MATH2111 Higher Several Variable Calculus

Integration

Dr. Jonathan Kress

School of Mathematics and Statistics

University of New South Wales

Semester 1, 2014

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 1 / 58

Riemann Integral (one variable)

A set of points P = {x0 , x1 , x2 , . . . , xn }, where a = x0 < x1 < x2 < · · · < xn = b,
is called a partition of [a, b]. For a function f : [a, b] → R, the upper and lower
Riemann sums of f with respect to P are
n
X n
X
S P (f ) = f k ∆xk and S P (f ) = f k ∆xk
k=1 k=1

where f k and f k are the infimum and supremum of f on [xk−1 , xk ] and

∆xk = xk − xk−1 .

For a bounded function f : [a, b] → R, if there exists a unique number I such that

S P (f ) ≤ I ≤ S P (f )

for every partition P of [a, b], then f is Riemann integrable on [a, b] and
Z Z b
I = f = f (x)dx.
[a,b] a

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 2 / 58

Integration
First consider f : R → R, where R = [a, b] × [c, d ] is a rectangle in R2 .

Let

P1 = {a = x0 , x1 , x2 , . . . , xn = b}
y4
be a partition of [a, b] and y3
y2 R R42
P2 = {c = y0 , y1 , y2 , . . . , ym = d } y1
a partition of [c, d ].
y0
Then R is the union of the mn
subrectangles x0 x1 x2x3 x4 x5

Rjk = [xj−1 , xj ] × [yk−1 , yk ].

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 3 / 58

Integration
The upper and lower Riemann sums of f with respect to these partitions are

X
S P1 ,P2 (f ) = f jk ∆xj ∆yk y4
j,k

and
y3
y2 R R42
X y1
S P1 ,P2 (f ) = f jk ∆xj ∆yk .
j,k
y0
The sums are over all pairs (j, k) with
x0 x1 x2x3 x4 x5
1≤j ≤n and 1 ≤ k ≤ m.

The numbers f jk and f jk are the infimum and supremum of f on Rjk and ∆xj and
∆yk its width and height.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 4 / 58

Integration

Definition (Riemann integral)

For a bounded function f : R → R, if there exists a unique number I such that

S P1 ,P2 (f ) ≤ I ≤ S P1 ,P2 (f )

for every pair of partitions P1 , P2 of R, then f is Riemann integrable on R and

ZZ ZZ
I = f = f (x, y ) dA.
R R

I is called the Riemann integral of f over R.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 5 / 58

Riemann Integral
For a function of one variable, the Riemann integral is interpreted as the (signed)
area bounded by the graphRRy = f (x) and the x-axis over the interval [a, b]. For a
function of two variables, R f is the (signed) volume bounded by the graph
z = f (x, y ) and the xy -plane over the rectangle R.

Properties:

If f and g are integrable on R,

ZZ ZZ ZZ
(1) Linearity: αf + βg = α f +β g, α, β ∈ R.
R R R ZZ ZZ
(2) Positivity (monotonicity): If f (x) ≤ g (x) for all x ∈ R then f ≤ g.
Z Z  Z Z R R
 
(3)  f  ≤ |f |.
R R
(4) If R = R1 ∪ R2 and (interior R1 )∩(interior R2 ) = ∅ then
ZZ ZZ ZZ
f = f + f.
R R1 R2

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 6 / 58

Lower sum

z = f (x, y )

y
R
x

A lower sum of f over R.

X
S P1 ,P2 (f ) = f jk ∆xj ∆yk .
j,k

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 7 / 58

Upper sum

z = f (x, y )

y
R
x

An upper sum of f over R.

X
S P1 ,P2 (f ) = f jk ∆xj ∆yk .
j,k

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 8 / 58

Fubini’s theorem on rectangles

Theorem (Fubini’s Theorem (version 1))

Let f : R → R be continuous on a rectangular domain R = [a, b] × [c, d ]. Then
Z b Z d Z d Z b ZZ
f (x, y )dydx = f (x, y )dxdy = f.
a c c a R

Note that Z b Z d
f (x, y )dydx
a c
means !
Z b Z d
f (x, y )dy dx.
a c

The integral inside the brackets is, for each x, a one variable integral.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 9 / 58

Fubini’s theorem on rectangles

Example: Calculate the integral of f : R2 → R, where f (x, y ) = xy 3 , over the
rectanglur region R = [0, 3] × [1, 2].

Fubini’s theorem for rectangular regions says gives two ways of calculating this
integral.

Let’s integrate first with respect to y .

Z Z 3 Z 2 Z 3  2
3 1 4 y
f = xy dy dx = xy dx
R 0 1 0 4 1
Z 3
2
15
= x dx
0 4 1
 3
15 1 2
= x
4 2 0 x
3
135
= .
8

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 10 / 58

Fubini’s theorem on rectangles
We can also integrate first with respect to x.

Z Z 2 Z 3 Z 2  3
3 1 2 3 y
f = xy dx dy = x y dy
R 1 0 1 2 0
Z 2 2
9 3
= y dy
1 2 1
 2
9 1 4
= y
2 4 1 x
3
135
= .
8

In this case we also have

Z Z 2Z 3 Z 2 Z 3 Z 2  Z 3 
3
f = xy dxdy = y3 xdx dy = y 3 dy x dx .
R 1 0 1 0 1 0

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 11 / 58

Fubini’s theorem on rectangles

Fubini’s theorem is essentially the same as the method of slicing for calculating
volumes from first year. However, proving the iterated integrals give the same
number for the volume as the definition involves some subtlety.
The lower Riemann sum can be written as a double sum.
 
X m
X X n
S P1 ,P2 (f ) = f j,k ∆xj ∆yk =  f j,k ∆xj  ∆yk
j,k k=1 j=1

and it is tempting to consider the sum in the brackets as a one variable Riemann
lower sum of f (x, y ) for a fixed value of y . However, f j,k is not necessarily an
infimum for f (x, y ) as a function of x for any particular fixed value of y .
One
Pn way around this problem is to use the continuity of f to show that
j=1 f j,k ∆xj can be made to be within ε of the one variable lower sum of
f (x, yk ) by requiring the spacing in the partition P2 to be sufficiently small.
A more eligant approach can be found on pages 65–70 of the Internet Supplement
to Marsden and Tromba 5th Edition.
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 12 / 58
Riemann integral over more general regions

Theorem (Integrability of bounded functions)

Let f : R → R be a bounded function on the rectangle R and suppose that the set
of points where f is discontinuous lies on a finite union of graphs of continuous
functions. Then f is integrable over R.

The proof of this theorem is exercises 4, 5 and 6 from the Internet Supplement to
Marsden and Tromba. The essence of the proof is that the contribution to the
upper and lower Riemann sums from subrectangles containing the the lines of
discontinuity can be made arbitrarily small by taking the width of subintervals in
the partitions to be small enough.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 13 / 58

Riemann integral over more general regions

Theorem (Fubini’s Theorem (version 2))
Let f : R → R be bounded on a rectangular domain R = [a, b] × [c, d ] with the
discontinuities of f confined to a finite union of graphs of continuous functions. If
Z d
the integral f (x, y )dy exists for each x ∈ [a, b], then
c
!
ZZ Z Z b d
f = f (x, y )dy dx.
R a c

Z b
Similarly, if the integral f (x, y )dx exists for each y ∈ [c, d ], then
a
!
ZZ Z d Z b
f = f (x, y )dx dy .
R c a

Rd
Since f is not continuous there is no guarantee that c
f (x, y )dy exists for each x
Rb
or that a f (x, y )dx exists for each y .
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 14 / 58
Riemann integral over more general regions
An elementary region is a region of the type illustrated below.

A y -simple region. An x-simple region.

y y
d
x = ψ2 (y )
y = φ2 (x)
x = ψ1 (y )
D1 D2
y = φ1 (x) c
a b x x

D1 = {(x, y ) : x ∈ [a, b] and φ1 (x) ≤ y ≤ φ2 (x)}

where φ1 and φ2 are continuous functions from [a, b] to R.

D2 = {(x, y ) : y ∈ [c, d ] and ψ1 (y ) ≤ x ≤ ψ2 (y )}

where ψ1 and ψ2 are continuous functions from [c, d ] to R.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 15 / 58

Riemann integral over more general regions

Suppose D is an elementary region, R a rectangle containing D and f a function

from D to R. First extend f to a function defined on all of R by
(
f (x, y ) if (x, y ) ∈ D
f ∗ (x, y ) =
0 if (x, y ) 6∈ D and (x, y ) ∈ R.

Then f is integrable on D if f ∗ is integrable on R and

ZZ ZZ
f = f ∗.
D R

If f is continuous except perhaps on a set of points made from the graphs of

continuous functions, then f ∗ also has this property and so the second version of
Fubini’s theorem gives us a way to calculate the integral of f over D as an
iterated integral.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 16 / 58

Iterated integrals for elementary regions
Suppose D1 is a y -simple region contained in R = [a, b] × [c, d ] and bounded by
x = a, x = b, y = φ1 (x) and y = φ2 (x), and f : D1 → R is such that f ∗ satisfies
the conditions of Fubini’s Theorem (version 2). Then
ZZ ZZ Z bZ d
∗
f = f = f ∗ (x, y )dydx,
D1 R a c

but since f ∗ (x, y ) = 0 for y < φ1 (x) or y > φ2 (x),

Z d Z φ2 (x) Z φ2 (x)
f ∗ (x, y )dy = f ∗ (x, y )dy = f (x, y )dy .
c φ1 (x) φ1 (x)

and hence ZZ Z b Z φ2 (x)

f = f (x, y )dydx.
D1 a φ1 (x)

A similar result hold for integrals of x-simple regions like D2 .

ZZ Z d Z ψ2 (y )
f = f (x, y )dxdy .
D2 c ψ1 (y )

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 17 / 58

Notes

The properties of the integral over rectangular regions also apply to more general
regions.

The area of a region D of R2 is given by

RR
D
1. (That is, the integral of the
function f (x, y ) = 1 over D.)

Everything that we have done for integrals in R2 extends to Rn .

The volume of a region D of R3 is given by

RR
D
1. (That is, the integral of the
function f (x, y , z) = 1 over D.)

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 18 / 58

Fubini’s theorem

(a) Find the integral of f (x, y ) = x 2 y over the triangular region Ω with vertices
(0, 0), (0, 1) and (1, 0).
(b) For each of the following two integrals, find the region over which the
integral is calculated and reverse the order of integration.
(i)
Z 1 Z 2−2x
I1 = f (x, y )dydx.
0 0
(ii)
Z 1 Z √1−x 2
I2 = f (x, y )dydx.
−1 x−1

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 19 / 58

Fubini’s theorem

(a) Find the integral of f (x, y ) = x 2 y over the triangular region Ω with vertices
(0, 0), (0, 1) and (1, 0).
(b) For each of the following two integrals, find the region over which the
integral is calculated and reverse the order of integration.
(i)
Z 1 Z 2−2x
I1 = f (x, y )dydx.
0 0
(ii)
Z 1 Z √1−x 2
I2 = f (x, y )dydx.
−1 x−1

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 20 / 58

Fubini’s theorem examples
Example (a): Find the integral of f (x, y ) = x 2 y over the triangular region Ω with
vertices (0, 0), (0, 1) and (1, 0).

Fubini’s theorem gives two ways of calculating this integral.

Let’s integrate with respect to y first.

Z Z 1 Z 1−x Z 1  1−x
2 1 2 2
f = x y dy dx = x y dx y
Ω 0 0 0 2 0
Z 1 1
1 2
= x (1 − x)2 dx
0 2 y =1−x
1
Ω
Z
1
= x 2 − 2x 3 + x 4 dx
2 0
 1
1 3 1 4 1 5
= x − x + x
3 2 5 0 y =0 1 x
1
= .
60

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 21 / 58

Fubini’s theorem examples

Now check this by integrating with respect

to x first.
Z Z 1 Z 1−y
f = x 2 y dx dy y
Ω 0 0
Z 1  1−y 1
1 3
= x y dy
0 3 0
Z 1
1 Ω
= (1 − y )3 y dy
0 3 x =1−y
1
Z 1 x =0
2 3 4
= y − 3y + 3y − y dy
3 0 1 x
 1
1 1 2 3 1
= y − y3 + y4 − y5
3 2 4 5 0
1
= .
60

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 22 / 58

Fubini’s theorem examples
Example (b) (i): Find the region over which the integral
Z 1 Z 2−2x
I1 = f (x, y ) dydx
0 0

is calculated and reverse the order of integration.

The integration is first with respect to y . y

Z 1 Z 2−2x 2
I1 = f (x, y ) dy dx
0 0

For each value of x, the lower limit of integration is Ω1

y = 0 and the upper limit of integration is y = 2 − 2x. y = 2 − 2x
The resulting function is integrated for x from 0 to 1.

The region of integration Ω1 is the triangle with vertices

(0, 0), (0, 2) and (1, 0).
y =0 1 x

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 23 / 58

Fubini’s theorem examples

To reverse the order of integration, take slices of y

constant y and integrate first with respect to x.
2
For each value of y , the lower limit of integration y = 2 − 2x
is x = 0 and the upper limit of integration is ⇓
x = 1 − 12 y . The resulting function is integrated Ω1 x = 1 − 21 y
with respect to y from 0 to 2.
x =0
Z 2 Z 1− 12 y
I1 = f (x, y ) dx dy .
0 0 1 x

So,
Z 1 Z 2−2x Z 2 Z 1− 12 y
I1 = f (x, y ) dydx = f (x, y ) dxdy .
0 0 0 0

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 24 / 58

Fubini’s theorem examples
Example (b) (ii): Find the region over which the integral
Z 1 Z √1−x 2
I2 = f (x, y ) dydx
−1 x−1

is calculated and reverse the order of integration.

y √
The integration is first with respect to y . y= 1 − x2
√ 1
Z 1 Z 1−x 2
I2 = f (x, y ) dy dx Ω2
−1 x−1

For each value of x, the lower limit of −1 1 x

integration is y = x√− 1 and the upper limit of
integration is y = 1 − x 2 . The resulting y =x −1
function is integrated for x from −1 to 1. −1

The region of integration Ω2 is the triangle with

vertices (−1, 0), (0, 1) and (−1, −2) with a −2
semi-circular cap on top.
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 25 / 58

Fubini’s theorem examples

y
To reverse the order of integration and integrate p
with respect to x first, it is convenient to split x =− 1 − y2 p
the region into two pieces. x= 1 − y2
1
Z Z √ 2 1 1−y
I2A = √ f (x, y ) dx dy .
0 − 1−y 2 Ω2 Ω2A
Z 0 Z y +1 −1 Ω2B 1 x
I2B = f (x, y ) dx dy .
−2 −1 x = −1 x =y +1
−1

So, √
Z 1 Z 1−x 2
I2 = f (x, y ) dydx −2
−1 x−1

Z 1 Z √1−y 2 Z 0 Z y +1
= √ f (x, y ) dxdy + f (x, y ) dxdy .
0 − 1−y 2 −2 −1
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 26 / 58
Uniform continuity

Definition
A function f : Ω ⊂ Rn → Rm is uniformly continuous on Ω if for all x, y ∈ Ω and
for all positive  ∈ R there exists δ such that
 
d (x, y) < δ ⇒ d f(x), f(y) < .

In the definition of continuity, δ may depend on x, but here, given , the same δ
must work for all x.

Theorem
A continuous function on a compact set Ω is uniformly continuous on Ω.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 27 / 58

Leibniz’ rule

Theorem (Leibniz’ rule for differentiation under the integral sign)

∂f
Consider a function f : Ω ⊂ R2 → R that is continuous on Ω and is uniformly
∂x
continuous on Ω. If Z b
F (x) = f (x, y )dy
a

then
Z b
d
F 0 (x) = f (x, y )dy
dx a
Z b
∂f
= (x, y )dy .
a ∂x

A similar rule applies for improper integrals.

[Given any of Leibniz’ rule, Fubini’s theorem or Clairot’s theorem, the others can
be proved. See Q9 on tutorial sheet 4.]
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 28 / 58
Proof of Leibniz’ rule
Given Z b
F (x) = f (x, y )dy ,
a
we want to show that
b
F (x + h) − F (x)
Z
0 ∂f
F (x) = lim = (x, y )dy .
h→0 h a ∂x
So consider
 
 F (x + h) − F (x) Z b ∂f 
− (x, y )dy 
 
h a ∂x

 
R b
 f (x + h, y )dy − R b f (x, y )dy Z b ∂f


 a a
= − (x, y )dy 

 h a ∂x 
Z 
 b f (x + h, y ) − f (x, y ) ∂f 
= − (x, y ) dy 
 
 a h ∂x 
Z 
 b ∂f ∂f [for some c between x and x + h

= (c, y ) − (x, y ) dy 
 
 a ∂x ∂x  by the Mean Value Theorem]
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 29 / 58

Proof of Leibniz’ rule

  Z 
 F (x + h) − F (x) Z b ∂f   b ∂f ∂f 
− (x, y )dy  =  (c, y ) − (x, y ) dy 
   
h a ∂x   a ∂x ∂x

 
Z b 
 ∂f ∂f 
≤  (c, y ) −
 ∂x (x, y ) dy
a ∂x
Z  Z  
 
g  ≤ g 
  

Ω Ω

∂f
Since is uniformly continuous, for any 0 > 0 there is a δ (independent of c, x
∂x
and y ) such that
 
 ∂f ∂f
(x, y ) < 0

(c, y ) − (x, y ) < δ ⇒  (c, y ) −

∂x ∂x
Z b  
 ∂f ∂f  dy < 0 (b − a)

⇒  (c, y ) −
 ∂x (x, y )
a ∂x 

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 30 / 58

Proof of Leibniz’ rule
 
0
So for any  > 0 choose  = we can choose δ so that
b−a
 
|h| < δ ⇒ |c − x| < δ ⇒ (c, y ) − (x, y ) < δ
 
Z b 
 ∂f ∂f 
⇒  (c, y ) −
 ∂x (x, y )  dy < 
a ∂x 
 
 F (x + h) − F (x) Z b ∂f 
⇒  − (x, y )dy  < .
 
 h a ∂x 

So,  
 F (x + h) − F (x) Z b ∂f 
lim  − (x, y )dy  = 0,
 
h→0  h a ∂x 

that is,
b
F (x + h) − F (x)
Z
∂f
F 0 (x) = lim = (x, y )dy .
h→0 h a ∂x

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 31 / 58

Leibniz’ rule examples

Use the fact that for a, b > 0,

Z 1
dx 2 √ √ 
√ = a+b− b
0 ax + b a

to find
Z 1
xdx
(a)
0 (ax + b)3/2
Z 1
dx
(b)
0 (ax + b)3/2

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 32 / 58

Leibniz’ rule examples
(a) Ω = [c, d ] × [0, 1] for 0 < c < d is compact and f : Ω → R with

1 ∂f x
f (a, x) = √ and (a, x) = − for b > 0
ax + b ∂a 2(ax + b)3/2

are bounded and continuous and hence are both uniformly continuous on Ω.

∂
Z 1
1

∂ 2 √
 √ 
√ dx = a+b− b
∂a 0 ax + b ∂a a
Z 1
∂

1

2 √ √  1
⇒ √ dx = − 2 a+b− b + √
0 ∂a ax + b a a a+b
Z 1
1

x

2 √
 √  1
⇒ − dx = − a + b − b + √
0 2 (ax + b)3/2 a2 a a+b
Z 1
x 4 √ √  2
⇒ dx = a + b − b − √ .
0 (ax + b)
3/2 a2 a a+b

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 33 / 58

Leibniz’ rule examples

(b) Ω = [c, d ] × [0, 1] for 0 < c < d is compact and f : Ω → R with

1 ∂f 1
f (b, x) = √ and (b, x) = − for a > 0
ax + b ∂b 2(ax + b)3/2

are bounded and continuous and hence are both uniformly continuous on Ω.

∂
Z 1
1

∂ 2 √
 √ 
√ dx = a+b− b
∂b 0 ax + b ∂b a
Z 1    
∂ 1 1 1 1
⇒ √ dx = √ −√
0 ∂b ax + b a a+b b
Z 1    
1 1 1 1 1
⇒ − 3/2
dx = √ −√
0 2 (ax + b) a a + b b
Z 1  
1 2 1 1
⇒ 3/2
dx = − √ −√ .
0 (ax + b) a a+b b

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 34 / 58

Leibniz’ rule examples
Given that for a > 0,
Z ∞
k
e −ax sin(kx) dx =
0 a2 + k2
Z ∞ Z ∞
−ax
find (a) xe sin(kx) dx (b) xe −ax cos(kx) dx.
0 0

(a) Assuming suitable continuity and uniform continuity of the integrand and its
partial derivative with respect to a,
Z ∞   
∂ −ax ∂ k
e sin(kx) dx =
∂a 0 ∂a a2 + k 2
Z ∞
∂ 2ak
e −ax sin(kx) dx


⇒ =− 2
0 ∂a (a + k 2 )2
Z ∞
2ak
⇒ −xe −ax sin(kx)dx =− 2
0 (a + k 2 )2
Z ∞
2ak
⇒ xe −ax sin(kx)dx = 2 .
0 (a + k 2 )2
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 35 / 58

Leibniz’ rule examples

Z ∞
k
e −ax sin(kx) dx =
0 a2 + k 2

(b) Assuming suitable continuity and uniform continuity of the integrand and its
partial derivative with respect to k,

Z ∞   
∂ −ax ∂ k
e sin(kx) dx =
∂k 0 ∂k a2 + k 2
∞
2k 2
Z
∂ −ax

1
⇒ e sin(kx) dx = 2 − 2
0 ∂k a + k2 (a + k 2 )2
Z ∞
a2 − k 2
⇒ xe −ax cos(kx)dx = 2 2 )2
.
0 (a + k

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 36 / 58

Leibniz’ rule with variable limits
To find Z v (t)
d
f (x, t)dx
dt u(t)
we need to use the Fundamental Theorem of Calculus
Z t
d
f (x, t)dx.
dt a
Now let w (t) = t and Z v
F (u, v , w ) = f (x, w )dx.
u
The chain rule says
1
d ∂F du ∂F dv ∂F dw 7
F (u, v , w ) = + + 
dt ∂u dt ∂v dt ∂w dt Z v
du dv ∂
= −f (u, w ) + f (v , w ) + f (x, w )dx
dt dt ∂w u
Z v
du dv ∂f
= −f (u, t) + f (v , t) + (x, t)dx
dt dt u ∂t
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 37 / 58

Leibniz’ rule with variable limits

Example:

t
√ Z t
cos(t t) d √  cos(t.t) dt
Z  
d cos(tx) ∂ cos(tx)
√
dx = − √ t + + √ dx
dt t x t dt t dt t ∂t x
√ Z t
cos(t t) 1 cos(t 2 ) −x sin(tx)
=− √ √ + + √ dx
t 2 t t t x
√ t
cos(t t) cos(t 2 )

cos(tx)
=− + + √
2t t t t
√ √
cos(t t) cos(t 2 ) cos(t 2 ) cos(t t)
=− + + −
2t √ t t t
2
3 cos(t t) 2 cos t
=− +
2t t

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 38 / 58

Change of variables

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 39 / 58

Change of variables

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 40 / 58

Change of variables
y
Consider the integral of x over the region Ω (1, 2)
shown on the right,
Z Z 1 Z 1+x Z 2 Z 3−x Ω (2, 1)
I = x= x dydx + x dydx. 1
Ω 0 1−x 1 x−1

Note that Ω is bounded by the lines 1 x

x + y = 1, x + y = 3, v
x − y = 1, x − y = −1. 1
Ω′
Perhaps it might be easier to use
1 3 u
u =x +y and v = x − y
−1
as coordinates. In the uv -plane, the
corresponding region Ω0 has boundaries

u = 1, u = 3, v = −1 and v = 1.
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 41 / 58

Change of variables

v
If
1
u =x +y and v = x − y
Ω′
then
1 1 3 u
(u + v ).
x=
2
Can we simply write the integral as −1
Z 1 Z 3
1
I = (u + v ) dudv ?
−1 1 2
1
No! The map dudv = 2dxdy ⇒ dxdy =
2
dudv .
    
u 1 1 x So,
=
v 1 −1 y Z 1 Z 3
1 1
   I = (u + v ) dudv .
 1 1 
−1 2 2
scales areas by a factor of det  = 2. 1
1 −1 
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 42 / 58
Change of variables
For a more general change of variables by a differentiable function f : R → R
          
u x x x0 x0 x − x0
=f 'T =f + Jf
v y y y0 y0 y − y0

∆x
y D C
A00 ' f x0 x0


0

+ Jf
∆y f
y0 y0 0

B 00 ' f x0 x0 ∆x




y0 + Jf y0 0
A(x0 , y0 ) B v
C′ C 00 ' f x0 x0 ∆x




D′ y0 + Jf y0 ∆y
x D 00 ' f x0


+ Jf x0

0


T ′
y0 y0 ∆y
B
u C ′′ A′
D ′′
u
Area A0 B 0 C 0 D 0
′′ ' Area A00 B 00 C 00 D 00
B
A′′ = Area ABCD × |detJF |.
v
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 43 / 58

Change of variables

Theorem (Change of variables)

Suppose F : Ω ⊂ Rn → Rn is C 1 , det(Jx F ) 6= 0 for x ∈ Ω and F is one-to-one.
Then, if f is integrable on Ω0 = F (Ω)
Z Z
f = (f ◦ F ) |detJF |
Ω0 Ω

Alternative notation:
Z Z  
 ∂(x, y ) 
f (x, y ) dxdy = f (x(u, v ), y (u, v ))   dudv
Ω0 Ω ∂(u, v ) 

where
∂x ∂x
 
∂(x, y )
= det(JF ) = det  ∂u ∂v 

∂(u, v ) ∂y ∂y 
∂u ∂v

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 44 / 58

Change of variables

Find the area of the region Ω bounded by

x 2 − y 2 = 1, x 2 − y 2= 4
x x
y= , y= .
2 4
y
Let u = x 2 − y 2 and v = .
x
v
1
2
Ω′  ∂x ∂x
 
1

4 ∂(x, y )  ∂u ∂v

=

∂(u, v )  ∂y ∂y


1 4 u 
∂u ∂v


Z ZZ ZZ  
 ∂(x, y ) 
Area = 1= 1 dxdy = 1   dudv .
Ω Ω Ω0 ∂(u, v ) 
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 45 / 58

Change of variables

x2 − y2
      !
x u x
=F ⇒ F −1 = y
y v y
x
Note that F −1 is differentiable for x 6= 0. So
 ∂u ∂u 
−2y
!
 ∂x ∂y  2x
J(F −1 ) =  ∂v ∂v  = y 1 .
− 2
∂x ∂y x x

−1
 1  y  y2
det J(F ) = 2x − (−2y ) − 2 = 2 − 2 2 = 2 − 2v 2 .
x x x
But we want
1 1 1
det(JF ) =  =  = 2
,
det (JF ) −1 −1
det J(F ) 2 − 2v

that is,  −1

∂(x, y ) ∂(u, v ) 1
= = .
∂(u, v ) ∂(x, y ) 2 − 2v 2
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 46 / 58
Change of variables

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 47 / 58

Change of variables

Integrate x over the part of the unit disc that lies in the first quadrant.

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 48 / 58

Change of variables

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 49 / 58

Change of variables

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 50 / 58

Normal distribution
1 2
The standard normal distribution p(x) = √ e −x /2 is a probability distribution
Z ∞ 2π
on R. But how do we know that p(x)dx = 1?
−∞
Z ∞
2
If I = e −x dx, then
0  π  ∞
1 2 2 1 −r 2
Z ∞
2
Z ∞
2 = θ − e
I2 = e −x dx e −y dy 2 0 2
0 0
  0
Z ∞Z ∞ π 1 0
2 2 = 0 − − e
= e −x e −y dxdy 2 2
Z0 ∞ Z0 ∞ π
2 2
= .
= e −(x +y ) dxdy 4
0 0
π
∞
So, √
∞
Z 2
Z Z
−r 2 2 π
= e rdrd θ I = e −x dx = .
0 0 0 2
π
Z 2
Z ∞
2
= dθ e −r rdr
0 0

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 51 / 58

Cylindrical and spherical polar coordinates

Cylindrical polar coordinates Spherical polar coordinates

z z

z ρ
φ

y y
θ θ
x x
x = r cos θ   x = ρ sin φ cos θ  
 ∂(x, y , z)   ∂(x, y , z) 
y = r sin θ y = ρ sin φ sin θ   = ρ2 sin φ
 ∂(r , θ, z)  = r
 
∂(ρ, θ, φ) 
z =z z = ρ cos φ
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 52 / 58
Spherical and polar coordinates
Example (Exam 2008):

Using cylindrical or spherical polar coordinates, write down iterated

p integrals that
would give thep volume of the region bounded below by z = 3x + 3y 2 and
2

above by z = 4 − x 2 − y 2 .

JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 53 / 58

Mass, centre of mass, centroid

The balance point of masses on a line is the point x̄ about which the torque is 0.

m1
m2
x̄ m3
x1 x2 x3 x

The total mass is

0 = m1 (x1 − x̄) + m2 (x2 − x̄) + m3 (x3 − x̄)
3
3 3 3
X
X X X M= mi
= mi (xi − x̄) = mi xi − x̄ mi .
i+1
i=1 i=1 i+1
3 and
X mk
mi xi pk =
i=1
M
⇒ x̄ = .
X3 is a discrete probability distribution
mi with
i+1 x̄ = E (X ).
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 54 / 58
Mass, centre of mass, centroid
Consider a continuous mass distribution ρ : R → R.
ρ(x)
x̄

We can find the approximate centre of mass using an upper or lower sum of ρ
with respect to a partition P.
ρ(x)
x̄

n
X Z b  Z b

ρ̄i ∆xi xi ρ(x) x dx
i=1 a
 M= ρ(x) dx is the total mass 
x̄ ' n , x̄ = Z b
.  a 
X  ρ(x) 
ρ̄i ∆xi ρ(x) dx and is a probability density.
a M
i=1
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 55 / 58

Mass, centre of mass, centroid

For a lamina occupying the region For a solid body occupying the region
Ω ⊂ R2 with density ρ : Ω → R, the Ω ⊂ R3 with density ρ : Ω → R, the
total mass is total mass is
ZZ ZZZ
M= ρ(x, y ) dxdy M= ρ(x, y , z) dxdydz
Ω Ω

The coordinates of the centre of mass are The coordinates of the centre of mass are
ZZ ZZZ
1 1
x̄ = xρ(x, y ) dxdy x̄ = xρ(x, y , z) dxdydz
M Ω M Ω
ZZ ZZZ
1 1
ȳ = y ρ(x, y ) dxdy ȳ = y ρ(x, y , z) dxdydz
M Ω M Ω
ZZZ
1
z̄ = zρ(x, y , z) dxdydz
M Ω

For a lamina or solid body of constant density, the centre of mass is called the
centroid and denoted (xc , yc , zc ).
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 56 / 58
Mass, centre of mass, centroid
Example: Find the centre of mass of the trianglular lamina with vertices at
(−1, 0), (0, 1) and (1, 0) with density ρ(x, y ) = y .
y
The symmetry of Ω and ρ gives x̄ = 0.
1
Z Z 1 Z 1−y
x =y −1 Ω x =1−y yρ = y y dx dy
Ω 0 y −1
Z 1 h i1−y
−1 1 x = 2
y x dy
0 y −1
Z Z 1 Z 1−y Z 1
M= y= y dx dy = y 2 (1 − y ) − y 2 (y − 1) dy
Ω 0 y −1 0
Z 1 h i1−y 1
= yx dy = .
0 y −1 6
Z 1 Z
1 1 1 1
= y (1 − y ) − y (y − 1) dy ȳ = yρ = = .
0 M Ω
1 6 2
1 3
= .
3
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 57 / 58

Mass, centre of mass, centroid

Example: Find the centroid of the region bounded by r = θ and the x-axis.

y
Z π
1 3
= θ cos θ d θ
1 0 3
= 4 − π2 (int by parts 3 times)
Ω
6(4 − π 2 )
−1 x xc = ' −1.1358.
π3
To calculate the centroid, take ρ = 1. A similar calculation gives
We have already calculated the total
π θ
mass (area) to be A = π 3 /6. π 3 − 6π
Z Z Z
y= r sin θ rdr d θ = .
Ω 0 0 3
Z Z πZ θ
x= r cos θ rdr d θ
Ω 0 0
2(π 2 − 6)
yc = ' 0.78415.
Z π 
1 3
θ π2
= r cos θ dθ
0 3 0
JM Kress (UNSW Maths & Stats) MATH2111 Integration Semester 1, 2014 58 / 58