7/6/2019 Gaussian integral - Wikipedia

Gaussian integral
2
The Gaussian integral, also known as the Euler–Poisson integral, is the integral of the Gaussian function e−x over the entire real line.
It is named after the German mathematician Carl Friedrich Gauss. The integral is:

Abraham de Moivre originally discovered this type of integral in 1733, while Gauss published the precise integral in 1809.[1] The integral has a
wide range of applications. For example, with a slight change of variables it is used to compute the normalizing constant of the normal
distribution. The same integral with finite limits is closely related to both the error function and the cumulative distribution function of the
normal distribution. In physics this type of integral appears frequently, for example, in quantum mechanics, to find the probability density of 2
A graph of f(x) = e−x and the area
the ground state of the harmonic oscillator. This integral is also used in the path integral formulation, to find the propagator of the harmonic between the function and the x-axis,
oscillator, and in statistical mechanics, to find its partition function. which is equal to √π .

Although no elementary function exists for the error function, as can be proven by the Risch algorithm,[2] the Gaussian integral can be solved
analytically through the methods of multivariable calculus. That is, there is no elementary indefinite integral for

but the definite integral

can be evaluated. The definite integral of an arbitrary Gaussian function is

The Gaussian integral is encountered very often in physics and numerous generalizations of the integral are encountered in quantum field theory.

Contents
Computation
By polar coordinates
Complete proof
By Cartesian coordinates
Relation to the gamma function
Generalizations
The integral of a Gaussian function
n-dimensional and functional generalization
n-dimensional with linear term
Integrals of similar form
Higher-order polynomials
See also
References
Citations
Sources

Computation

By polar coordinates
A standard way to compute the Gaussian integral, the idea of which goes back to Poisson,[3] is to make use of the property that:

2 + y2) 2
Consider the function e−(x = e−r on the plane R2, and compute its integral two ways:

1. on the one hand, by double integration in the Cartesian coordinate system, its integral is a square:

2. on the other hand, by shell integration (a case of double integration in polar coordinates), its integral is computed to be π.

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 1/6
7/6/2019 Gaussian integral - Wikipedia
Comparing these two computations yields the integral, though one should take care about the improper integrals involved.

where the factor of r is the Jacobian determinant which appears because of the transform to polar coordinates (r dr dθ is the standard measure on the plane, expressed in polar
coordinates Wikibooks:Calculus/Polar Integration#Generalization), and the substitution involves taking s = −r2, so ds = −2r dr.

Combining these yields

so

Complete proof
To justify the improper double integrals and equating the two expressions, we begin with an approximating function:

If the integral

were absolutely convergent we would have that its Cauchy principal value, that is, the limit

would coincide with

To see that this is the case, consider that

so we can compute

by just taking the limit

Taking the square of yields

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 2/6
7/6/2019 Gaussian integral - Wikipedia
Using Fubini's theorem, the above double integral can be seen as an area integral

taken over a square with vertices {(−a, a), (a, a), (a, −a), (−a, −a)} on the xy-plane.

Since the exponential function is greater than 0 for all real numbers, it then follows that the integral taken over the square's incircle must be less than , and similarly the integral
taken over the square's circumcircle must be greater than . The integrals over the two disks can easily be computed by switching from cartesian coordinates to polar coordinates:

(See to polar coordinates from Cartesian coordinates for help with polar transformation.)

Integrating,

By the squeeze theorem, this gives the Gaussian integral

By Cartesian coordinates
A different technique, which goes back to Laplace (1812),[3] is the following. Let

2
Since the limits on s as y → ±∞ depend on the sign of x, it simplifies the calculation to use the fact that e−x is an even function, and, therefore, the integral over all real numbers is just
twice the integral from zero to infinity. That is,

Thus, over the range of integration, x ≥ 0, and the variables y and s have the same limits. This yields:

Therefore, , as expected.

Relation to the gamma function

The integrand is an even function,

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 3/6
7/6/2019 Gaussian integral - Wikipedia

Thus, after the change of variable , this turns into the Euler integral

where Γ is the gamma function. This shows why the factorial of a half-integer is a rational multiple of . More generally,

Generalizations

The integral of a Gaussian function

The integral of an arbitrary Gaussian function is

An alternative form is

This form is useful for calculating expectations of some continuous probability distributions related to the normal distribution, such as the log-normal distribution, for example.

n-dimensional and functional generalization

Suppose A is a symmetric positive-definite (hence invertible) n × n precision matrix, which is the matrix inverse of the covariance matrix. Then,

where the integral is understood to be over Rn. This fact is applied in the study of the multivariate normal distribution.

Also,

where σ is a permutation of {1, ..., 2N} and the extra factor on the right-hand side is the sum over all combinatorial pairings of {1, ..., 2N} of N copies of A−1.

Alternatively, [4]

for some analytic function f, provided it satisfies some appropriate bounds on its growth and some other technical criteria. (It works for some functions and fails for others. Polynomials
are fine.) The exponential over a differential operator is understood as a power series.

While functional integrals have no rigorous definition (or even a nonrigorous computational one in most cases), we can define a Gaussian functional integral in analogy to the finite-
dimensional case. There is still the problem, though, that is infinite and also, the functional determinant would also be infinite in general. This can be taken care of if we only
consider ratios:

In the DeWitt notation, the equation looks identical to the finite-dimensional case.

n-dimensional with linear term

If A is again a symmetric positive-definite matrix, then (assuming all are column vectors)

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 4/6
7/6/2019 Gaussian integral - Wikipedia

Integrals of similar form

where n is a positive integer and !! denotes the double factorial.

An easy way to derive these is by parameter differentiation.

One could also integrate by parts and find a recurrence relation to solve this.

Higher-order polynomials
Applying a linear change of basis shows that the integral of the exponential of a homogeneous polynomial in n variables may depend only on SL(n)-invariants of the polynomial. One
such invariant is the discriminant, zeros of which mark the singularities of the integral. However, the integral may also depend on other invariants.[5]

Exponentials of other even polynomials can numerically be solved using series. These may be interpreted as formal calculations when there is no convergence. For example, the solution
to the integral of the exponential of a quartic polynomial is

The n + p = 0 mod 2 requirement is because the integral from −∞ to 0 contributes a factor of (−1)n+p/2 to each term, while the integral from 0 to +∞ contributes a factor of 1/2 to each
term. These integrals turn up in subjects such as quantum field theory.

See also
List of integrals of Gaussian functions
Common integrals in quantum field theory
Normal distribution
List of integrals of exponential functions
Error function
Grassmann integral

References

Citations
1. Stahl, Saul (April 2006). "The History of the Normal Distribution" (https://www.maa.org/sites/default/files/pdf/upload_library/22/Allendoerfer/stahl96.pdf) (PDF). MAA.org. Retrieved
May 25, 2018.
2. Cherry, G. W. (1985). "Integration in Finite Terms with Special Functions: the Error Function". Journal of Symbolic Computation. 1 (3): 283–302. doi:10.1016/S0747-7171(85)80037-
7 (https://doi.org/10.1016%2FS0747-7171%2885%2980037-7).
3. "The Probability Integral" (https://www.york.ac.uk/depts/maths/histstat/normal_history.pdf) (PDF).
4. "Reference for Multidimensional Gaussian Integral" (https://math.stackexchange.com/q/126227). Stack Exchange. March 30, 2012.
5. Morozov, A.; Shakirove, Sh. (2009). "Introduction to integral discriminants". Journal of High Energy Physics. 12: 002. arXiv:0903.2595 (https://arxiv.org/abs/0903.2595).
doi:10.1088/1126-6708/2009/12/002 (https://doi.org/10.1088%2F1126-6708%2F2009%2F12%2F002).

Sources

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 5/6
7/6/2019 Gaussian integral - Wikipedia
Weisstein, Eric W. "Gaussian Integral" (http://mathworld.wolfram.com/GaussianIntegral.html). MathWorld.
Griffiths, David. Introduction to Quantum Mechanics (2nd ed.).
Abramowitz, M.; Stegun, I. A. Handbook of Mathematical Functions. New York: Dover Publications.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Gaussian_integral&oldid=903304484"

This page was last edited on 24 June 2019, at 22:12.

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may apply. By using this site, you agree to the Terms of Use and Privacy Policy.
Wikipedia® is a registered trademark of the Wikimedia Foundation, Inc., a non-profit organization.

https://en.wikipedia.org/wiki/Gaussian_integral#cite_note-york.ac.uk-3 6/6