My_Notes

February 10, 2020

1 Metric Space, Normed Space and Inner Product Space

1.1 Metric Space
1.1.1 Motivation
A metric space is a general space (a non-empty set) where one can talk about the distance between
two elements in the set. Hence, one can expect that by equipping a space with the notion of
“distance”, we can then talk about some of the familiar concepts discussed in mathematical analyisis
of the real numbers R. For example, we can then talk about:
• bounded/unbounded set/sequence,
• convergent sequence,
• Cauchy sequence,
• limit of a function,
• continuous function.
However, since this metric space need not be a linear (or vector) space, we can yet talk about
“addition” and “scalar multiplication”. As a result, the following concepts cannot be generalised
yet:
• convergence of an infinite series,
• derivative of a function,
• integral of a function.
Also, there is no notion of order equipped with it (i.e. we cannot talk about x < y) and hence the
followings are also not properly defined:
• supremum/infimum of a bounded sequence,
• monotone sequence.
For certain metric spaces with additional structure, we can then defined these concepts properly.

1.1.2 Definition
Let X ̸= ∅. A function d : X × X → R is a metric on X if it satisfies the following conditions:
[M1] (Positive Definite) d(x, y) ≥ 0, ∀x, y ∈ X and d(x, y) = 0 iff x = y,
[M2] (Symmetry) d(x, y) = d(y, x), ∀x, y ∈ X,
[M3] (Triangle Inequality) d(x, y) ≤ d(x, z) + d(z, y), ∀x, y, z ∈ X.
If d is a metric on X, then the pair (X, d) is called a metric space.

1
1.2 Normed Space
After equipping a space with the notion of “distance” between two elements, we now introduce the
notion of “size” of the elements. We do this by using the concept of a “norm”. Also, we are now in
a more restricted setting of vector space, in contrast to the previous setting of any non-empty set.
This is because the definition of norm involves the property of homogeneity which requires scalar
multiplication. One more thing to note is that we would actually have an induced metric for every
normed space and also we might view the norm of an element as the distance from the zero vector
to the element.

1.2.1 Definition
Let V be a vector/linear space over R. A norm on V is a function || · || : V → R satisfying the
following conditions:
[N1] (Positive Definite) ||x|| ≥ 0, ∀x ∈ V and ||x|| = 0 iff x = 0,
[N2] (Homogeneity) ||αx|| = |α| · ||x||, ∀α ∈ R, ∀x ∈ V ,
[N3] (Triangle Inequality) ||x + y|| ≤ ||x|| + ||y||, ∀x, y ∈ V .
If || · || is a norm on the vector space V , then (V, || · ||) is called a normed (vector/linear) space. We
can define a metric space from every normed space but the converse is not true.

1.2.2 Examples
The p-norm in Finite Dimensions
(i) (R, | · |)
The absolute value function is a norm on R. This is a special case of (ii) if n = 1, p = 1.
(ii) (Rn , || · ||p ), sometimes denoted as ℓp (n). In fact, Rn here can be generalised to any Euclidean
space Fn .
For a = (a1 , ..., an ) ∈ Rn , define
(P
( nk=1 |ak |p )1/p if 1 ≤ p < ∞,
||a||p =
max{|a1 |, ..., |an |} if p = ∞.

|| · ||p is called the ℓp -norm on Rn . In particular, || · ||2 is the Euclidean norm on Rn .

For 0 < p < 1, the function defined above is not a norm on Rn .

The p-norm in Countably Infinite Dimensions

(iii) (ℓp , || · ||p )
The set ℓp is a subset of the sequence space, containing sequences {ak }∞
k=1 in R such that
∞
X
|ak |p < ∞ if 1 ≤ p < ∞, (1)
k=1
sup |ak | < ∞ if p = ∞. (2)
k

2
 The set ℓp grows larger as p increases.
For {ak }∞
k=1 ∈ ℓ , define
p

(P
( ∞ p 1/p
k=1 |ak | ) if 1 ≤ p < ∞,
||{ak }∞
k=1 ||p =
supk |ak | if p = ∞.

|| · ||p is called the ℓp -norm on ℓp . In particular,

(a) || · ||1 is the ℓ1 -norm on ℓ1 , the space of sequences whose series are absolutely convergent.
(b) || · ||2 is the ℓ2 -norm on ℓ2 , the space of square-summable sequences, which is the only
Hilbert space among ℓp .
(c) || · ||∞ is the uniform/ infinity norm on ℓ∞ , the space of bounded sequences.

The p-norm in Infinite Dimensions

(iv) (C[a, b], || · ||p )
For f ∈ C[a, b] = {f : [a, b] → R|f is continuous on [a, b]}, define
 1/p
 Rb
|f |p if 1 ≤ p < ∞,
||f ||p = a
max
t∈[a,b] |f (t)| if p = ∞.

|| · ||p is called the Lp -norm on C[a, b]. In particular, || · ||∞ is the uniform norm on C[a, b].
For 1 ≤ p < ∞, (C[a, b], || · ||p ) is not complete. However, the space (C[a, b], || · ||∞ ) is complete.
(v) (Lp [a, b], || · ||p ) is the completion of (C[a, b], || · ||p ).
C[a, b] is dense in Lp [a, b] under the Lp -norm || · ||p .
Every element f ∈ Lp [a, b], called an Lp -function, is defined almost everywhere (i.e. except a
countable set of points) on [a, b] and satisfies

Z b 1/p
||f ||p = |f | p
< ∞.
a

|| · ||2 is called the L2 -norm on L2 [a, b], the space of all square-integrable functions, which is ,
similar to ℓp , the only Hilbert space in Lp [a, b].

1.2.3 More Definitions

Sequence Let (V, || · ||) be a normed space. A sequence in V is a function f : N → V . Letting
xn = f (n), we denote the sequence f by {xn }.

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Convergence A sequence {xn } converges to a limit x in V if ∀ε > 0, ∃N (ε) ∈ N such that

||xn − x|| < ε, ∀n ≥ N (ε).

i.e., limn→∞ xn = x or equivalently limn→∞ ||xn − x|| = 0.

The limit of {xn }, if exists in (V, || · ||), is unique. A sequence diverges if it does not converge to
any x in V .

Cauchy Sequence A sequence {xn }∞ n=1 in a normed space (V, || · ||) is said to be a Cauchy
sequence if ∀ε > 0, ∃N (ε) ∈ N such that

||xm − xn || < ε, ∀m, n ≥ N (ε).

Theorem: Every convergent sequence is a Cauchy sequence. (The reverse is not true in general.)

Closedness and Boundedness Let (V, || · ||) be a normed space and let S ⊆ V .
• S is bounded if ∃c > 0 such that ||x|| ≥ c, ∀x ∈ S.
• S is closed in V if ({xn } ⊆ S and xn → x ∈ V ) ⇒ x ∈ S.
Theorem: A finite dimensional subspace S of a normed space V is closed in V .

Closure and Dense Set Given a subset S of V , the closure S̄ of S is the set

S̄ = {x ∈ V : x is the limit of some convergent sequence in S}.

Note: S ⊆ S̄. Proof: ∀x ∈ S, form a constant sequence {x, x, x, ...} which converges to x and hence
x ∈ S̄.
S is dense in V if S̄ = V . Informally, S is dense in V if every point x in V either belongs to S or
is a limit point of S.
Examples:
(i) Q is dense in R under the absolute value function.
(ii) C[a, b] is dense in Lp [a, b] under the Lp -norm || · ||p .

Continuity Let (V, || · ||V ) and (W, || · ||W ) be normed spaces, S ⊆ V and f : S → W .
f is continuous at a ∈ S if ∀ε > 0, ∃δ > 0 such that x ∈ S, ||x − a||V < δ ⇒ ||f (x) − f (a)||W < ε.
f is continuous on S if f is cntinuous at every a ∈ S.

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Convexity A subset S of a general (i.e., not necessarily normed) vectorspace V is convex if
∀x, y ∈ V ,

x, y ∈ S =⇒ (1 − t)x + ty ∈ S, ∀t ∈ [0, 1].

Roughly, this is saying that the “line segment” connected any two points in S should entirely lie in
S as well.
Examples: The closed unit ball {x ∈ X : ||x|| ≤ 1} of a normed space (X, || · ||) is convex.
A normed space (X, || · ||) is strictly convex if ∀x, y ∈ X,

||x|| = ||y|| = 1, x ̸= y =⇒ ||(1 − t)x + ty|| < 1, ∀t ∈ (0, 1).

Equivalent statements of strict convexity: A normed space (X, || · ||) is strictly convex iff
∀x, y ∈ X,

||x|| = ||y|| = 1, x ̸= y =⇒ ||(x + y)/2|| < 1;

equivalently, iff ∀x, y ∈ X,

||x|| = ||y|| = 1, x ̸= y =⇒ ||(x + y)|| < ||x|| + ||y||.

Examples:
• For n > 1, (Rn , || · ||p ) is not strictly convex for p = 1, ∞.
• For n > 1, (Rn , || · ||p ) is strictly convex for 1 < p < ∞.
• (C[a, b], || · ||p ) is not strictly convex for p = 1, ∞.
• (C[a, b], || · ||p ) is strictly convex for 1 < p < ∞.

1.2.4 Theorems
Generalised AM-GM Inequality Let α ≥ 0, β ≥ 0, 0 ≤ λ ≤ 1. Then
• λα + (1 − λ)β ≥ αλ β 1−λ , equality holds iff α = β;
• λt + (1 − λ) ≥ tλ , t > 0, and equality holds iff t = 1.

1 1
Holder’s Inequality Let p > 1, q > 1 such that p + q = 1 (i.e., p, q are conjugate exponents).
• Let a = (a1 , ..., an ), b = (b1 , ..., bn ) ∈ Rn . Then

X
n
|ai bi | ≤ ||a||p ||b||q .
i=1

|ai |p |bi |q
Moreover, equality holds iff ||a||p p
= ||b||q q
, ∀i = 1, ..., n.

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 • Let f, g ∈ C[a, b]. Then

Z b
|f g| ≤ |f ||p ||g||q .
a

|f (t)|p |g(t)|q
Moreover, equality holds iff ||f ||p p
= ||g||q q
, ∀t ∈ [a, b].

Minkowski’s Inequality Let 1 ≤ p < ∞.

• Let α = (α1 , ..., αn ), β = (β1 , ..., βn ) ∈ Rn . Then

||α + β||p ≤ ||α||p + ||β||p .

Moreover, for p = 1, equality holds iff αi and βi have the same sign ∀i = 1, ..., n.
For 1 < p < ∞, equality holds iff ∃c ≥ 0 such that α = cβ.
• Let f, g ∈ C[a, b]. Then

||f + g||p ≤ ||f ||p + ||g||p .

Moreover, for p = 1, equality holds iff f (t) and g(t) have the same sign ∀t ∈ C[a, b].
For 1 < p < ∞, equality holds iff ∃c ≥ 0 such that f = cg.

Bolzano-Weierstrass Theorem
• Every bounded sequence {xk }∞ ∞
k=1 in (R , || · ||2 ) has a convergent subsequence {xki }i=1 .
n

• Every bounded sequence in a f inite dimensional normed space has a convergent subse-
quence. This is not necessarily true if the normed space is infinite dimensional.

Sequential Criterion for Continuity Let (V, || · ||V ) and (W, || · ||W ) be normed spaces, S ⊆ V
and f : S → W .
f is continuous at a ∈ S if and only if for every sequence {xn } in S with xn → a, we have
f (xn ) → f (a) in W .

Extreme Value Theorem

• Let S be a closed and bounded subset of (Rn , || · ||2 ) and let f : S → R be continuous
on S. Then f has an absolute maximum and an absolute minimum on S, i.e., there exists
x1 , x2 ∈ S such that f (x1 ) ≤ f (x) ≤ f (x2 ), ∀x ∈ S
• Let S be a closed and bounded subset of a f inite dimensional normed space X and let
f : S → R be continuous on S. Then f has an absolute maximum and an absolute minimum
on S.

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1.2.5 Banach Space
A normed space (V, || · ||) is said to be complete if every Cauchy sequence converges in V. Such a
space is called a Banach Space.
Some examples of Banach Space include all finite dimensional normed spaces (e.g. (Rn , || · ||2 )) and
some infinite dimensional spaces like (ℓp , || · ||p ) and (Lp , || · ||p ).

1.2.6 Approximation in Normed Spaces

Motivation and Formulation We might want to approximate some functions of certain kind by
some other simpler functions, simply because the latter might be easier to compute. For example,
for some given continuous funtions on a subinterval of R we can approximate them by polynomials.
Also, we can then characterize how good the approximation is by the difference between our original
target function and our approximation function. Our goal is to find the best approximation which
is the one with the least error/difference.
Here is the mathematical formulation of such kinds of problems: Let (X, || · ||) be a normed space
and Y a subspace of X. Then, given an arbitrary x in the ambient space X, we find y0 ∈ Y such
that

||x − y0 || = min ||x − y|| (= inf ||x − y||).

y∈Y y∈Y

Such y0 ∈ Y is called a best approximation to x out of Y , and the quantity E(x) = ||x − y0 || is
called the error of best approximation to x out of Y .
However, it remains unclear whether such a best approximation as defined above exists or not. Also,
even it exists, we are yet not sure whether it is unique. (That is why we say “a” best approximation
instead of “the” best approximation.)

Existence of Best Approximation (Fundamental theorem of best approximation) Let (X, ||·||)
be a normed space and Y a f inite dimensional subspace of X. ∀x ∈ X, there exists a best
approximation of x out of Y , i.e., ∃y0 ∈ Y such that

||x − y0 || = min ||x − y||.

y∈Y

Uniqueness of Best Approximation Let (X, || · ||) be a strictly convex normed space and Y
a subspace of X. Then every x ∈ X has at most one best approximation out of Y .
As a corollary of the fundamental theorem of best approximation and the above result, let (X, || · ||)
be a strictly convex normed space and Y a finite dimensional subspace of X. Then every x ∈ X
has a unique best approximation out of Y .
We have so far only shown that in normed spaces, under certain conditions (strictly convex ambient
space and finite subspace) we have a unique best approximation. Alas, there is no machinery to
help us to find such an approximation. However, by zooming in to a subset of normed spaces called
inner product spaces, we have additional structures for us to compute the best approximation in
these special cases.

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1.3 Inner Product Space
1.3.1 Definition
Let X be a vector space over R. An inner product on X is a function ⟨·, ·⟩ : X × X → R satisfying
the following conditions:
[IP1] (Positive Definite) ⟨x, x⟩ ≥ 0, ∀x ∈ X and ⟨x, x⟩ = 0 iff x = 0,
[IP2] (Symmetry) ⟨x, y⟩ = ⟨y, x⟩, ∀x, y ∈ X,
[IP3] (Linearity) ⟨αx + βy, z⟩ = α⟨x, z⟩ + β⟨y, z⟩, ∀x, y, z ∈ X, ∀α, β ∈ R.
An inner product space is a vector space together with an inner product defined on it.
Every inner product spacepX with an inner product ⟨·, ·⟩ is endowed with an induced norm || · || :
X → R defined by ||x|| = ⟨·, ·⟩, ∀x ∈ X.
Theorem: An inner product space (with the induced norm) is strictly convex.
When the field involved is complex, the symmetry condition [IP2] is replaced by the anti-
symmetry/conjugate symmetry condition: ⟨x, y⟩ = ⟨y, x⟩∗ , ∀x, y ∈ X.

1.3.2 Examples
(i) The Euclidean space Fn with the inner product defined by

X
n
⟨x, y⟩ = xi (yi )∗ , ∀x = (x1 , ..., xn ), y = (y1 , ..., yn ) ∈ Fn .
i=1

(ii) The space ℓ2 with the inner product defined by

∞
X
⟨{ak }∞ ∞
k=1 , {bk }k=1 ⟩ = ak (bk )∗ , ∀{ak }∞ ∞
k=1 , {bk }k=1 ∈ ℓ .
2

k=1

(iii) The space C[a, b] with the inner product define by

Z b
⟨f, g⟩ = f g∗, ∀f, g ∈ C[a, b].
a

(iv) More generally, the space L2 [a, b] of L2 -functions with the inner product define by

Z b
⟨f, g⟩ = f g∗, ∀f, g ∈ L2 [a, b].
a

1.3.3 More Definitions

Orthogonality Let X be an inner product space.
We say that x, y ∈ X are orthogonal (or one is orthogonal to the other), and write x ⊥ y, if
⟨x, y⟩ = 0.

8
More generally, we say that two subsets E and F of X are orthogonal, and write E ⊥ F , if
x ⊥ y, ∀x ∈ E, y ∈ F .
For a subset E of X, let E ⊥ = {y ∈ X : ⟨y, x⟩ = 0, ∀x ∈ E}. Then E ⊥ called the orthogonal
complement of E in X, is a closed linear subspace of X. Notice that we are using a subset but
generating a subspace.

1.3.4 Theorems
Some Inequalities Let x, y ∈ X where X is an inner product space with an inner product ⟨·, ·⟩.
Let || · || be the induced norm.
(i) Cauchy-Schwarz Inequality: |⟨x, y⟩| ≤ ||x|| ||y||. This is a special case (p = 2) of Holder’s
inequality.
(ii) Triangle Inequality: ||x + y|| ≤ ||x|| + ||y||.
(iii) ||y|| ≤ ||λx + y||, ∀λ ∈ R iff ⟨x, y⟩ = 0. The geometric interpretation of this is that if two
vectors are perpendicular to each other, then adding one to the other will not contribute
anything in the latter’s direction.

Parallelogram Law Let X be an inner product space with the induced norm || · ||. Then
∀x, y ∈ X,

||x + y||2 + ||x − y||2 = 2(||x||2 + ||y||2 ).

Geometrically, the sum of squares of the lengths of the four sides of a parallelogram is equal to the
sum of the squares of the lengths of the two diagonals.

Polarization Identity Let X be an inner product space with the induced norm || · ||. Then
∀x, y ∈ X,

1
⟨x, y⟩ = (||x + y||2 − ||x − y||2 ).
4

This formulae tells us how to recover the inner product from its induced norm.

1.3.5 Hilbert Space

An inner product space that is complete with respect to the induced norm is called a Hilbert space.

1.3.6 Approximation in Inner Product Space

Orthogonal Projection

Best Approximation - Existence and Uniqueness

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1.3.7 Orthonormal Bases for Infinite Dimensional Hilbert Space

2 Fourier Analysis
2.1 Fourier Series
2.1.1 Definition
A Fourier series is an infinite series of the form:

a0 X h  nπx   nπx i
∞
f (x) = + an cos + bn sin ,
2 L L
n=1

where L is some positive number and the coefficients an and bn can be computed as follows:

Z L  nπx 
1
an = f (x)cos dx,
L −L L

Z L  nπx 
1
bn = f (x)sin dx.
L −L L

Observation: Notice that all the terms in the definition of Fourier series are periodic of period
2L. Hence, clearly, the Fourier series itself must also be period of period 2L.

2.1.2 Convergence of Fourier Series

Up till now, there are certain questions that are unclear:
• For what functions, f (x), can we write a Fourier series?
• Under what general conditions will a Fourier series converge?
Theorem: A function f (x) will have a convergent Fourier series, with coefficients an and bn given
above, provided that f (x) is periodic of period 2L, and both f (x) and f ′ (x) are at least piecewise
continuous on −L < x < L.
At a jump discontinuity, the Fourier series takes essentially the ‘path of least resistance’ by con-
verging to the average value.
Roughly, this theorem says that periodic functions are actually composed of cosine and sine waves
of different frequencies.
Theorem: The Fourier series for f (x) converges uniformly, and therefore f (x) is continuous, if

∞
X
{|an | + |bn |} converges.
n=1

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2.1.3 The Complex Form
We can have an alternative formulation of the Fourier series:

∞
X inπx
f (x) = cn e L ,
−∞

where cn are (probably complex) constants and are determined as follows:

Z L
1 inπx
cn = f (x)e L dx (3)
2L −L
1
= {an − ibn }, n > 0 (4)
2

2.1.4 Orthonormal Basis for the Inner Product Space L22π

L22π is the space of all square-integrable 2π-periodic functions.
The sequence { √12π einx }n∈Z is an orthonormal basis for L22π . Such a basis is called the Fourier basis
for L22π .
As above, ∀f ∈ L22π , we have

1 X
f (x) = √ cn einx ,
2π n∈Z

where

Z 2π
1
cn = √ f (x)e−inx dx (5)
2π 0
1 1
= ⟨f, √ einx ⟩ = √ ⟨f, einx ⟩. (6)
2π 2π

2.1.5 Orthonormal Basis for the Inner Product Space L2[0,T ]

The above can be easily generalised to the Hilbert space of square-integrable functions in a finite
interval [0, T ]:

Z T
L2[0,T ] = {f : |f (x)|2 dx < ∞}
0

by applying an appropriate scaling to the standard Fourier basis. Now, the orthonormal basis for
L2[0,T ] is the sequence

1 2π
{ √ ei T nx }n∈Z .
T

11
Then, ∀f ∈ L2[0,T ] ,

1 X 2π
f (x) = √ cn ei T nx , ∀x ∈ [0, T ],
T n∈Z

where

Z T
1 2π
cn = √ f (x)ei T nx
dx (7)
T 0
1 2π 1 2π
= ⟨f, √ ei T nx ⟩ = √ ⟨f, ei T nx ⟩. (8)
T T

2.2 Convolution
2.2.1 Linear Time-invariant Operator
The words ‘linear’ and ‘operator’ mean the usual sense.
The time-invariance of an operator L means that if the input is delayed by an amount of time τ ,
then the output is also delayed τ . More formally,

g(t) = L[f (t)] =⇒ g(t − τ ) = L[f (t − τ )]

The natural question next is then how to study such a linear time-invariant operator L. It turns
out that the behaviour of such a system can be simply characterized by their response to a Dirac
impulse.

2.2.2 Dirac Delta Function

The Dirac Delta Function, denoted by δ(t) is defined by

1 −t2
δ(t) = lim √ e 2ϵ .
ϵ→0 2πϵ

Some interesting properties:

• δ(t) = 0, ∀t ̸= 0;
R
• For any continuous function ϕ, R ϕ(t)δ(t) dt = ϕ(0);
R
• A translated Dirac δτ (t) = δ(t−τ ) has a mass concentrated at τ and R ϕ(t)δ(t−u) dt = ϕ(u);
R
• For any continuously differentiable function ϕ, R ϕ(t)δ ′ (t) dt = −ϕ′ (0);

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2.2.3 Convolution
Consider f, g : R → C and suppose that
Z
f (u)g ∗ (t − u) du < ∞, for almost all t ∈ R,
R

the convolution of g and f , denoted by g ∗ f is defined as

Z
(g ∗ f )(t) = g(u)f ∗ (t − u) du.
R

Now we go back to the linear time-invariant operator L.

R
If f is continuous, then its value at t is obtained by R f (u)δ(t − u) du = f (t).
Put this into L, we have
Z  Z
L[f (t)] = L f (u)δ(t − u) du = f (u)L[δ(t − u)] du.
R R

Define g to be impulse response of L:

g(t) = L[δ(t)].

Then
Z
L[f (t)] = f (u)g(t − u) du = f ∗ g(t).
R

This result is telling us that the output of any linear, time-invariant system is the convolution of
the input with the system’s impulse response.

2.3 Fourier Transform

For functions in
Z
L1R = {f : |f (x)|dx < ∞}
R

and functions in the Hilbert space

Z
L2R = {f : |f (x)|2 dx < ∞},
R

the Fourier series does not exist as the periodic extension is not applicable.

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2.3.1 Fourier Transform in L1R
Definition ∀f ∈ L1R , define the Fourier transform of f as fˆ : R → C:
Z
fˆ(ω) = f (x)e−ixω dx.
R

This Fourier transform is well-defined for all ω ∈ R, i.e., the integral converges:
Z  Z Z
 
ˆ 
|f (ω)| =  f (x)e −ixω 
dx ≤ |f (x)e−ixω
|dx = |f (x)|dx = ||f ||1 < +∞.
R R R

Inverse Fourier Transform in L1R If f ∈ L1R and fˆ ∈ L1R , then for almost all t ∈ R,
Z
1
f (t) = fˆ(ω)eixω dω.
2π R

This says f can be reconstructed from a sum of sinusoidal waves eixω of amplitude fˆ(ω).

Convolution Theorem Let f, g ∈ L1R . The function f ∗ g ∈ L1R and

f[
∗ g(ω) = fˆ(ω) · ĝ(ω).

Roughly,this is saying that the Fourier transform of the convolution of two functions is the product
of the Fourier transforms of the two functions.

2.3.2 Fourier Transform in L2R

Introduction We would like to extend the above definition of Fourier transforms in L1R to L2R
simply because L2R is a Hilbert space with many attractive properties due to the existence of an
inner product. However, the main obstacle for suchR a generalisation lies on the fact that not all
functions in L2R are in L1R and hence the integral R f (x)e−ixω dx does not converge absolutely.
To extend the Fourier transform to L2R , the Fourier transform of a function in L2R is defined as the
limit of a sequence of Fourier transform of functions in L1R ∩ L2R .
It is known that L1R ∩ L2R is dense in L2R . i.e., ∀f ∈ L2R , ∃{fn }n∈N in L1R ∩ L2R that converges to f :

lim ||f − fn || = 0.
n→+∞

Since {fn }n∈N converges, it is a Cauchy sequence.

By the Plancherel formula, {fc
n }n∈N is also a Cauchy sequence.

Because the Hilbert space L2R is complete, ∃fˆ ∈ L2R such that

lim ||fb − fc
n || = 0.
n→+∞

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By definition, this fc
n is the Fourier transform of f .

Parseval Formula ∀f, g ∈ L1R ∩ L2R ,

Z Z
1
f (t)g ∗ (t)dt = fˆ(ω)ĝ ∗ (ω)dω (9)
R 2π R
1 ˆ
≡ ⟨f, g⟩ = ⟨f , ĝ⟩. (10)
2π

Plancherel formula ∀f ∈ L1R ∩ L2R ,

Z Z
1
|f (t)| dt =
2
|fˆ(ω)|2 dω (11)
R 2π R
1 ˆ 2
≡ ||f ||2 2 = ||f ||2 . (12)
2π

The above two identities show that the inner product and norm in L2R are conserved by the Fourier
1
transform up to a constant 2π .

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