Chapter 5

Integration

Contents
5.1 Sigma notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
5.2 Riemann integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
5.3 Fundamental theorem of calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
5.4 Indefinite integrals and the substitution method . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.5 Definite integrals and the substitution method . . . . . . . . . . . . . . . . . . . . . . . . . . 59

5.1 Sigma notation

Notation 5.1 (Sigma notation). If a1 , . . . , an are given numbers, then
n
X
ak := a1 + · · · + an .
k=1

Theorem 5.1 (Algebra of finite sums). We have

n
X n
X n
X n
X n
X`
(↵ ak ± bk ) = ↵ ak ± bk and ak = ak+` .
k=1 k=1 k=1 k=1 k=1 `

Theorem 5.2 (Basic finite sums). We have

n
X n
X n
X
n (n + 1) n (n + 1) (2n + 1)
c = cn, k= , k2 = ,
2 6
k=1 k=1 k=1

and ✓ ◆2
n
X n
X
n (n + 1) 1 rn+1
k3 = , rk = (r 6= 1).
2 1 r
k=1 k=0

Proof. Use mathematical induction. ⇤

Example 5.1. Evaluate the following sums.

P
4
1. 2k+1
k= 1
4
X 5
X 1 26
2k+1 = 2k = = 63.
1 2
k= 1 k=0

51
CHAPTER 5. INTEGRATION 52
n ✓
X ◆
1
2. + 2n
n
k=1
n ✓
X ◆ ✓ ◆
1 1
+ 2n = + 2n n = 1 + 2n2 .
n n
k=1

n
X 1
3.
k (k + 1)
k=1
n
X X n ✓ ◆
1 1 1 1
= =1 .
k (k + 1) k k+1 n+1
k=1 k=1

n
X
4. (k 1)2
k=1

n
X n
X1 n
X1 (n 1) n (2(n 1) + 1) (n 1) n (2n 1)
(k 1)2 = k2 = k2 = = .
6 6
k=1 k=0 k=1

5.2 Riemann integral

Remark 5.1. We assume that f : [a, b] ! R is a bounded function, that is there exist m, M 2 R such that

m  f (x)  M for all x 2 [a, b].

Definition 5.1. A partition of [a, b] is any finite subset P = {x0 , . . . xn } of [a, b] such that

a = x0 < x1 < . . . < xn = b.

In this case, the number

kP k = max xk [ xk = xk xk 1]
k=1,...n

is called the norm of a partition P .

Definition 5.2. Given a partition P = {a = x0 < . . . < xn = b}, a set C = {c1 , . . . , cn } is called a tag for P if

ck 2 [xk 1 , xk ], k = 1, . . . , n.

In this case, the pair PC = (P, C) is called a tagged partition of [a, b] and the sum
n
X
R(f, PC ) = f (ck ) xk
k=1

is called the Riemann sum of f associated with PC .

Definition 5.3. f is said to be (Riemann) integrable on [a, b] if there exists a real number r such that

8" > 0 9 >0 : 8 partition P of [a, b] and associated tag C kP k < =) |R(f, PC ) r| < ".

In this case, Z b
f (x) dx = r
a

is called the definite (Riemann) integral of f on [a, b].

CHAPTER 5. INTEGRATION 53

Example 5.2 (a non-integrable function). The Dirichlet function f : [0, 1] ! R defined by

⇢
1, x 2 Q,
f (x) =
0, x 2 [0, 1] Q,

is not integrable.
Theorem 5.3. Every continuous function f on [a, b] is integrable.
Theorem 5.4 (algebra of integrals). Let f and g be integrable functions on [a, b], and let c 2 R. Then:
Z b Z b
1. cf is integrable and cf (x) dx = c f (x) dx.
a a
Z b Z b Z b
2. f + g is integrable and (f (x) + g(x)) dx = f (x) dx + g(x) dx.
a a a

3. f g is integrable.
Theorem 5.5. Let f and g be integrable functions on [a, b]. Then
Z b Z b
1. If f (x)  g(x) for all x 2 [a, b], then f (x) dx  g(x) dx.
a a
Z b Z b
2. |f | is integrable on [a, b] and f (x) dx  |f (x)| dx.
a a

Theorem 5.6. If a < c < b and f is integrable on [a, c] and [c, b], then f is integrable on [a, b] and
Z b Z c Z b
f (x) dx = f (x) dx + f (x) dx.
a a c

Theorem 5.7 (Integrability of composition). Suppose f : [a, b] ! [c, d] is integrable, and g : [c, d] ! R is
continuous. Then h = g f : [a, b] ! R is integrable.
Theorem 5.8 (Integral mean value theorem). If f is continuous on [a, b], then for at least one x0 2 [a, b], we have
Z b
1
Average value of f on [a, b] := f (x) dx = f (x0 ).
b a a

Proof. By the extreme value theorem, f assumes its maximum value M and minimum value m on [a, b].
Since
m  f (x)  M, x 2 [a, b],
we have Z Z Z
b b b
m(b a) = m dx  f (x) dx  M dx = M (b a)
a a a
so that Z b
1
m f (x) dx  M.
b a a
The intermediate value theorem thus entails
Z b
1
f (x) dx = f (x0 ).
b a a

for some x0 2 [a, b]. ⇤

CHAPTER 5. INTEGRATION 54

Theorem 5.9 (Generalized integral mean value theorem). If f is continuous on [a, b], g is integrable on [a, b],
and g does not change sign on [a, b], then there exists x0 2 [a, b] such that
Z b Z b
f (x) g(x) dx = f (x0 ) g(x) dx.
a a

Proof. By the extreme value theorem, f assumes its maximum value M and minimum value m on [a, b]. If
g 0 on [a, b], then
m g(x)  f (x) g(x)  M g(x), x 2 [a, b],
so that Z Z Z
b b b
m g(x) dx  f (x) g(x) dx  M g(x) dx.
a a a
Z b
If g(x) dx = 0, then for any x0 2 [a, b], we get
a
Z b Z b
f (x) g(x) dx = 0 = f (x0 ) g(x) dx.
a a

Otherwise, Rb
a
f (x) g(x) dx
m Rb  M,
a
g(x) dx
and the intermediate value theorem entails
Rb
a
f (x) g(x) dx
Rb = f (x0 )
a
g(x) dx

for some x0 2 [a, b]. ⇤

5.3 Fundamental theorem of calculus

Theorem 5.10 (Fundamental theorem of calculus: Part I). If f is continuous on [a, b] and differentiable on (a, b),
and f 0 is integrable on [a, b], then
Z b b
f 0 (x) d(x) = f (b) f (a) := f (x) .
a a

Proof. Given n 2 N, consider the partition P = {x0 , . . . , xn } of [a, b] where xk = a + b a

n k. By the mean
value theorem, for k = 1, . . . , n, there exists ck 2 (xk 1 , xk ) such that

f (xk ) f (xk 1) = f 0 (ck ) (xk xk 1) = f 0 (ck ) xk .

Thus for the tagged partition PC = (P, C) where C = {c1 , . . . , cn }, we have

n
X n
X
f (b) f (a) = [f (xk ) f (xk 1 )] = f 0 (ck ) xk = R(f 0 , PC ).
k=1 k=1

Since f 0 is integrable on [a, b] and

b a
kP k = max k = !0 as n ! 1,
1kn n
CHAPTER 5. INTEGRATION 55

we get
n
X n
X Z b
0
f (b) f (a) = lim [f (xk ) f (xk 1 )] = lim f (ck ) xk = f 0 (x) dx.
n!1 n!1 a
k=1 k=1

xn+1
Example 5.3. The function f (x) = (n 2 N) is differentiable and its derivative f 0 (x) = xn (being continuous)
n+1
is integrable. By FTC
Z b Z b b 1
xn dx = f 0 (x) dx = f (x) = (bn+a an+1 ).
a a a n+1
Notation 5.2. If a > b, we set
Z b Z a
f (x) dx := f (x) dx.
a b

Theorem 5.11 (Fundamental theorem of calculus: Part II). Let f be an integrable function on [a, b], and let
c 2 [a, b]. For x 2 [a, b], let Z x
F (x) = f (t) dt.
c

Then:

1. F is continuous on [a, b].

2. If f is continuous at x0 2 (a, b), then F is differentiable at x0 and

F 0 (x0 ) = f (x0 ).

Proof.

1. Let B := sup |f (x)|. If a  x < y  b, then

x2[a,b]

Z y Z x Z y Z y Z y
|F (y) F (x)| = f (t) dt f (t) dt = f (t) dt  |f (t)| dt  B dt = B(y x).
c c x x x

This shows that F is uniformly continuous on [a, b].

2. Suppose f is continuous at x0 2 [a, b]. For x 2 [a, b] {x0 }, we have
Z x
F (x) F (x0 ) 1
= f (t) dt.
x x0 x x0 x0

On the other hand, Z x

1
f (x0 ) = f (x0 ) dt.
x x0 x0

Accordingly, for x 2 [a, b] {x0 }, we have

Z x
F (x) F (x0 ) 1
f (x0 ) = [f (t) f (x0 )] dt.
x x0 x x0 x0

Let " > 0 be given. Since f is continuous at x0 , there exists > 0 such that

t 2 [a, b] & |t x0 | < =) |f (t) f (x0 )| < ".

CHAPTER 5. INTEGRATION 56

It thus follows that if x 2 [a, b] {x0 } and |x x0 | < , then

Z x Z x
F (x) F (x0 ) 1 1
f (x0 )  |f (t) f (x0 )| dt  " dt = ".
x x0 x x0 x0 x x0 x0

We have thus shown that

F (x) F (x0 )
lim = f (x0 ).
x!x0 x x0
In other words, F 0 (x0 ) = f (x0 ).
So the proof is complete. ⇤

Example 5.4. Evaluate the following limits.

X n ✓ ◆
⇡ ⇡k
1. lim sec2
n!1 4n 4n
k=1

Let
⇡ k
[a, b] = [0, ⇡/4], xk = (k = 0, . . . , n), ck = xk (k = 1, . . . , n), f (x) = sec2 x.
4 n
Since f is continuous on [0, ⇡/4],
Xn ✓ ◆ n
X Z ⇡/4
⇡ ⇡k
lim sec2 = lim f (ck ) xk = f (x) dx
n!1 4n 4n n!1 0
k=1 k=1
Z ⇡/4 ⇡/4
= sec2 x dx = tan x =1 0 = 1.
0 0

n
X n
2. lim
n!1 n2 + k 2
k=1

Let
k 1
[a, b] = [0, 1], xk = (k = 0, . . . , n), ck = xk (k = 1, . . . , n), f (x) = .
n 1 + x2
Since f is continuous,
n
X Xn Xn
n 1 1
lim = lim = lim f (ck ) xk
n!1 n2 + k 2 n!1 1 + (k/n)2 n n!1
k=1 k=1 k=1
Z 1 Z 1 1
1 ⇡ ⇡
= f (x) dx = 2
dx = arctan x = 0= .
0 0 1 + x 0 4 4

Example 5.5. Evaluate the following derivatives.

Z x
d
1. t3 dt
dx 1
We have Z x  
d d t4 t=x d x4 1
t3 = = = x3 .
dx 1 dx 4 t=1 dx 4 4
Alternatively, using FTC, Z x
d
t3 dt = x3 .
dx 1
CHAPTER 5. INTEGRATION 57
Z x
d sin t
2. dt for x > 0
dx 1 t
Using FTC, Z x
d sin t sin x
dt = .
dx 1 t x
Theorem 5.12 (Leibniz’s rule). Suppose f : [a, b] ! R is continuous and g, h : [c, d] ! [a, b] are differentiable.
Then "Z #
h(x)
d
f (t) dt = f (h(x)) h0 (x) f (g(x)) g 0 (x), x 2 (c, d).
dx g(x)
Proof. Fix y0 2 [a, b]. Then
Z h(x) Z h(x) Z g(x)
f (t) dt = f (t) dt f (t) dt = F (h(x)) F (g(x))
g(x) y0 y0

for Z y
F (y) = f (t) dt.
y0
Thus, by the chain rule,
"Z #
h(x)
d
f (t) dt = F 0 (h(x)) h0 (x) F 0 (g(x)) g 0 (x) = f (h(x)) h0 (x) f (g(x)) g 0 (x)
dx g(x)
for all x 2 (c, d). ⇤

Example 5.6. Here are some simple examples.

Z sin x
1
1. Find f 0 (x) if f (x) = dt.
cos x 1 t2
1 d 1 d cos x sin x
f 0 (x) = 2 [sin x] 2
[cos x] = 2 + = sec x + csc x.
1 sin x dx 1 cos x dx 1 sin x 1 cos2 x
Z 2px
2. Find g 0 (x) if g(x) = p sin2 t dt.
x

p d p p d p
g 0 (x) = sin2 (2 x) [2 x] sin2 x [ x] = . . .
dx dx

5.4 Indefinite integrals and the substitution method

Theorem 5.13 (Substitution method). If u = g(x) is a differentiable function whose range is an interval I and f
is continuous on I, then Z Z
f (g(x)) g 0 (x) dx = f (u) du.
|{z} | {z }
u du
Proof. Since f is continuous, FTC entails the existence of an antiderivative F on I. But then
Z Z Z
d
f (g(x)) g 0 (x) dx = F 0 (g(x)) g 0 (x) dx = (F g)(x) dx
dx
Z Z
= (F g)(x) + C = F (g(x)) + C = F (u) + C = F 0 (u) du = f (u) du

and the proof is complete. ⇤

CHAPTER 5. INTEGRATION 58

Example 5.7. Evaluate the following integrals.

Z
1. (x2 + 5)100 x dx
Z Z
2 100 1 1 101 1
(x + 5) x dx =
|{z} u100 du = u +C = (x2 + 5)101 + C
| {z } 2 202 202
u 1
2 du

Z
p
2. x2 x 1 dx
Z Z Z
2
p p p
x x 1 dx = (u + 1) u du = (u2 + 2u + 1) u du
2
u=x 1
Z
2 4 2
= (u5/2 + 2u3/2 + u1/2 ) du = u7/2 + u5/2 + u3/2 + C
7 5 3
2 4 2
= (x 1)7/2 + (x 1)5/2 + (x 1)3/2 + C
✓7 5 ◆3
2 4 2
= (x 1)2 + (x 1) + (x 1)3/2 + C
7 5 3
Z
3. cos3 x dx
Z Z Z
u3 sin3 x
cos3 x dx = (1 sin2 x) cos x dx = (1 u2 ) du = u + C = sin x +C
u=sin x 3 3
Z
1
4. dx (a > 0)
a2 + x2
Z Z Z
1 1 1 1 1
2 2
dx = 2 2
dx = 2
(a du)
a +x a 1 + (x/a) u=x/a a 1 + u2
Z
1 1 1 1 x
= du = arctan u + C = arctan + C
a 1 + u2 a a a
Z
sin 3✓
5. d✓
(1 + cos 3✓)2
Z Z
sin 3✓ 1 du 1 1
d✓ = = +C = +C
(1 + cos 3✓)2 u=1+cos 3✓ 3 u2 3u 3(1 + cos 3✓)
Z
1
6. p dx
x (x + 1)
Z Z
1 du p
p dx =p 2 = 2 arctan u + C = 2 arctan x + C
x (x + 1) u= x 1 + u2
Z
7. sec4 ✓ d✓
Z Z Z
u3 tan3 ✓
sec4 ✓ d✓ = sec2 ✓ (1 + tan2 ✓) d✓ = (1 + u2 ) du = u + + C = tan ✓ + +C
u=tan ✓ 3 3
Z
t
8. dt
1 + t4
Z Z
t 1 du 1 1
dt = = arctan u + C = arctan(t2 ) + C
1 + t4 u=t2 2 1 + u2 2 2
CHAPTER 5. INTEGRATION 59

5.5 Definite integrals and the substitution method

Theorem 5.14 (Change of variables—or method of substitution). Let u be a continuously differentiable function
on an open interval J, and let I be an open interval such that u(J) ✓ I. If f is continuous on I, then f u is continuous
on J, and
Z b Z u(b)
0
f (u(x)) u (x) dx = f (u) du
a u(a)

for a, b 2 J. [Caution: u(a) need not be less than u(b) even if a < b.]
Remark 5.2. The following proof also works in the more general case that u is differentiable on J, and u0 is integrable
on any subinterval of J.

Proof. Fix c 2 I, and let Z u

F (u) = f (t) dt.
c

Then, since f is continuous on I, FTC entails

F 0 (u) = f (u), u2I

Let
g=F u.
Then, by the chain rule,
g 0 (x) = F 0 (u(x)) u0 (x) = f (u(x)) u0 (x), x 2 J.
Since g is integrable, FTC-I entails, for any a, b 2 J,
0

Z b Z b
0
f (u(x)) u (x) dx = g 0 (x) dx = g(b) g(a) = F (u(b)) F (u(a))
a a
Z u(b) Z u(a) Z u(b)
= f (t) dt f (t) dt = f (t) dt,
c c u(a)

and this completes the proof. ⇤

Example 5.8. Evaluate the following integrals.

Z 1
1. (2x + 1)3 dx
0

1
With u = 2x + 1, we have du = dx so that
2
Z 1 Z 3 u=3
1 1 4
(2x + 1)3 dx = u3 du = u = 10.
0 2 1 8 u=1

Alternatively
Z Z
1 3 1 4 1
(2x + 1) dx = u3 du = u + C = (2x + 1)4 + C
2 8 8

so that
Z 1 1
1
(2x + 1)3 dx = (2x + 1)4 = 10.
0 8 0
CHAPTER 5. INTEGRATION 60
Z 5
2. (2x 5) (x 3)9 dx
2

With u = x 3, we have 2u + 1 = 2x 5 and du = dx so that

Z 5 Z 2 Z 2
(2x 5) (x 3)9 dx = (2u + 1) u9 du = (2u10 + u9 ) du
2 1 1
2 11 1 10 u=2 52233
= u + u = .
11 10 u= 1 110
Alternatively
Z Z Z
(2x 5) (x 3)9 dx = (2u + 1) u9 du = (2u10 + u9 ) du
2 11 1 10 2 1
= u + u +C = (x 3)11 + (x 3)10 + C
11 10 11 10
so that
Z 5 x=5
2 1 52233
(2x 5) (x 3)9 dx = (x 3)11 + (x 3)10 = .
2 11 10 x=2 110
Z ⇡/8
3. sin5 2x cos 2x dx
0

With u = sin 2x, we have du = 2 cos 2x dx so that

Z Z p p
⇡/8 1/ 2 u=1/ 2
5 1 5 1 6 1
sin 2x cos 2x dx = u du = u = .
0 2 0 12 u=0 96

Example 5.9. Let f be a continuous function on a symmetric interval [ a, a].

Ra Ra
1. If f is even, then a f (x) d(x) = 2 0 f (x) dx.
Using the substitution u = x [du = dx], we have
Z 0 Z 0 Z a Z a Z a
f (x) dx = f ( u) ( du) = f ( u) du = f (u) du = f (x) dx.
a a 0 0 0

Ra
2. If f is odd, then a
f (x) d(x) = 0.

Using the substitution u = x [du = dx], we have

Z 0 Z 0 Z a Z a Z a
f (x) dx = f ( u) ( du) = f ( u) du = f (u) du = f (x) dx.
a a 0 0 0