Biief 0veiview of Integiation foi CS 2S7

This biief set of notes is basically a foimatteu veision of the ielevant section of the
Wikipeuia aiticle on "Integiation." It is intenueu as an intiouuction to the mateiial
on continuous piobability spaces foi CS 2S7. Check out youi local fiienuly calculus
textbook foi moie uetails.....

Teiminology anu notation

The simplest case, the integial ovei ! of a ieal-valueu function "(!), is wiitten as



The integial sign j iepiesents integiation. The #! inuicates that we aie integiating
ovei !; ! is calleu the vaiiable of integiation. In coiiect mathematical typogiaphy,
the #! is sepaiateu fiom the integianu by a space (as shown). Some authois use an
upiight # (that is, u! insteau of #!). Insiue the j...#! is the expiession to be
integiateu, calleu the$%&'()*%#. In this case the integianu is the function "(!).
Because theie is no uomain specifieu, the integial is calleu an$%#'"$%$&' $%&'()*,.
When integiating ovei a specifieu uomain, we speak of a #'"$%$&' $%&'()*,.
Integiating ovei a uomain - is wiitten as



oi



if the uomain is an inteival |*, .j of !. The uomain - oi the inteival |*, .j is calleu
the #/0*$% /" $%&'()*&$/%.
If a function has an integial, it is saiu to be $%&'()*.,'. In geneial, the
integianu may be a function of moie than one vaiiable, anu the uomain of
integiation may be an aiea, volume, a highei uimensional iegion, oi even an
abstiact space that uoes not have a geometiic stiuctuie in any usual sense (such as
a sample space in piobability theoiy).
The vaiiable of integiation #! has uiffeient inteipietations uepenuing on the
theoiy being useu. It can be seen as stiictly a notation inuicating that ! is a uummy
vaiiable of integiation; if the integial is seen as a Riemann sum, #! is a ieflection of
the weights oi wiuths # of the inteivals of !; in Lebesgue integiation anu its
extensions, #! is a measuie; in non-stanuaiu analysis, it is an infinitesimal; oi it can
be seen as an inuepenuent mathematical quantity, a uiffeiential foim. Noie
complicateu cases may vaiy the notation slightly. In Leibniz's notation, #! is
inteipieteu as an infinitesimal change in !. Although Leibniz's inteipietation lacks
iigoui, his integiation notation is the most common one in use touay.
Intiouuction.
Integials appeai in many piactical situations. If a swimming pool is
iectangulai with a flat bottom, then fiom its length, wiuth, anu uepth we can easily
ueteimine the volume of watei it can contain (to fill it), the aiea of its suiface (to
covei it), anu the length of its euge (to iope it). But if it is oval with a iounueu
bottom, all of these quantities call foi integials. Piactical appioximations may suffice
foi such tiivial examples, but piecision engineeiing (of any uiscipline) iequiies
exact anu iigoious values foi these elements.
To stait off, consiuei the cuive 1 = "(!) between ! = u anu ! = 1 with "(!) = V!.
23*& $4 &3' *)'* 5%#') &3' "5%6&$/% "7 $% &3'
$%&')8*, ")/0 9 &/ :; Call this (yet unknown)
aiea the !"#$%&'( of ". The notation foi this
integial will be



As a fiist appioximation, look at the unit
squaie given by the siues ! = u to! =
1 anu 1 = "(u) = u anu 1 = "(1) = 1. Its aiea is
exactly 1. As it is, the tiue value of the
integial must be somewhat less. Becieasing
the wiuth of the appioximation iectangles
shall give a bettei iesult; so cioss the
inteival in five steps, using the
appioximation points u, 1S, 2S, anu so on
to 1. Fit a box foi each step using the iight
enu height of each cuive piece, thus V(1/S),
V(2/S), anu so on to V1 = 1. Summing the aieas of these iectangles, we get a bettei
appioximation foi the sought integial, namely



We aie taking a sum of finitely many function values of ", multiplieu with the
uiffeiences of two subsequent appioximation points. We can easily see that the
appioximation is still too laige. 0sing moie steps piouuces a closei appioximation,
but will nevei be exact: ieplacing the S subinteivals by twelve in the same way, but


Appioximations to integial of V! fiom u to 1, with S
iight samples (above) anu 12 left samples
with the left enu height of each piece, we will get an appioximate value foi the aiea
of u.62uS, which is too small. The key iuea is the tiansition fiom auuing "$%$&',1
0*%1 uiffeiences of appioximation points multiplieu by theii iespective function
values to using infinitely many fine, oi $%"$%$&'4$0*, steps.
As foi the *6&5*, 6*,65,*&$/% /" $%&'()*,4, the funuamental theoiem of
calculus, uue to Newton anu Leibniz, is the funuamental link between the opeiations
of uiffeientiating anu integiating. Applieu to the squaie ioot cuive, "(!) = !
12
, it says
to look at the antiueiivative <(!) = (2S)!
S2
, anu simply take <(1) - <(u), wheie u
anu 1 aie the bounuaiies of theinteival |u,1j. So the '!*6& value of the aiea unuei
the cuive is computeu foimally as



(This is a case of a geneial iule, that foi "(!) = !
=
, with = = -1, the ielateu function,
the so-calleu antiueiivative is<(!) = !
= + 1
(= + 1).)
The notation



conceives the integial as a weighteu sum, uenoteu by the elongateu 4, of function
values, "(!), multiplieu by infinitesimal step wiuths, the so-calleu #$""')'%&$*,4,
uenoteu by #!. The multiplication sign is usually omitteu.
Bistoiically, aftei the failuie of eaily effoits to iigoiously inteipiet
infinitesimals, Riemann foimally uefineu integials as a limit of weighteu sums, so
that the #! suggesteu the limit of a uiffeience (namely, the inteival wiuth).
Shoitcomings of Riemann's uepenuence on inteivals anu continuity motivateu
newei uefinitions, especially the Lebesgue integial, which is founueu on an ability to
extenu the iuea of "measuie" in much moie flexible ways. Thus the notation



iefeis to a weighteu sum in which the function values aie paititioneu, with
measuiing the weight to be assigneu to each value. Beie > uenotes the iegion of
integiation.
Biffeiential geometiy, with its "calculus on manifolus", gives the familiai
notation yet anothei inteipietation. Now "(!) anu#! become a uiffeiential foim, u
= "(!)#!, a new uiffeiential opeiatoi #, known as the exteiioi ueiivative is
intiouuceu, anu the funuamental theoiem becomes the moie geneial Stokes'
theoiem,



fiom which uieen's theoiem, the uiveigence theoiem, anu the funuamental theoiem
of calculus follow.
Noie iecently, infinitesimals have ieappeaieu with iigoi, thiough mouein
innovations such as non-stanuaiu analysis. Not only uo these methous vinuicate the
intuitions of the pioneeis; they also leau to new mathematics.
Although theie aie uiffeiences between these conceptions of integial, theie is
consiueiable oveilap. Thus, the aiea of the suiface of the oval swimming pool can be
hanuleu as a geometiic ellipse, a sum of infinitesimals, a Riemann integial, a
Lebesgue integial, oi as a manifolu with a uiffeiential foim. The calculateu iesult
will be the same foi all.