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Riemann Integral
Riemann Integral
Riemann Integral
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Riemann.
(P ) = max xi .
i
The theory of Riemann integration is based on bounded real-valued functions defined on a closed
and bounded interval. Thus consider f : [ a, b] R such that m f ( x ) M for some real
1
Partitions
partition
the
interval!
numbers m, M, and for all x [ a, b]. For a fixed partition P of [ a, b], set
Mi = sup f ,
[ xi1 ,xi ]
mi = inf
[ xi1 ,xi ]
Mi xi , L( f ; P ) =
U ( f ; P) =
i =1
f;
n
mi xi .
i =1
Geometrically, the upper sum U ( f ; P ) overestimates the area under the curve whereas the lower
sum U ( f ; P ) underestimates the same area. Since m mi Mi M for each i, we have
n
m xi
i =1
i =1
i =1
i =1
mi xi Mi xi M xi ,
or that
m(b a) L( f ; P ) U ( f ; P ) M(b a)
(1)
inf
[ x i 1 , x ? ]
Refining a
partition
means
adding
points to
it.
Upper
&
Lower
sums gets
closer in a
refinement.
[ x ? , xi ]
Since the terms in the upper and lower sums corresponding to the partitions P and P ? are
identical except that the contribution from the i th sum in P is divided into two sums in P ? , we
have
L( f ; P ? ) L( f ; P ) = mi` x ? xi1 + mir xi x ? mi xi xi1
mi x ? xi1 + mi xi x ? mi xi xi1 = 0,
and
U ( f ; P ) U ( f ; P ? ) = Mi xi xi1 Mi` x ? xi1 Mir xi x ?
Mi xi xi1 Mi x ? xi1 Mi xi x ? = 0.
Since the middle inequality is trivial, the theorem is proved.
We define lower integral
f = sup L( f ; P ),
f by
f = inf U ( f ; P ).
P
Upper
integral
is inf of
upper
sums.
Lower
integral
is
sup
of
lower
sums.
f.
Proof. Let P1 and P2 be any two partitions of [ a, b], and let P ? = P1 P2 . By Theorem 1,
L( f ; P1 ) L( f ; P ? ) U ( f ; P ? ) U ( f ; P2 ).
Hence L( f ; P1 ) U ( f ; P2 ). Since U ( f ; P2R) is an upper bound for all lower sums L( f ; P1 ), it is
also an upper bound for the lower integral f . Now since each upper sum U ( f ; P2 ) is bounded
R
R
R
below by f , the upper integral f is also bounded below by f .
Definition 3. (Riemann, 1854)
R
R
A real-valued bounded function f on [ a, b] is Riemann integrable on [ a, b] provided f = f .
We denote by f R([ a, b]) the situation that f is Riemann integrable over [ a, b].
Theorem 1. (Riemanns Criterion)
Let f be a real-valued bounded function on [ a, b]. Then f is Riemann integrable over [ a, b] if and only if,
for every e > 0, there is a partition P of [ a, b] such that
U ( f ; P ) L( f ; P ) < e.
Proof. Suppose, for every e > 0, there is a partition P of [ a, b] such that U ( f ; P ) L( f ; P ) < e.
For every partition P of [ a, b] we have
L( f ; P )
f U ( f ; P ).
f is Riemann
integrable
exactly
if
Upper
integral
equals
Lower
integral.
Riemanns
Criterion
gives
a
standard
way
to
prove
that f is
Riemann
integrable.
R
R
R
R
Therefore, given e > 0, f f < e. Since this holds for every e > 0, we must have f = f .
Hence f is Riemann integrable over [ a, b].
Conversely, suppose f is Riemann integrable over [ a, b]. Let e > 0. Since the upper integral is
the infimum of upper sums and the lower integral is the supremum of lower sums, there exist
partitions P1 and P2 of [ a, b] such that
U ( f ; P1 )
Therefore for P = P1 P2 , since
U ( f ; P ) U ( f ; P1 ) <
f <
e
2,
f L( f ; P2 ) < 2e .
f =
f we have
f+
e
2
f+
e
2
< L( f ; P2 ) + e L( f ; P ) + e.
0 if x [0, 1] Q;
1 if x [0, 1] Qc .
Since every interval with more than one point contains at least one rational number and at least one
irrational number, sup[ xi1 ,xi ] f = 1 and inf[ xi1 ,xi ] f = 0 for any partition P = { xi }in=1 of [0, 1]. Hence
U ( f ; P ) = 1 while L( f ; P ) = 0 for every partition P of [0, 1]. Hence f is not Riemann integrable by
R
R
Theorem 1. In fact, f = 1 and f = 0.
3
An
example
of
a
nonintegrable
function.
0 if x [0, 1] Q;
x if x [0, 1] Qc ;
x if x [0, 1] Q;
0 if x [0, 1] Qc ;
f1 (x) =
and let f 2 : [0, 1] R be given by
f2 (x) =
L( f ; P ) U ( f ; P ).
Exercise 3. Let f be a real-valued bounded function on [ a, b].
(i) If there exists a sequence {Pn }n1 of partitions of [ a, b] such that
lim U ( f ; Pn ) L( f ; Pn ) = 0,
n
Z b
f = lim U ( f ; Pn ).
n
(ii) If f is Riemann integrable over [ a, b], then there exists a sequence {Pn }n1 of partitions of [ a, b]
such that each Pn+1 is a refinement of Pn , (Pn ) 0 as n , and
lim U ( f ; Pn ) L( f ; Pn ) = 0.
n
Proposition 3. Let f be a real-valued bounded function on [ a, b], and let e > 0. Let P = { xi }in=0 be a
partition of [ a, b] such that
U ( f ; P ) L( f ; P ) < e.
(i) If P ? is a refinement of P, then
U ( f ; P ? ) L( f ; P ? ) < e.
(ii) If si , ti [ xi1 , xi ], then
i =1
Exercises
2 & 3 are
closely
related to
Theorem
1.
Try
them!
f (si ) f (ti )xi
i =1
( Mi mi )xi = U ( f ; P ) L( f ; P ) < e.
i =1
(iii) This follows from the fact that both in=1 f (ti )xi and
whose difference is less than e.
Rb
a
Definition 4. Let f be a real-valued bounded function on [ a, b]. Let P = { xi }in=0 be a partition of [ a, b],
and let ti [ xi1 , xi ] be arbitrarily chosen. Then
S( f ; P ) =
f (ti )xi
i =1
There are
infinitely
many
Riemann
sums!
(P )0
Thus f is R-integrable if there exists a real number L having the property that, for every e > 0,
there exists a > 0 such that if P is any partition of [ a, b] with (P ) < and S( f ; P ) is any
Riemann sum of f with respect to P, then |S( f ; P ) L| < e.
Theorem 2. (Darboux)
Let f be a real-valued bounded function on [ a, b]. Then f is R-integrable if and only f is Riemann
integrable, and in that case
lim S( f ; P ) =
(P )0
Z b
a
f.
Proof. If f is Riemann integrable over [ a, b], then Proposition 3, part (iii) shows that lim S( f ; P )
(P )0
Z b
a
Z b
a
Riemann sums approach the integral as (P ) approaches 0, we choose a partition of [ a, b] that makes the
a
computation as easy as possible. We partition [ a, b] into n equal parts, so that xi = a + b
n i, and choose
a
ti = xi for i {1, . . . , n}. Note that xi = b
n . Then Theorem 2 gives
Z b
a
1 n
f = (b a) lim f a +
n n
i =1
b a
n i
(2)
If
f
is
Riemann
integrable,
then
you
can comZ
b
1
x
Example 2. The function f ( x ) = is continuous on [1, 2], hence Riemann integrable by Theorem 4
1
which follows. Partitioning [1, 2] into n equal parts, we have xi = 1 + i, f ( xi ) = 1+
i for i {1, . . . , n }.
Hence
Z 2
n
1
1 n
1 n
1
1
ln 2 =
dx = lim f 1 + n1 i = lim
=
lim
.
1
n
x
n
n
n
+
i
1
i =1
i =1
i =1 1 + n i
5
pute
a
by taking
limits
of
sums.
= ,
2
2
n
n +i
4
i =1
n2 + i 2
n
lim
lim
= ln(1 +
2).
i =1
U ( f ; Pn ) L( f ; Pn ) =
( Mi mi )xi
i =1
n
f ( xi ) f ( xi1 ) xi
i =1
ba n
f ( x i ) f ( x i 1 )
n i =1
1
(b a) f (b) f ( a) < e
n
=
=
U ( f ; P ) L( f ; P ) =
( Mi mi )xi <
i =1
n
e
xi = e.
b a i
=1
Theorem 5. If f is real-valued bounded function on [ a, b] for which the set of discontinuities is a finite
set, then f is Riemann integrable over [ a, b].
? } denote the finite set of discontinuities
Proof. Let e > 0 be arbitrary. Let D f = { x1? , . . . , xm
of f on [ a, b]. Choose open intervals (ui , vi ) such that ui < xi? < vi and im=1 (vi ui ) < e.
S
Then f is uniformly continuous on [ a, b] \ im=1 (ui , vi ) (which is a union of m + 1 disjoint closed
S
intervals), so that there exists a > 0 for which |s t| < and s, t [ a, b] \ im=1 (ui , vi ) implies
| f (s) f (t)| < e.
Form a partition P = { xi }in=1 of [ a, b] to include each ui , each vi , and none of the points in the
segment (ui , vi ). If xi1 is not one of the u j , then choose xi < . So if xi1 is not one of the
u j , the corresponding Mi mi < e, and if xi1 is a u j , Mi mi 2M, where M = sup[a,b] | f |.
Therefore
U ( f ; P ) L( f ; P ) =
i =1
Continuous
functions
are
Riemann
integrable.
U ( f ; P ) L( f ; P ) < 2 .
continuous
integrable
is
integrable.
(3)
Write
Mi = sup f ,
mi = inf
[ xi1 ,xi ]
[ xi1 ,xi ]
Mi? = sup ( f ),
f,
mi? = inf ( f ).
[ xi1 ,xi ]
[ xi1 ,xi ]
For i {1, . . . , n}, let i A if Mi mi < and let i B if Mi mi . For i A, we now have
Mi? mi? e. For i B, Mi? mi? 2K, where K = sup[m,M] |(t)|. By (3),
xi
( Mi mi )xi < 2 ,
i B
i B
U ( f ; P ) L( f ; P ) =
i A
i B
e(b a) + 2K
< e(b a + 2K ).
Since e is arbitrary, f is Riemann integrable over [ a, b] by Theorem 1.
Z b
a
( f + g) =
Z b
a
f+
Z b
a
g,
Z b
a
cf = c
Z b
a
Z b
a
f.
Z b
a
f M ( b a ).
(iii) If a < c < b, then f is Riemann integrable over [ a, c] and over [c, b], and
Z b
a
f =
Z c
Z b
f
| f |.
a
Proof.
f+
Z b
c
f.
Z b
a
g. In particular,
Some
important
properties
of
the
Riemann
integral.
L( f ; P ) + L( g; P ) L( f + g; P ) U ( f + g; P ) U ( f ; P ) + U ( g; P ).
(4)
Since f , g are Riemann integrable, there exist partitions P and Q of [ a, b] such that
e
U ( g; Q ) L( g; Q ) < .
2
e
U ( f ; P ) L( f ; P ) < ,
2
Z b
Z b
a
f + e and U ( g; P Q ) <
Z b
a
( f + g) U ( f + g; P Q ) <
Z b
a
( f + g)
Z b
a
f+
g + e, (4) implies
Z b
a
Z b
a
f+
Z b
a
g + 2e.
g. Replacing f by f and g by g
Z b
a
If f g, then ( f g) 0. So
proved. Since c
m(b a)
Z b
a
Z b
a
Z b
a
Z b
a
g =
Z b
a
f M ( b a ).
| f |,
a
since c f | f |.
Z b
a
Z b
a
f > 0.
Z x
a
f (t) dt.
Theorem 8. (The Fundamental Theorem of Calculus)
If f is Riemann integrable over [ a, b] and if there exists a function F differentiable on [ a, b] such that
F 0 = f on [ a, b], then
Z b
a
f = F ( b ) F ( a ).
Proof. Let e > 0 be arbitrary. Since f is Riemann integrable over [ a, b], Theorem 1 provides a
partition P = { xi }in=0 of [ a, b] such that U ( f ; P ) L( f ; P ) < e. Since F is differentiable over
[ xi1 , xi ], there exists ti [ xi1 , xi ] such that
F ( xi ) F ( xi1 ) = F 0 (ti )xi = f (ti )xi
for i {1, . . . , n}. Hence in=1 f (ti )xi = in=1 F ( xi ) F ( xi1 ) = F (b) F ( a), so that
Z b
Z b
n
F (b) F ( a)
f = f (ti )xi
f < e
i =1
a
a
by Theorem 3, part (iii). Since this holds for each e > 0, the proof is complete.
F g = F (b) G (b) F ( a) G ( a)
Z b
a
f G.
f G+Fg =
Z b
a
by Theorem 8.
We end these notes by answering a question about characterization of real-valued bounded functions on [ a, b] that are Riemann integrable. This characterization is based on the size of the set of
discontinuities of f , and as Theorem 10 implies, this set must not contain any interval of positive
length. More precisely, we call a subset S of real numbers a null set if S is contained in the
countable union of intervals the sum of lengths of which is less than any prescribed positive
real number. More precisely, given any e > 0, S is a null set if there is a countable collection of
intervals [ an , bn ] such that
S
n =1
[ a n , bn ] ,
(bn an ) < e.
n =1
For example, any countably infinite set S = { x1 , x2 , x3 , . . .} is a null set. A countably infinite set
is one which can be put in a one-to-one correspondence with the set N of natural numbers, and
so can be listed as a sequence. To see that any countably infinite set is a null set, let e > 0 be
S
arbitrary. Let In be the interval centred at xn , of length e/2n . Then S In and
n=1 `( In ) = e,
where `( I ) denotes the length of the interval I. In particular, the set Q of rational numbers is a
null set.
Theorem 10. (Lebesgue-Vitali)
Let f be a real-valued bounded function on [ a, b]. Then f is Riemann integrable over [ a, b] if and only if
the set D f of discontinuities of f is a null set.
Reference
Walter Rudin, Principles of Mathematical Analysis, Third Edition, McGraw Hill International Editions, 1976.
10
Exactly
which
functions
are
Riemann
integrable?