diff --git a/_notes/fourier_series.md b/_notes/fourier_series.md new file mode 100644 index 0000000000000000000000000000000000000000..9e6a35ecd9ebc681c37d566c1e49f6b9346c9186 --- /dev/null +++ b/_notes/fourier_series.md @@ -0,0 +1,104 @@ +--- +title: Fourier Series +--- + +## Definition + +Let $$f: \mathbb{R} \rightarrow \mathbb{C}$$ be a reasonably well behaved $$L$$-periodic function +(i.e. $$f(x) = f(x + L)$$ for all $$x$$). Then $$f$$ can be expressed as an infinite series + +$$ +f(x) = \sum_{n \in \mathbb{Z}} A_n e^{2 \pi i n x / L} +$$ + +The values of the coefficients $$A_n$$ can be found using the orthogonality of basic exponential +sinusoids. For any $$m \in \mathbb{Z}$$, + +$$ +\begin{align*} +\int_{-L/2}^{L/2} f(x) e^{-2 \pi i m x / L} dx +&= \int_{-L/2}^{L/2} \sum_{n \in \mathbb{Z}} A_n e^{2 \pi i n x / L} e^{-2 \pi i m x / L} dx \\ +&= \sum_{n \in \mathbb{Z}} A_n \int_{-L/2}^{L/2} e^{2 \pi i (n - m) x / L} dx \\ +&= \sum_{n \in \mathbb{Z}} A_n L \delta_{nm} \\ +&= L A_m +\end{align*} +$$ + +where the second to last line uses [Kronecker delta](https://en.wikipedia.org/wiki/Kronecker_delta) +notation. Thus by the periodicity of $$f$$ and the exponential function + +$$ +\begin{align*} +A_n &= \frac{1}{L} \int_{-L/2}^{L/2} f(x) e^{-2 \pi i n x / L} dx \\ +&= \frac{1}{L} \int_{0}^{L} f(x) e^{-2 \pi i n x / L} dx +\end{align*} +$$ + + +## Relation to the Fourier Transform + +Now suppose we have a function $$f: \mathbb{R} \rightarrow \mathbb{C}$$, and we construct an +$$L$$-periodic version + +$$ +f_L(x) = \sum_{n \in \mathbb{Z}} f(x + nL) +$$ + +The coefficients of the Fourier Series of $$f_L$$ are + +$$ +\begin{align*} +L A_n &= \int_0^L \sum_{m \in \mathbb{Z}} f(x + mL) e^{-2 \pi i n x / L} dx \\ +&= \sum_{m \in \mathbb{Z}} \int_0^L f(x + mL) e^{-2 \pi i n x / L} dx \\ +&= \sum_{m \in \mathbb{Z}} \int_{mL}^{(m + 1)L} f(x) e^{-2 \pi i n (x - mL) / L} dx \\ +&= e^{-2 \pi i n m} \sum_{m \in \mathbb{Z}} \int_{mL}^{(m + 1)L} f(x) e^{-2 \pi i x n / L} dx \\ +&= \int_\mathbb{R} f(x) e^{-2 \pi i x n / L} dx \\ +&= \hat{f}(n/L) +\end{align*} +$$ + +so + +$$ +f_L(x) = \frac{1}{L} \sum_{n \in \mathbb{Z}} \hat{f}(n / L) e^{2 \pi i n x / L} +$$ + +Thus the periodic summation of $$f$$ is completely determined by discrete samples of $$\hat{f}$$. +This is remarkable in that an uncountable set of numbers (all the values taken by $$f_L$$ over one +period) can be determined by a countable one (the samples of $$\hat{f}$$). Even more incredible, if +$$f$$ has finite bandwidth then only a finite number of the samples will be nonzero. So the +uncountable set of numbers is determined by a finite one. + + +## Derivation of the Discrete Time Fourier Transform + +We can apply the result above to $$\hat{f}$$ as well. Recall that the Fourier transform of +$$\hat{f}$$ is $$f(-x)$$. Thus the periodic summation of the Fourier transform of $$f$$ is + +$$ +\begin{align*} +\hat{f}_L(x) &= \frac{1}{L} \sum_{n \in \mathbb{Z}} f(-n / L) e^{2 \pi i n x / L} \\ +&= \frac{1}{L} \sum_{n \in \mathbb{Z}} f(n / L) e^{-2 \pi i n x / L} +\end{align*} +$$ + +This is precisely the definition of the discrete time Fourier transform. + +If $$f$$ is time-limited, then we'll have only a finite number of nonzero samples. But then +$$\hat{f}$$ is necessarily not bandwidth limited, so the tails of $$\hat{f}$$ will overlap in the +periodic summation. On the other hand, if $$f$$ is bandwidth limited, for sufficiently large $$L$$ +we can recover $$\hat{f}$$. To do so perfectly requires an infinite number of samples, but in +practice reasonably bandwidth limited signals can still be recovered quite well from a finite number +of samples. + + +## Poisson Resummation + +By taking $$x = 0$$ we see that + +$$ +\sum_{n \in \mathbb{Z}} f(nL) = \frac{1}{L} \sum_{n \in \mathbb{Z}} \hat{f}(n / L) +$$ + +This is known as the +[Poisson summation formula](https://en.wikipedia.org/wiki/Poisson_summation_formula). diff --git a/_notes/fourier_transform.md b/_notes/fourier_transform.md index b6ac0dd08d3f0b2261a9c58bb7557b3f534a03d5..8f4b45244caee7ccffa4b4844bb9cd86191ca3b7 100644 --- a/_notes/fourier_transform.md +++ b/_notes/fourier_transform.md @@ -2,7 +2,7 @@ title: Fourier Transforms --- -To really make sense of chapter 2 I needed to review the properties of Fourier Transforms. These +To really make sense of chapter 2 I needed to review the properties of Fourier transforms. These notes are based on my prior knowledge and some helpful websites: - [Properties of Fourier Transform](http://fourier.eng.hmc.edu/e101/lectures/handout3/node2.html) @@ -177,7 +177,7 @@ for spectral power analysis). ## Transforms of Gaussians -A Fourier Transform that comes up frequently is that of a Gaussian. It can be calculated by +A Fourier transform that comes up frequently is that of a Gaussian. It can be calculated by completing a square. $$ @@ -214,5 +214,5 @@ $$ \end{align*} $$ -This depends on the variance, which is inverted by the Fourier Transform. So since the power is +This depends on the variance, which is inverted by the Fourier transform. So since the power is invariant, the normalization cannot in general be conserved.