Gaussian integral


The Gaussian integral, also known as the Euler–Poisson integral, is the integral of the Gaussian function over the entire real line. Named after the German mathematician Carl Friedrich Gauss, the integral is
Abraham de Moivre originally discovered this type of integral in 1733, while Gauss published the precise integral in 1809. The integral has a wide range of applications. For example, with a slight change of variables it is used to compute the normalizing constant of the normal distribution. The same integral with finite limits is closely related to both the error function and the cumulative distribution function of the normal distribution. In physics this type of integral appears frequently, for example, in quantum mechanics, to find the probability density of the ground state of the harmonic oscillator. This integral is also used in the path integral formulation, to find the propagator of the harmonic oscillator, and in statistical mechanics, to find its partition function.
Although no elementary function exists for the error function, as can be proven by the Risch algorithm, the Gaussian integral can be solved analytically through the methods of multivariable calculus. That is, there is no elementary indefinite integral for
but the definite integral
can be evaluated. The definite integral of an arbitrary Gaussian function is

Computation

By polar coordinates

A standard way to compute the Gaussian integral, the idea of which goes back to Poisson, is to make use of the property that:
Consider the function on the plane, and compute its integral two ways:
  1. on the one hand, by double integration in the Cartesian coordinate system, its integral is a square:
  2. :
  3. on the other hand, by shell integration, its integral is computed to be
Comparing these two computations yields the integral, though one should take care about the improper integrals involved.
where the factor of r is the Jacobian determinant which appears because of the transform to polar coordinates, and the substitution involves taking s = −r2, so ds = −2r dr.
Combining these yields
so

Complete proof

To justify the improper double integrals and equating the two expressions, we begin with an approximating function:
If the integral
were absolutely convergent we would have that its Cauchy principal value, that is, the limit
would coincide with
To see that this is the case, consider that
so we can compute
by just taking the limit
Taking the square of yields
Using Fubini's theorem, the above double integral can be seen as an area integral
taken over a square with vertices on the xy-plane.
Since the exponential function is greater than 0 for all real numbers, it then follows that the integral taken over the square's incircle must be less than, and similarly the integral taken over the square's circumcircle must be greater than. The integrals over the two disks can easily be computed by switching from cartesian coordinates to polar coordinates:
Integrating,
By the squeeze theorem, this gives the Gaussian integral

By Cartesian coordinates

A different technique, which goes back to Laplace, is the following. Let
Since the limits on s as y → ±∞ depend on the sign of x, it simplifies the calculation to use the fact that e−x2 is an even function, and, therefore, the integral over all real numbers is just twice the integral from zero to infinity. That is,
Thus, over the range of integration, x ≥ 0, and the variables y and s have the same limits. This yields:
Therefore,, as expected.

Relation to the gamma function

The integrand is an even function,
Thus, after the change of variable, this turns into the Euler integral
where is the gamma function. This shows why the factorial of a half-integer is a rational multiple of. More generally,
which can be obtained by substituting in the integrand of the gamma function to get .

Generalizations

The integral of a Gaussian function

The integral of an arbitrary Gaussian function is
An alternative form is
This form is useful for calculating expectations of some continuous probability distributions related to the normal distribution, such as the log-normal distribution, for example.

''n''-dimensional and functional generalization

Suppose A is a symmetric positive-definite precision matrix, which is the matrix inverse of the covariance matrix. Then,
where the integral is understood to be over Rn. This fact is applied in the study of the multivariate normal distribution.
Also,
where σ is a permutation of and the extra factor on the right-hand side is the sum over all combinatorial pairings of of N copies of A−1.
Alternatively,
for some analytic function f, provided it satisfies some appropriate bounds on its growth and some other technical criteria. The exponential over a differential operator is understood as a power series.
While functional integrals have no rigorous definition, we can define a Gaussian functional integral in analogy to the finite-dimensional case. There is still the problem, though, that is infinite and also, the functional determinant would also be infinite in general. This can be taken care of if we only consider ratios:
In the DeWitt notation, the equation looks identical to the finite-dimensional case.

''n''-dimensional with linear term

If A is again a symmetric positive-definite matrix, then

Integrals of similar form

where is a positive integer and denotes the double factorial.
An easy way to derive these is by differentiating under the integral sign.
One could also integrate by parts and find a recurrence relation to solve this.

Higher-order polynomials

Applying a linear change of basis shows that the integral of the exponential of a homogeneous polynomial in n variables may depend only on SL-invariants of the polynomial. One such invariant is the discriminant,
zeros of which mark the singularities of the integral. However, the integral may also depend on other invariants.
Exponentials of other even polynomials can numerically be solved using series. These may be interpreted as formal calculations when there is no convergence. For example, the solution to the integral of the exponential of a quartic polynomial is
The n + p = 0 mod 2 requirement is because the integral from −∞ to 0 contributes a factor of n+p/2 to each term, while the integral from 0 to +∞ contributes a factor of 1/2 to each term. These integrals turn up in subjects such as quantum field theory.

Citations