MAGIC058 & MATH64062: Partial Differential Equations 1

Section 4

Fourier series
4.1 Preliminary definitions
Definition: Periodic function
A function f (x) is said to be periodic, with period p if, for all x, f (x + p) = f (x) where p
is a positive constant.
For example, sin(x) is periodic with period 2π. We can construct periodic functions such
as 
x, 0≤x≤`
f (x) = , f (x + 2`) = f (x).
0, −` ≤ x < 0
This defines a periodic function with period 2`
y

x
−5` −4` −3` −2` −` ` 2` 3` 4`
Figure 4.1 An example of a periodic function.

Definition: Piecewise continuous function

A function f (x) is said to be piecewise continuous on the interval [a, b] if it has at most a
finite number of finite discontinuities on [a, b].

x
a b

Figure 4.2 An example of a piecewise continuous function.

Definition: Dirichlet conditions

Suppose a function f (x) satisfies
(i) f (x) has a finite number of extrema over the interval [−`, `],
MAGIC058 & MATH64062: Partial Differential Equations 2

(ii) f (x) and f 0 (x) are piecewise continuous on [−`, `],

(iii) f (x) is periodic with period 2`.

Then f (x) is said to satisfy the Dirichlet conditions.

Definition: Orthogonality of {sin(nπx/`)} and {cos(nπx/`)} The sets of functions

{sin(nπx/`)} and {cos(nπx/`)} are both orthogonal on the interval [−`, `]. This is defined
as Z ` 
 nπ   mπ  `, m=n
sin x sin x dx = (4.1)
−` ` ` 0 , m 6= n
and Z `  nπ   mπ  
`, m = n (6= 0)
cos x cos x dx = (4.2)
−` ` ` 0, m 6= n.

Proof of (4.1)
For m 6= n, use the relation
 nπ   mπ  1 n  π   π o
sin x sin x = cos (m − n) x − cos (m + n) x .
` ` 2 ` `
So, the integral becomes

1 `n 
Z
π   π o
cos (m − n) x − cos (m + n) x dx =
2 −` ` `
 `
1 `  π  `  π 
sin (m − n) x − sin (m + n) x = 0.
2 (m − n)π ` (m + n)π ` −`

However, for m = n, the integral is

` `
1 `
Z  nπ  Z     
2 2nπ 1 ` 2nπ
sin x dx = 1 − cos x dx = x− sin x =`
−` ` 2 −` ` 2 2nπ ` −`


The proof of (4.2) is analogous. for m 6= n, we use
 nπ   mπ  1 n  π   π o
cos x cos x = cos (m − n) x + cos (m + n) x
` ` 2 ` `
etc.
Note that the cos and sin functions are also orthogonal to each other
Z `  nπ   mπ 
cos x sin x dx = 0 , for all m, n. (4.3)
−` ` `
MAGIC058 & MATH64062: Partial Differential Equations 3

4.2 The full range Fourier series

Suppose a function f (x), defined between −` ≤ x ≤ `, satisfies the Dirichlet conditions.
Then, the series
∞ n
1 X  nπ   nπ o
a0 + an cos x + bn sin x ,
2 n=1
` `
where the Fourier coefficients an and bn are given by
1 `
Z  nπ 
an = f (x) cos x dx , n = 0, 1, 2, . . . , (4.4)
` −` `
1 `
Z  nπ 
bn = f (x) sin x dx , n = 1, 2, 3, . . . , (4.5)
` −` `
converges to 
 f (x) if x is a point of continuity,
(4.6)
f (x+0)+f (x−0)
if x is a point of discontinuity.

2
Thus, at a point of continuity, we can write
∞ n
1 X  nπ   nπ o
f (x) = a0 + an cos x + bn sin x . (4.7)
2 n=1
` `
This is the full range Fourier series representation of f (x).

Heuristic proof Remember, the set of functions {cos(nπx/`)} is orthogonal on the in-
terval [−`, `]. Multiplying (4.7) by cos(mπx/`) and integrating (with respect to x) over
the range −` to ` we have
Z `  mπ  Z `
1  mπ 
f (x) cos x dx = a0 cos x dx
−` ` 2 −` `
X ∞  Z `  nπ   mπ  Z `  nπ   mπ  
+ an cos x cos x dx + bn sin x cos x dx ,
n=1 −` ` ` −` ` `
where we have assumed that the orders of summation and integration can be interchanged.
Note that the m = 0 case is different from the other integrals in (4.2), which is why the
factor 1/2 is required in (4.7). Then, using (4.2) and (4.3), we deduce that
Z `  mπ 
f (x) cos x dx = `am , m = 0, 1, 2, . . . .
−` `
Similarly, multiplying (4.7) by sin(mπx/`) and integrating over the range −` to `, we have
Z `  mπ  Z `
1  mπ 
f (x) sin x dx = a0 sin x dx
−` ` 2 −` `
X ∞  Z `  nπ   mπ  Z `  nπ   mπ  
+ an cos x sin x dx + bn sin x sin x dx .
n=1 −` ` ` −` ` `
MAGIC058 & MATH64062: Partial Differential Equations 4

Using (4.2) and (4.3), we have

Z `  mπ 
f (x) sin x dx = `bm , m = 0, 1, 2, . . . .
−` `

Note that, throughout the above work, we have assumed that it is OK to interchange the
order of summation and integration. In fact, this is only valid if the sum on the right hand
side of (4.7) converges uniformly to f (x).

Example
Find the Fourier series representation of the function defined by
Z `  mπ 
f (x) sin x dx = `bm , m = 0, 1, 2, . . . .
−` `

x, 0≤x<`
f (x) = , f (x + 2`) = f (x).
0, −` ≤ x < 0
The Fourier coefficients are given by
Z `
1 `
a0 = xdx = ,
` 0 2

1
Z `  nπ  
1 `x  nπ ` 1
Z `  nπ 
an = x cos x dx = sin x − sin x dx
` 0 ` ` nπ ` 0 nπ 0 `
` `
= 2
{cos(nπ) − 1} =⇒ an = {(−1)n − 1} ,
(nπ) (nπ)2

1
Z `  nπ  1

`x  nπ ` 1
Z `  nπ 
bn = x sin x dx = − cos x + cos x dx
` 0 ` ` nπ ` 0 nπ 0 `
` `(−1)n
=− cos(nπ) =⇒ bn = − .
nπ nπ
Thus, at a point of continuity
∞   nπ  (−1)n  nπ 
` `X 1 n
f (x) = + {(−1) − 1} cos x − sin x ,
4 π n=1 πn2 ` n `

but 
n −2 for n = 1, 3, 5, . . . ,
{(−1) − 1} =
0 for n = 2, 4, 6, . . . ,
so we can rearrange the series into the form
∞ 
(−1)n
   nπ 
` `X 2 (2n − 1)π
f (x) = − cos x + sin x .
4 π n=1 π(2n − 1)2 ` n `
MAGIC058 & MATH64062: Partial Differential Equations 5

x
−5` −4` −3` −2` −` ` 2` 3` 4`
Figure 4.3 An example of a periodic function.

This is the Fourier series representation for f (x) as sketched above. Note, at a point of
discontinuity (i.e. at x = ±`, ±3`, . . .) the sum converges to `/2. (Proof left to reader.)

Points to remember
(i) The Dirichlet conditions are sufficient but not necessary for the Fourier series to
converge to f (x) at a point of continuity. There are functions, which we may come
across, which are not Dirichlet but do have Fourier series representations.
(ii) In the above example, the given function is periodic. If the given function is defined
on the interval [−`, `] only, then the Fourier series representation is equal to f (x) on
this interval and defines a periodic extension of f (x) for all x.
(iii) In the above example, the given function is defined on the full range [−`, `] and
is neither even or odd on this interval. Thus, we need the full range Fourier series
to represent this function. However, if a function is either even of odd then (4.7)
reduces to a half-range Fourier series.

4.3 Half-range Fourier series

Suppose we are given an even function, f (x), defined on [−`, `]. then f (x) cos(nπx/`) is
also even but f (x) sin(nπx/`) is odd. It follows that (4.4) and (4.5) reduce to

2 `
Z  nπ 
an = f (x) cos x dx , bn = 0. (4.8)
` 0 `
Thus, the Fourier series representation for an even function contains no sine terms.
Alternatively, if f (x) is odd, then f (x) cos(nπx/`) is odd and f (x) sin(nπx/`) is even.
Hence, (4.4) and (4.5) reduce to

2 `
Z  nπ 
an = 0 , bn = f (x) sin x dx. (4.9)
` 0 `
The Fourier series representation of an odd function contains no cosine terms.
So, if we are given a function, f (x), which is defined only on the half-range interval
[0, `], then we can use the above information to construct both an even and odd periodic
extension to f (x) for all x. This is what we did in section 3 for the plucked string.
MAGIC058 & MATH64062: Partial Differential Equations 6

Example
Obtain the half-range (a) cosine series and (b) sine series for the function

f (x) = x 0 ≤ x < `.

Sketch both half-range series.

(a) Half-range cosine series

Z `
2  nπ 
an = x cos
x dx
` 0 `

2 x`  nπ ` 2
Z `  nπ 
= sin x − sin x dx
` nπ ` 0 nπ 0 `

−2 −`  nπ ` 2`
= cos x = [cos(nπ) − 1],
nπ nπ ` 0 (nπ)2

and therefore
2`
an = ((−1)n − 1) for n = 1, 2, 3, . . . .
(nπ)2
For the case n = 0,
`  `
2 x2
Z
2
a0 = xdx = = `,
` 0 ` 2 0
and so (4.7) becomes
∞
` 2` X (−1)n − 1  nπ 
f (x) = + 2 cos x ,
2 π n=1 n2 `

which can be rearranged to obtain

∞  
` 4` X 1 (2n − 1)π
f (x) = − 2 cos x . (4.10)
2 π n=1 (2n − 1)2 `

The even extension of f (x) is sketched below.

y
f (x)

x
−5` −4` −3` −2` −` ` 2` 3` 4`
Figure 4.4 An example of an even periodic extension of a function.
MAGIC058 & MATH64062: Partial Differential Equations 7

(b) Half-range sine series

Z `
2  nπ 
bn = x sin x dx
` 0 `
2`
=− cos(nπ),
nπ
and therefore
2`
bn = − (−1)n for n = 1, 2, 3, . . . ,
nπ
which gives
∞
2` X (−1)n  nπ 
f (x) = − sin x . (4.11)
π n=1 n `
The odd extension of f (x) is sketched below
y
f (x)

x
−5` −4` −3` −2` −` ` 2` 3` 4`

Figure 4.5 An example of an odd periodic extension of a function.

Both (4.10) and (4.11) represent the function f (x) = x on the interval [0, `]. On the
extension 0 − ` < x < 0, (4.10) and (4.11) are different as shown.
Important note: the series (4.10) converges much more rapidly (as 1/n2 ) than (4.11)
(as (−1)n /n). Why is this?
Finally, we can note that in (4.10), if we put x = 0 then we get
∞
` 4` X 1
0= − 2 ,
2 π n=1 (2n − 1)2

or
∞
X 1 π2
= ,
n=1
(2n − 1)2 8

so this is a way of determining infinite sums.

In (4.11), let x = `/2, which gives
∞
2` X (−1)n
 
` nπ `
=− sin
2 π n=1 n ` 2
MAGIC058 & MATH64062: Partial Differential Equations 8

so
∞
1 1 1 X (−1)n+1 π
1 − + − + ... = = .
3 5 7 n=1
2n − 1 4

There are many infinite series which may be determined by this means.

4.4 Parseval’s identity

Suppose the Fourier series corresponding to f (x) converges uniformly to f (x) on the
interval [−`, `]. Then,
` ∞
a20 X 2
Z
1
{f (x)}2 dx = + (an + b2n ) . (4.12)
` −` 2 n=1

This is Parseval’s identity.

Proof
On the interval [−`, `], we have
∞
a0 X   nπ   nπ 
f (x) = + an cos x + bn sin x .
2 n=1
` `

Multiply by f (x) and integrate over the range −` to ` to obtain

Z ` Z ` ∞  Z ` Z `  nπ  
2 a0 X  nπ 
{f (x)} dx = f (x)dx + an f (x) cos x dx + bn f (x) sin x dx
−` 2 −` n=1 −` ` ` `
Z ∞
`
= a20 + ` (a2n + b2n ) ,
2 n=1

since the integrals inside the sum equate to `an and `bn . 
Parseval’s identity is simpler if f (x) is even:
` ∞
a20 X 2
Z
2
{f (x)}2 dx = + an , (4.13)
` 0 2 n=1

or if f (x) is odd:
Z ` ∞
2 2
X
{f (x)} dx = b2n . (4.14)
` 0 n=1

Example
Take the Fourier series example we used previously, i.e.

f (x) = x , 0 < x < `.

MAGIC058 & MATH64062: Partial Differential Equations 9

(i) Taking the Fourier cosine series, we have

2`
an = 2
((−1)n − 1) , a0 = `
(nπ)
then (4.13) gives
` ∞
`2 X 4`2
Z
2 2
x dx = + 4
((−1)n − 1)2 ,
` 0 2 n=1
(nπ)
which, since ((−1) − 1) = (−1)2n − 2(−1)n + 1 = 2(1 − (−1)n ), gives, on dividing by l2 ,
n 2

∞
2 1 16 X 1
= + 4
3 2 π n=1 (2n − 1)4
or
∞
X 1 π4
= .
n=1
(2n − 1)4 96

A final note on the theory of Fourier series is that the Fourier series representation (4.7)
can be differentiated to obtain a Fourier series representation for a new function f 0 (x) as
long as the sum converges for all x (see example sheet).

4.5 Boundary value problems

We now return to look at some boundary value problems. First, consider the two-
dimensional diffusion equation
 2
∂ u ∂ 2u

∂u
=ν + , (4.15)
∂t ∂x2 ∂y 2
which governs the temperature distribution (u(x, y, t)) in a two-dimensional slab (or rect-
angular plate). There are two standard simplifications one can make.
(i) Suppose the lateral surfaces of the slab are insulated, and the vertical width is small:
y ∂u
=0 i.e. insulated
∂y

∂u
∂y
=0
Figure 4.6 A slab that is insulated on the top and bottom surfaces.

Then, no heat flows in the y-direction, and throughout the bar ∂/∂y = 0. Thus, (4.15)
becomes
∂u ∂ 2u
=ν 2, (4.16)
∂t ∂x
MAGIC058 & MATH64062: Partial Differential Equations 10

i.e. the one-dimensional diffusion equation.

(ii) Suppose we are given a heat conduction problem, e.g. a slab insulated on three sides
and heated on the fourth, and we leave it to settle down to a steady state. Therefore,
eventually u = u(x, y) only so ∂/∂t = 0. Then the diffusion equation reduces to Laplace’s
equation
∂ 2u ∂ 2u
∇2 u = + =0 (4.17)
∂x2 ∂y 2
We shall solve some boundary value problems involving both (4.16) and (4.17). We usually
solve by separation of variables, as we did with the plucked string. We note that the
possible boundary conditions on the horizonatal faces are
(i) u = f (x) = given temperature profile on face,
∂u
(ii) ∂y
= 0 = insulated face.

Similarly, on the vertical faces, either the temperature is specified (as function of y), or it
is insulated (∂u/∂x = 0).

Example
A bar of length ` has initial temperature distribution u(x, 0) = f (x). The faces at x = 0
and x = ` are maintained at zero temperature. Find the temperature distribution in the
bar for t > 0. The boundary value problem is written as
∂u ∂ 2u
= ν 2,
∂t ∂x
with

u(0, t) = u(`, t) = 0 ,
u(x, 0) = f (x) .

We try a separable solution

u = X(x)T (t) ,
which turns the PDE into the form
T0 X 00
= −λ2 = ν ,
T X
where −λ2 is an arbitrary constant. Hence,
λ2
X 00 + X = 0, T 0 + λ2 T = 0,
ν
which gives
2
T = Ae−λ t ,
   
λ λ
X = C cos √ x + D sin √ x .
ν ν
MAGIC058 & MATH64062: Partial Differential Equations 11

The boundary condition u(0, t) = 0 gives

X(0) = C = 0 ,

and the boundary condition u(`, t) = 0 gives

 
λ
X(`) = D sin √ ` =0
ν

which implies that

√
λ nπ ν
√ ` = nπ =⇒ λ = , n = 1, 2, 3, . . . .
ν `

Thus, an eigensolution has the form

 nπ 
−n2 π 2 νt/`2
un (x, t) = An e sin x ,
`
and the full solution is
∞ ∞  nπ 
2 π 2 νt/`2
X X
u= un (x, t) = An e−n sin x .
n=1 n=1
`

To determine the An , we need the initial conditions. Hence

∞
X  nπ 
u(x, 0) = An sin x = f (x),
n=1
`

and so, from Fourier series theory

Z `
2  nπ 
An = f (x) sin x dx.
` 0 `

Suppose f (x) = u0 − constant, then

`
−2u0
Z
2  nπ 
An = u0 sin x dx = ((−1n ) − 1)
` 0 ` nπ
and so the solution of the boundary value problem is
∞  
4u0 X −{(2n−1)2 π2 νt/`2 } 1 (2n − 1)π
u(x, t) = e sin x .
π n=1 2n − 1 `

Note that the solution decays to zero as t → ∞.

MAGIC058 & MATH64062: Partial Differential Equations 12

Example
A rectangular plate, length a and breadth b, has insulated faces. Three edges are held at
zero temperature whilst the fourth (on u = 0) has temperature u(x, 0) = f (x). Determine
the steady state temperature distribution in the plate.
u=0
y

b u=0

u=0 ∇2 u = 0
x
a
u = f (x)
Figure 4.7 A slab that in insulated on all faces with an initial temperature
distribution on the bottom face.

The boundary value problem is written as

∂ 2u ∂ 2u
+ =0
∂x2 ∂y 2
along with

(i) u(0, y) = 0 ,
(ii) u(a, y) = 0 ,
(iii) u(x, b) = 0 ,
(iv) u(x, 0) = f (x) .

We look for a separable solution of the form

u(x, y) = X(x)Y (y) .

Substituting this into the PDE we obtain

X 00 Y 00
= −λ2 = − .
X Y
Note that we choose the parameter to be −λ2 (as before) for reasons that will be clear
soon. In this case X(x) is periodic but Y (y) is not. We have the following two ODEs,

X 00 + λ2 X = 0 =⇒ X(x) = A cos(λx) + B sin(λx) ,

Y 00 − λ2 Y = 0 =⇒ Y (y) = C cosh(λy) + D sinh(λy).
MAGIC058 & MATH64062: Partial Differential Equations 13

We now apply boundary condition (i) to get

u(0, y) = 0 =⇒ X(0) = 0 =⇒ A = 0 ,

and boundary condition (ii) gives

u(a, y) = 0 =⇒ X(a) = 0 =⇒ B sin(λa) = 0 ,

so that, for a non-trivial solution,

nπ
. λ=
a
Hence, we see why the sign of the constant (−λ2 ) was chosen to give oscillatory behaviour
in x; otherwise the second condition could not be satisfied. This gives
 nπ 
X(x) = B sin x .
a
Using boundary condition (iii) gives
 nπ   nπ 
u(x, b) = 0 =⇒ Y (b) = 0 =⇒ C cosh y + D sinh y = 0,
a a
giving
nπ


cosh b
a

D = −C nπ
.
sinh a
b
Hence, ( )
nπ
 nπ  cosh

b
a

 nπ 
Y (y) = C cosh y − nπ
sinh y ,
a sinh a
b a
or
C  nπ 
Y (y) = nπ

sinh (b − y) .
sinh a
b a
Therefore, the eigensolutions are of the form
nπ


sin a
x  nπ 
un (x, y) = An nπ

sinh (b − y) ,
sinh a
b a

and the general solution is

∞ nπ


X sin a
x  nπ 
u(x, y) = An nπ

sinh (b − y) .
n=1
sinh a
b a

We finally use the last boundary condition to determine the coefficients An . Thus, condi-
tion (iv) gives
X∞  nπ 
u(x, 0) = An sin x = f (x)
n=1
a
MAGIC058 & MATH64062: Partial Differential Equations 14

which, we know from previously, gives

2 a
Z  nπ 
An = f (x) sin x dx.
a 0 a

Take a specific case, say f (x) = u0 − constant. Then,

2 a
Z  nπ  2u0
An = u0 sin x dx = (1 − (−1)n ) .
a 0 a nπ
So, the solution of the boundary value problem is
∞ nπ


2u0 X 1 sin x  nπ 
u(x, y) = (1 − (−1)n ) a
nπ

sinh (b − y) ,
π n=1 n sinh a
b a

which can be rewritten as

 
∞ (2n−1)π
4u0 X sin a
x 
(2n − 1)π

u(x, y) =   sinh (b − y) .
π n=1 (2n − 1) sinh (2n−1)π b a
a

I. D. Abrahams