example
The functions
1 1  2nx 
c0 (x) = , cn (x) = cos
2` ` `

1  2nx

sn (x) = sin , n = 1, 2, . . .
` `
form a orthonormal set in [0, `].

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Fourier series

Be {n (x)}n=1,2,... a orthonormal set in Cs (I). Given a function

f Cs (I), we have interest in expressing this function as an
infinite series of the orthonormal functions in the form

X
f (x) = cn n (x)
n=1

with appropriate coefficients cn .

This expression is the natural extension of decomposing a

vector into components in a basis. It involves two fundamental
questions:
1) Is it valid for all x [0, `] ?
2) How to select the coefficients cn ?

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Let us assume that this expression is true for all x [0, `].

Using the internal product, we can write

DX
E Z ` hX i
hf , i i = cn n , i = cn n (x) i (x)p(x)dx .
n=1 0 n=1

Assuming the series can be integrated term by term we

continue the calculation in the form

X Z `
hf , i i = cn n (x)i (x)p(x)dx = ci ,
n=1 0

where we have used that the funcions n (x) are orthonormal !!

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In summary

If f (x) =
P
n=1 cn n (x) for all x [0, `] and if the series can be
integrated term by term, then the coefficients are uniquely
determined by the formula
Z `
cn = hf , n i = f (x)n (x)p(x)dx . (1)
0
For a general orthonormal set and a general class of functions
f (x), it can be difficult to ensure both conditions a priori.
However, the formula (1) can be calculated even if the infinite
series does not converge to f (x) for all x. The only condition is
that f (x)n (x)p(x) are integrable in [0, `]. This is not a very
restrictive condition since it may be satisfied by general classes
of functions.

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Given a function, we directly construct a Fourier series

Given f (x) in I = [0, `], we calculate a set of coefficients cn with

the expressions
Z `
cn = hf , n i = f (x)n (x)p(x)dx , n = 1, 2, . . . , (2)
0

and we construct the infinite series

X
f (x) cn n (x) . (3)
n=1

It is called the Fourier series of f with respect to the

orthonormal set {n }.
The constants cn are named the Fourier coefficients of the
function.

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The sign () in (3) is a graphical form of indicating the
association between the function and its Fourier series without
a priori requiring a point to point identification.

This is one way of representing a function through a linear

decomposition in an infinite set of orthonormal functions {n }.
The Fourier coefficients {cn } are the components, in an analogy
with the decomposition of a vector in a base.

In general, it may happen that the Fourier series does not

converge or does not coincide with the value of f (x) at all points
in x [0, `]. This coincidence would be the ideal case in which

X
f (x) = cn n (x).
n=1

However, in general the Fourier series represents the function

in a weaker but practical form refereed to as mean square.

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Mean square approximation

Consider the first N functions of a orthonormal set in Cs (I) and

the linear combination

N (x) = 1 1 (x) + 2 2 (x) + + N N (x) (4)

with some coefficients i .

We define
Z `
2
EN = kf N k = [f (x) N (x)]2 p(x)dx (5)
0
as the mean square error when f is approximated by N .

It gives an overall measure of the approximation on the whole

domain, instead of focussing point to point.

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Problem: Find the coefficients i such that EN is minimum

Z `h N
X i2 Z `
EN = f (x) n n (x) p(x)dx = f (x)2 p(x)dx+
0 n=1 |0 {z }
kf k2
N
Z ` hX i2 Z ` N
X
n n (x) p(x)dx 2 f (x) n n (x)p(x)dx ,
0 n=1 0 n=1
| {z } | {z }
I2 PN
n=1 n cn

where cn are the Fourier coefficients.

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 N
Z ` hX N
i hX i
I2 = n n (x) m m (x) p(x)dx
0 n=1 m=1
N
X N
X hZ ` i XN
n m m (x)n (x)p(x)dx = n2 ,
n=1 m=1 0 n=1

Then
N
X N
X N
X N
X
2
EN = kf k + n2 2 n cn = kf k + 2
(n cn ) 2
c2n .
n=1 n=1 n=1 n=1
| {z }

Since all the terms are non-negative, the minimum of EN is

attained when n = cn , n = 1, 2, . . . , N. And it is given by
N
X
min EN = kf k2 c2n . (6)
n=1

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From (6) we have that the bound N 2 2
P
n=1 cn kf k .
2
Since all the cn are positive, the infinite series for N is
convergent and also bounded:

X
c2n kf k2 .
n=1

Since the n-term of a convergent series goes to 0, we have

lim cn = lim hf , n i = 0 .
n n

The error reduces as N , so that the minimum error (the

better approximation) is when the complete Fourier series is
used:

X
2 2
E = lim {min EN } = lim kf N k = kf k c2n .
N N
n=1

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Compilation
Be {n (x)}n=1,2,... a orthonormal set in Cs (I) and the Fourier
series of a function f :
X
cn = hf , n i; f (x) cn n (x) .
n=1

We have learned the following properties:

X
c2n kf k2 , (Bessel inequality)
n=1
lim cn = 0.
n
Among all the possible linear combinations with {n (x)},
the Fourier series is the best representation of f in the mean
square sense. The mean square error is
X
X
E = kf cn n k2 = kf k2 c2n .
n=1 n=1

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Orthonormal basis
The best case occurs when the mean square error is 0. In this
case, we say that the Fourier series converges to f in the mean
square sense.
In this case, the Parseval identity holds:

X
kf k2 = c2n . (7)
n=1

Definition
We say that {n (x)}n=1,2,... is a orthonormal base (or a complete
set) in a function space when, for any function f belonging to
the space, its Fourier series converges to f in mean square, that
is
XN
lim kf cn n (x)k2 = 0.
N
n=1

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Example
s
n 2 nx o
sin
p` ` n=1,2,...
s s
n 1 2 nx o
, cos
p` p` ` n=1,2,...
s s s
n 1 2 2nx 2 2nx o
, cos , sin
p` p` ` p` ` n=1,2,...

are orthonormal bases in the space of piecewise continuous

functions in [0, `].

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Uniqueness of the Fourier series

Consider Fourier Pseries2 in a orthonormal base. The Parseval

identity kf k2 = n=1 cn says that the only way for a function f
to have all its coefficients equal to 0 is to have kf k = 0.

Consider now two functions f (x) and g(x) with Fourier

coefficients cn and dn respectively. Then the function f (x) g(x)
has coefficients cn dn . Therefore, the only way to have cn = dn
for all n = 1, 2, . . . is that kf gk = 0.

This means to be f (x) = g(x) for all points x [0, `] except

possibly at a discrete number of points.

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Conclusion

For a given piecewise continuous function, its Fourier

coefficients give a unique representation

in the sense that no other functions (except those differing

in a discrete number of points) have the same coefficients.

The Fourier coefficients are the components of the

function in the orthonormal basis.

The corresponding Fourier series is the best

representation of the function in the mean square sense.

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Examples of Fourier series

Consider the interval

I = [0, 1] and the orthonormal function
base {n (x) = 2 sin(nx)}n=1,2,... .

Let us see the Fourier series of several functions with respect to

this base with the Fourier coefficients calculated by
Z 1
cn = < f , n > = f (x)n (x)dx .
0

All the calculations and plots are done with Maple.

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Maple program

Define n (x) = 2 sin(nx)
> phi:=(n,x)->sqrt(2)*sin(n*Pi*x);
Define f (x) = x
> f:=x->x;
R1
Calculate the Fourier coefficients cn = 0 f (x)n (x)dx
> c:=n->int(f(x)*phi(n,x),x=0..1);
assume(n,integer);

(1)n 2

n

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Maple program, cont
Plot the coefficients to observe their convergence to 0.
> coefs:=[seq([n,c(n)], n=1..20)];
> plot(coefs,n=1..20, style=point,
symbol=circle);

0.4

0.3

0.2

0.1

0.0

5 10 15 20
0.1 n~

0.2

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Maple program, cont
Calculate partial summations SN (x) = N
P
n=1 cn n (x) and
error approximation |f (x) SN (x)|.
> SF:=(N,x)-> sum(c(n)*phi(n,x), n=1..N);
> EF:=(N,x)-> abs(f(x)-SF(N,x));
Plot several approximations to observe their convergence
to the function.
> plot(f(x),SF(1,x), SF(5,x),x=0..1,
thickness=2);
> plot(EF(1,x), EF(5,x), EF(20,x),x=0..1,
thickness=2);

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Maple program, cont
1.0
1.0

0.75 1.0 0.75

0.5 0.75
0.5

0.25 0.5
0.25

0.25
0.0 0.0
0.0 0.25 0.5 0.75 1.0
0.0
0.0 0.25 0.5 0.75 1.0
x
x
0.0 0.25 0.5 0.75 1.0
x
f(x)=x N=5
N=1 f(x)=x N=1
N=5 N=15 N=15

The accuracy improves as the number of terms N increases.

The approximation is slower for points close to the end x = 1
and none of the functions SN attain the value f (1) = 1.
This is due to the fact that all the orthonormal functions give
n (1) = 0.

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Example 2

1, for 0 x 0.5
f (x) =
1, for 0.5 x 1
> g:=x->piecewise(x<0.5,1,x>0.5, -1);
Fourier coefficients:

cn = 0.4501581581 1.0+cos(1.570796327
n
n)

n
+0.4501581581 1.0 cos(1.570796327
n
n)+(1.0)

0.8

0.6
Most of the coefficients
are 0.
0.4
The only cn 6= 0 are
0.2
c2 , c6 , c10
0.0

5 10 15 20 25 30
x

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Example 2, cont.
1.0
1

0.75

0
0.5
0.0 0.25 0.5 0.75 1.0
x 0.25
1
0.0
0.0 0.25 0.5 0.75 1.0
f(x) x

N=26
N=10
N=2 N=2
N=10 N=26

As N increases, the series converges to f (x) at the points where f

is continuous. Near the discontinuity points, the approximation
sN overshoots the function (Gibbs phenomenon) . Even for
N , sN does not match the function at these points.

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Example 3

f (x) = x4 (x 1)
Fourier coefficients:
 
2 3 + 12 (1)1+n + (1)n n2 2
8
n5 5

0.03

0.02
The coefficients go to
0.01
0 very fast
(with n15 ).
0.0
0 1 2 3 4 5 6 7 8 9 10
0.01 x

0.02

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Example 3, cont.
0.025
0.075

0.02
0.05
0.015

0.025 0.01

0.005
0.0
0.0
0.0 0.25 0.5 0.75 1.0
x 0.0 0.25 0.5 0.75 1.0
x

f(x) N=2
N=5 N=5
N=2 N=10

SN (x) matches the function at all points with a very small

number of terms.
Notice that in this case, f (x) is continuous at all points and
the orthonormal functions coincide with f at the extreme
ends.

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On convergence of the Fourier series

In all the examples, as expected from the presented theory, we

have seen that
The functions SN (x) converge to the given function f (x) in
the mean square sense.
The Fourier coefficients cn 0.
More refined convergences have been also observed in the
examples depending on some conditions on the functions and
the conditions at the extreme ends of the interval domain.

They can be understood from the following theorems.

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Theorem Pointwise convergence
Let the set {n (x)}n=1,2,... be a orthonormal base of
eigenfunctions. Suppose that f and its derivative f 0 are
piecewise continuous on x [0, `]. Then the Fourier series for f
converges to f (x) at every x where f is continuous.

If f is discontinuous at x = x0 , the Fourier series converges to

the average

f (x+
0 ) + f (x0 )
2

where f (x+
0 ) = limxx+ and f (x0 ) = limxx .
0 0

This theorem has been illustrated by the examples 1 and 2.

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Theorem Uniform convergence
Suppose that f is continuous and has continuous first and
second derivatives on the closed interval [0, `].

Suppose that f and the orthonormal functions {n (x)}n=1,2...

satisfy the same conditions at the interval ends (for example
they are 0 like in the example 3).

Then, the Fourier series converges uniformly to f (x) on the

closed interval [0, `].

In pointwise convergence, the quality of the convergence

depend on each point x. Uniform convergence is stronger, has
an overall character independent on the values of x.

Compare example 3 (uniform convergence) with the examples

1-2 (pointwise convergence).

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