Chapter 3

Chapter 3.
Orthogonal Functions and

Fourier Series
Le Cong Nhan
Faculty of Applied Sciences

HCMC University of Technology and Education
August 28, 2023
Le Cong Nhan (Faculty of Applied Sciences HCMC University

Chapter of 3. Technology
Orthogonal andFunctions
Education) and Fourier Series August 28, 2023 1 / 40
Chapter Content
1 Orthogonal Functions
2 Fourier Series
3 Fourier Cosine and Sine Series
4 Complex Fourier Series
5 Sturm-Liouville Problem
6 Bessel and Legendre Series

3.1 Orthogonal Functions
Definition 1
1 The inner product of two piecewise-continuous functions f1 and f2 on an
interval [a, b] is the number
Z b
(f1 , f2 ) = f1 (x)f2 (x)dx. (1)
a
If (f1 , f2 ) = 0, then f1 and f2 are said to be orthogonal on an interval [a, b].

2 The norm of a function f is the non-negative number
s
p Z b
∥f ∥ = (f , f ) = f 2 (x)dx ≥ 0. (2)
a

Definition 2 (Orthogonal/Orthonormal Sets)
A set of real-valued functions {ϕ0 (x), ϕ1 (x), ϕ2 (x), ...} is said to be orthogonal
on an interval [a, b] if
Z b
(ϕm , ϕn ) = ϕm (x)ϕn (x)dx = 0, m ̸= n.
a
In addition, if ∥ϕn ∥ = 1 for n = 0, 1, 2, then {ϕn (x)} is said to be an orthonormal

set on the interval.
Example 3
Show that the set {1, cos x, cos 2x, ...} is orthogonal on the interval [−π, π] and
find the norms of each function in this set.

Definition 4 (Complete Sets)
An orthogonal set {ϕn (x)} is complete if the only continuous function orthogonal
to each member of the set is the zero function, that is
(f , ϕn ) = 0, ∀n = 0, 1, 2, ... ⇐⇒ f = 0.
Suppose {ϕn (x)} is an infinite orthogonal set of functions on an interval [a, b].
We ask: If y = f (x) is a function defined on the interval [a, b], is it possible to
determine a set of coefficients cn , n = 0, 1, 2, ..., for which
f (x) = c0 ϕ0 (x) + c1 ϕ1 (x) + · · · + cn ϕn (x) + · · · ? (3)
Answer:
Rb
a
f (x)ϕk (x)dx
Fourier coefficients: ck = 2 .
∥ϕk ∥
Fourier series:
∞
X (f , ϕk )
f (x) = 2 ϕk (x). (4)
k=0
∥ϕk ∥

Gram-Schmidt process
Suppose that {f0 (x), f1 (x), f2 (x), ...} is an infinite linearly independent set of real-
valued functions continuous on an interval [a, b].
1 Let ϕ0 (x) = f0 (x)
2 Find ϕ1 (x) = f1 (x) + c0 ϕ0 (x) such that (ϕ1 , ϕ0 ) = 0, we obtain
(f1 , ϕ0 )
ϕ1 (x) = f1 (x) − 2 f0 (x) (5)
∥ϕ0 ∥
3 Find ϕ2 (x) = f2 (x) + c1 ϕ1 (x) + c0 ϕ0 such that (ϕ2 , ϕi ) = 0, for i = 0, 1,
(f2 , ϕ1 ) (f2 , ϕ0 )
ϕ2 (x) = f2 (x) − 2 ϕ1 (x) − 2 ϕ0 (x) (6)
∥ϕ1 ∥ ∥ϕ0 ∥
4 Similarly, we can find ϕn such that (ϕn , ϕk ) = 0 for k = 0, 1, ..., n − 1, so
n−1
X (fn , ϕk )
ϕn (x) = fn (x) − 2 ϕk (x). (7)
k=0
∥ϕk ∥

3.2 Fourier Series
The Fourier series of a function f defined on the interval (−p, p) is given by

∞
a0 X nπx nπx
f (x) = + an cos + bn sin , (8)
2 n=1
p p
where the coefficients an and bn are given by
1 p
Z
a0 = f (x)dx (9)
p −p
1 p
Z
nπx
an = f (x) cos dx (10)
p −p p
1 p
Z
nπx
bn = f (x) sin dx. (11)
p −p p

Theorem 5 (Conditions for Convergence)
Let f and f ′ be piecewise continuous on the interval [−p, p]; that is, let f and f ′
be continuous except at a finite number of points in the interval and have only
finite discontinuities at these points. Then for all x in the interval (−p, p)
At a point of continuity, the Fourier series of f converges to f (x),
∞
a0 X nπx nπx
f (x) = + an cos + bn sin . (12)
2 n=1
p p
At a point of discontinuity, the Fourier series converges to the average
f (x + ) + f (x − )
, (13)
2
where f (x + ) = lim+ f (x + h) and f (x − ) = lim+ f (x − h).
h→0 h→0

Example 6
Expand f in a Fourier series, where
(
0 if − 1 < x < 0
f (x) =
x if 0 ≤ x < 1.

Periodic Extension
Let f and f ′ be piecewise continuous on the interval [−p, p] and assume that f is
periodic with period T = 2p.
1 Applying the Theorem 5 for the Fourier series of f on the interval (−p, p)
and to periodic extension of f outside the interval (−p, p).
2 At x = −p and x = p, the Fourier series converges to
f (p − ) + f (p + )
(14)
2
and to this value extended periodically to ±3p, ±5p, ±7p, and so on.

3.3 Fourier Cosine and Sine Series
1 The Fourier series of an even function on the interval (−p, p) is the cosine
series
∞
a0 X nπx
f (x) = + an cos , (15)
2 n=1
p
where
Z p Z p
2 2 nπx
a0 = f (x)dx, an = f (x) cos dx. (16)
p 0 p 0 p
2 The Fourier series of an odd function on the interval (−p, p) is the sine
series
∞
X nπx
f (x) = bn sin , (17)
n=1
p
where
Z p
2 nπx
bn = f (x) sin dx. (18)
p 0 p
Example 7
Expand f (x) = x, −2 < x < 2 in a Fourier series.

Example 8
Expand f in a Fourier series, where
(
−1 if −π <x <0
f (x) =
1 if 0 ≤ x < π.

Half-Range Expansions
If y = f (x) is defined on the interval (0, L), then there are three ways to define
the value of the function on the interval (−L, 0).
Figure: Even reflection Figure: Odd reflection Figure: Identity reflection

Even reflection
1 The cosine series of f on the interval (0, L) is

∞
a0 X nπx
f (x) = + an cos , (19)
2 n=1
L
where
Z L Z L
2 2 nπx
a0 = f (x)dx, an = f (x) cos dx. (20)
L 0 L 0 L
Figure: Even reflection

Odd reflection
1 The sine series of f on the interval (0, L) is

∞
X nπx
f (x) = bn sin , (21)
n=1
L
where
Z L
2 nπx
bn = f (x) sin dx. (22)
L 0 L
Figure: Odd reflection

Identity reflection
1 The Fourier series of f on the interval (0, L) is

∞
a0 X 2nπx 2nπx
f (x) = + an cos + bn sin , (23)
2 n=1
L L
2
RL
where a0 = L f (x)dx and
0
Z L Z L
2 2nπx 2 2nπx
an = f (x) cos dx, bn = f (x) sin dx. (24)
L 0 L L 0 L
Figure: Identity reflection

Example 9
Expand f (x) = x, 0 < x < L,
(a) in a cosine series, (b) in a sine series, (c) in a Fourier series.

3.4 Complex Fourier Series
The complex Fourier series of functions f defined on an interval (−p, p) is given

by
∞ Z p
X
i nπx 1 nπx
f (x) = cn e p , where cn = f (x)e −i p dx. (25)
n=−∞
2p −p
If f is periodic and has fundamental period T = 2p, then the Fourier and
the complex Fourier series become
∞ ∞
a0 X X
+ (an cos nωx + bn sin nωx) and cn e inωx , (26)
2 n=0 n=−∞
2π
where the number ω = T is called the fundamental angular frequency.
The plot of the points (nω, |cn |) is called the frequency spectrum of f .

Example 10
Expand f (x) = e −x , −π < x < π, in a complex Fourier series.

Example 11
Find the frequency spectrum of the periodic square wave or periodic pulse which
is the periodic extension of the function

1 1
0 if − 2 < x < − 4

f (x) = 1 if − 14 < x < 41
1 1

0 if 4 <x < 2

Figure: Periodic pulse

3.5 Sturm-Liouville Problem
Brief Review of ODEs
Linear Equation General solutions
y ′ + αy = 0 y = c1 e −αx
y ′′ + α2 y = 0, α>0 y = c1 cos αx + c2 sin αx
y ′′ − α2 y = 0,
(
α>0 y = c1 e −αx + c2 e αx , or
y = c1 cosh αx + c2 sinh αx
Cauchy-Euler equation General solutions, x > 0
x 2 y ′′ + xy ′ − α2 y = 0,
(
α≥0 y = c1 x −α + c2 x α , α ̸= 0,
y = c1 + c2 ln x, α=0

Parametric Bessel equation General solutions, x > 0
x 2 y ′′ + xy ′ + α2 x 2 − ν 2

y =0 y = c1 Jν (αx) + c2 Yν (αx)
Jν is called a Bessel function of the

first kind of order ν
∞
X (−1)n x 2n+ν
Jν (x) =
n=0
n!Γ(1 + ν + n) 2
Yν is called a Bessel function of the

second kind of order ν
cos(νπ)Jν (x) − J−ν (x)
Yν (x) =
sin(νπ)
for ν ∈
/ Z. For integer order n
Yn = lim Yν (x).
ν→n

Legendre’s equation (n = 0, 1, 2, ...) Particular solutions are polynomials
(1 − x 2 )y ′′ − 2xy ′ + n(n + 1)y = 0 y = P0 (x) = 1,
y = P1 (x) = x,
1
y = P2 (x) = (3x 2 − 1),
2
............
1 dn n
y = Pn (x) = x2 − 1 .
2n n! dx n

Eigenvalues and Eigenfunctions
Let Ly = −y ′′ be the second order differential operator. The constant λ such that
Ly = λy , y (0) = 0, y (L) = 0 (27)
has non-trivial function y is said to be an eigenvalue of L. The non-trivial function

y corresponding to eigenvalue λ is an eigenfunction of L.
Example 12
Solve the eigenvalue problem
y ′′ + λy = 0, y (0) = 0, y (L) = 0.

Example 13
Solve the eigenvalue problem
y ′′ + λy = 0, y ′ (0) = 0, y ′ (L) = 0.

Sturm-Liouville Problem
Regular Sturm-Liouville Problem

Let p, q, r , and r ′ be real-valued functions continuous on an interval [a, b], and let
r (x) > 0 and p(x) > 0 for every x in the interval.
d
Solve: − [r (x)y ′ ] − q(x)y = λp(x)y , a < x < b,
| dx {z }
Ly
(28)
Subject to: A1 y (a) + B1 y ′ (a) = 0
A2 y (b) + B2 y ′ (b) = 0

Theorem 14 (Properties of the Regular Sturm-Liouville Problem)
1 There exist an infinite number of real eigenvalues that can be arranged in
increasing order λ1 < λ2 < λ3 < · · · < λn < · · · such that λn → ∞ as
n → ∞.
2 For each eigenvalue there is only one eigenfunction (except for nonzero con-
stant multiples).
3 Eigenfunctions corresponding to different eigenvalues are linearly independent.
4 The set of eigenfunctions corresponding to the set of eigenvalues is orthogonal
with respect to the weight function p(x) on the interval [a, b], i.e.,
Z b
ym (x)yn (x)p(x)dx = 0, ∀m ̸= n. (29)
a

Singular Sturm-Liouville Problem
d
Solve: − [r (x)y ′ ] − q(x)y = λp(x)y , a < x < b,
| dx {z }
Ly
(30)
Subject to: A1 y (a) + B1 y ′ (a) = 0
A2 y (b) + B2 y ′ (b) = 0
r (a) = 0 and a boundary condition is specified at x = b;

r (b) = 0 and a boundary condition is specified at x = a;
r (a) = r (b) = 0 and no boundary condition is specified at either x = a or at
x = b;
r (a) = r (b) and boundary conditions y (a) = y (b), y ′ (a) = y ′ (b).

3.6 Bessel and Legendre Series
P∞ 2n±ν
The series solution y = n=0 c2n x of the Bessel’s equation of order ν
x 2 y ′′ + xy ′ + (x 2 − ν 2 )y = 0 (31)
denoted by J±ν are so-called a Bessel function of the first kind of order ±ν
∞
X (−1)n x 2n±ν
J±ν (x) =
n=0
n!Γ(1 ± ν + n) 2
Since Jν and J−ν are linearly independent, the general solution to the
Bessel’s equation (31) is given by
y (x) = c1 Jν (x) + c2 J−ν (x)

Yν is called a Bessel function of the second kind of order ν
cos(νπ)Jν (x) − J−ν (x)
Yν (x) =
sin(νπ)
for ν ∈
/ Z is also a solution to Bessel’s equation (31) and linearly independent
to Jν (x). Thus another form of the general solution of the Bessel’s equation
(31) on (0, ∞) is
y (x) = c1 Jν (x) + c2 Yν (x).
For integer order n

Yn = lim Yν (x).
ν→n

Properties of Bessel functions:
J−m (x) = (−1)m Jm (x), Jm (−x) = (−1)m Jm (x);

(
0 if m > 0,
Jm (0) =
1 if m = 0.
lim Ym (x) = −∞
x→0+
Differential recurrence relations
d n d −n
[x Jn (x)] = x n Jn−1 (x), x Jn (x) = −x −n Jn+1 (x)

(32)
dx dx

Eigenvalue problem for Parametric Bessel Equation
Solve the eigenvalue problem for the parametric Bessel differential equation on the
interval (0, b)
x 2 y ′′ + xy ′ + α2 x 2 − n2 y = 0, n = 0, 1, 2, ...

(33)
The self-adjoint form of the equation is
n2 n2

d d
[xy ′ ] + α2 x − y =0 or − [xy ′ ] + y = α2 xy . (34)
dx x dx x
Since r (0) = 0 we only impose the boundary condition at b
A2 y (b) + B2 y ′ (b) = 0. (35)

1 The general solution of the parametric Bessel equation is
y (x) = c1 Jn (αx) + c2 Yn (αx).
2 Since r (0) = 0 and lim+ Yn (αx) = −∞, y (x) is bounded only if c2 = 0. By

x→0
the properties of singular Sturm-Liouville prolem, there exist an infinite
eigenvalues λi = αi2 such that the set {Jn (αi x)} , i = 1, 2, ... is orthogonal
with respect to the weight function p(x) = x on an interval [0, b] i.e.,
Z b
xJn (αi x)Jn (αj x)dx = 0, ∀i ̸= j. (36)
a
The αi and λi are then determined by the boundary condition at x = b
A2 Jn (αb) + B2 αJn′ (αb) = 0.
For any choice of A2 and B2 , not both zero, it is known that the equation has
an infinite number of roots xi = αi b which implies λi = αi2 = (xi /b)2 .

Fourier-Bessel series
The generalized Fourier series of a function f defined on the interval (0, b) in terms
of the orthogonal set {Jn (αi x), i = 1, 2, ...} is
∞
X
f (x) = ci Jn (αi x), (37)
i=1
where the Fourier coefficients

Rb b
xJn (αi x)f (x)dx
Z
2
ci = 0 2 , with ∥Jn (αi x)∥ = xJn2 (αi x)dx. (38)
∥Jn (αi x)∥ 0
Here αi are defined by the boundary condition at x = b
A2 Jn (αb) + B2 αJn′ (αb) = 0. (39)

Computing square norm of Jn (αi x)
If y = Jn (αx), then we know that
n2

d ′ 2
[xy ] + α x − y = 0. (40)
dx x
After we multiply by 2xy ′ , this equation can be written as
d d
[xy ′ ]2 + α2 x 2 − n2 [y ]2 = 0. (41)
dx dx
Integrating the last result by parts on [0, b] then gives
Z b
2α2 xy 2 dx = (42)
0
Z b
2
∥Jn (αi x)∥ = xJn2 (αi x)dx =
0
Dirichlet conditions (A2 = 1, B2 = 0): The equation
Jn (αb) = 0 (43)
Legendre Series
The nth -degree polynomial solutions Pn (x) of the Legendre equation
(1 − x 2 )y ′′ − 2xy ′ + n(n + 1)y = 0 (44)
are called Legendre polynomials.
Pn (−x) = (−1)n Pn (x)

Pn (1) = 1 and Pn (−1) = (−1)n
Pn (0) = 0 if n odd, and Pn′ (0) = 0 if n even.
Recurrence relation
(k + 1)Pk+1 (x) − (2k + 1)xPk (x) + kPk−1 (x) = 0, k = 1, 2, 3, ...
Rodrigues’ formula
1 dn 2
Pn (x) = (x − 1)n , n = 0, 1, 2, ...
2n n! dx n
Eigenvalue problem for Legendre Equation
Solve the eigenvalue problem for the parametric Bessel differential equation on the
interval (−1, 1)
(1 − x 2 )y ′′ − 2xy ′ + n (n + 1) y = 0, n = 0, 1, 2, ... (45)
The self-adjoint form of the Legendre equation is

d d
[(1 − x 2 )y ′ ] + n(n + 1)y = 0 or − [(1 − x 2 )y ′ ] = n(n + 1)y , (46)
dx dx
where r (x) = 1 − x 2 , λ = n(n + 1).

1 Legendre polynomials Pn (x) are only solutions of Legendre equation with
λ = n(n + 1) that are bounded on [−1, 1].
2 By the properties of singular Sturm-Liouville problem, the set of Legendre
polynomials {Pn (x)} , n = 1, 2, ... is orthogonal with respect to the weight
function p(x) = 1 on an interval [−1, 1] i.e.,
Z 1
Pm (x)Pn (x)dx = 0, ∀m ̸= n. (47)
−1

Fourier-Legendre series
The generalized Fourier series of a function f defined on the interval (−1, 1) in

terms of the orthogonal set {Pn (x), n = 1, 2, ...} is
∞
X
f (x) = cn Pn (x), (48)
n=1
where the Fourier coefficients

R1
Pn (x)f (x)dx
Z 1
2
cn = −1
2
2 , with ∥Pn (x)∥ = Pn2 (x)dx = . (49)
∥Pn (x)∥ −1 2n + 1


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Chapter 3.

Orthogonal Functions and

Faculty of Applied Sciences

August 28, 2023

Le Cong Nhan (Faculty of Applied Sciences HCMC University

3 Fourier Cosine and Sine Series

4 Complex Fourier Series

6 Bessel and Legendre Series

Le Cong Nhan (Faculty of Applied Sciences HCMC University

If (f1 , f2 ) = 0, then f1 and f2 are said to be orthogonal on an interval [a, b].

Le Cong Nhan (Faculty of Applied Sciences HCMC University

In addition, if ∥ϕn ∥ = 1 for n = 0, 1, 2, then {ϕn (x)} is said to be an orthonormal

Le Cong Nhan (Faculty of Applied Sciences HCMC University

f (x) = c0 ϕ0 (x) + c1 ϕ1 (x) + · · · + cn ϕn (x) + · · · ? (3)

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

The Fourier series of a function f defined on the interval (−p, p) is given by

where the coefficients an and bn are given by

Le Cong Nhan (Faculty of Applied Sciences HCMC University

At a point of discontinuity, the Fourier series converges to the average

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Figure: Even reflection Figure: Odd reflection Figure: Identity reflection

Le Cong Nhan (Faculty of Applied Sciences HCMC University

1 The cosine series of f on the interval (0, L) is

Figure: Even reflection

1 The sine series of f on the interval (0, L) is

Figure: Odd reflection

1 The Fourier series of f on the interval (0, L) is

Figure: Identity reflection

Le Cong Nhan (Faculty of Applied Sciences HCMC University

The complex Fourier series of functions f defined on an interval (−p, p) is given

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Figure: Periodic pulse

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Linear Equation General solutions

y ′′ + α2 y = 0, α>0 y = c1 cos αx + c2 sin αx

Cauchy-Euler equation General solutions, x > 0

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Jν is called a Bessel function of the

Yν is called a Bessel function of the

Le Cong Nhan (Faculty of Applied Sciences HCMC University

(1 − x 2 )y ′′ − 2xy ′ + n(n + 1)y = 0 y = P0 (x) = 1,

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Ly = λy , y (0) = 0, y (L) = 0 (27)

has non-trivial function y is said to be an eigenvalue of L. The non-trivial function

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Regular Sturm-Liouville Problem

Le Cong Nhan (Faculty of Applied Sciences HCMC University

Le Cong Nhan (Faculty of Applied Sciences HCMC University

r (a) = 0 and a boundary condition is specified at x = b;

Le Cong Nhan (Faculty of Applied Sciences HCMC University

y (x) = c1 Jν (x) + c2 J−ν (x)

Le Cong Nhan (Faculty of Applied Sciences HCMC University

For integer order n

Le Cong Nhan (Faculty of Applied Sciences HCMC University

J−m (x) = (−1)m Jm (x), Jm (−x) = (−1)m Jm (x);

Le Cong Nhan (Faculty of Applied Sciences HCMC University

The self-adjoint form of the equation is