Mathematical Entertainments

Michael Kleber and Ravi Vakil, Editors

Gaussian
Integral
Puzzle
HIROKAZU IWASAWA
This column is a place for those bits
of contagious mathematics that travel
from person to person in the
community, because they are so
elegant, surprising, or appealing that
one has an urge to pass them on.
Contributions are most welcome.
Please send all submissions to the
Mathematical Entertainments Editor,
Ravi Vakil, Stanford University,
Department of Mathematics, Bldg. 380,
Stanford, CA 94305-2125, USA
e-mail: vakil@math.stanford.edu
T
T
o evaluate a denite integral
is sometimes a nice puzzle.
Whether or not you agree with
this proposition at the moment, when
you want to succeed in evaluating
denite integrals, one very important
thing to recognize in advance is
which integrals cannot be evaluated
by the obvious methods. Otherwise,
trying a change of variable, an inte-
gration by parts and so on you could
take hours, perhaps in vain, trying to
evaluate even a sweet-faced denite
integral.
Is such a puzzling integral just a
troublemaker? Of course, sometimes
yes especially when you must hurry.
But while you are at leisure, playing
with such a gremlin may be fun. In
fact, at least for me, trying to nd a
nice solution for a challenging de-
nite integral is a very amusing puzzle.
For, in such integrals, some very
elegant solutions may be concealed,
and thus the solver sometimes can
enjoy some nice aha experiences.
Such a solver cannot even believe
Sudoku is more interesting than the
Denite Integral Puzzle, which was
introduced as a puzzle genre in my
presentation Tricky Solutions for
Integrals with Crazy Lazy Eight at
the Eighth Gathering for Gardner
(G4G8). Its task is:
Given a challenging denite integral
whose antiderivative is not an
elementary function, nd a (pre-
sumably ingenious) elementary
solution without Cauchys method.
I dont mean here that denite
integrals whose antiderivatives are
elementary functions cannot be puz-
zling. In fact, even if you have a
formula, say,
you wont be pleased to use it simply to
get
_
1
0
1
x
100
1
dx
p=100
sinp=100
;
which is in fact a direct result of a
useful formula (see Eq. (3) below).
And I admit that some denite
integrations with Cauchys method
are also nice items for puzzles (see
the section Cauchys Method
below).
Anyway, there are many nice
denite integrals you can enjoy as
puzzles. Among them, the Gaussian
integral, or probability integral, is a
pretty good example. It is the improper
integral of the Gaussian function
expx
2
over the entire real line.
While this integral is very important
both in theory and practice, its com-
mon knowledge that theres no
obvious way to show that
I
_
1
1
expx
2
dx

p
p
: 1
Can you show this very simply? Oh,
you already know a very elegant way
to solve it? Thats better. Then, why
dont you try to nd a better one than
the one you already know? For there
are, I believe, several very simple and
elegant solutions, some of which most
(if not all) of you have never seen
before.
For convenience, however, since
essentially the same equation in the
form
I
0

_
1
1
exp
1
2
x
2
dx

2p
p
2
is sometimes more useful than (1),
well say in what follows that
_
1
x
100
1
dx
1
100

50
r1
cos
2r 1p
50
log x
2
2xcos
2r 1p
100
1

_ _

1
50

50
r1
sin
2r 1p
50
arctan
cos2r 1p=100 x
sin2r 1p=100
_ _
;
38 THE MATHEMATICAL INTELLIGENCER 2009 Springer Science+Business Media, LLC
evaluating the Gaussian integral is
completed when either (1) or (2) is
shown.
Therefore the theme of this article is
to demonstrate several elegant ways to
show either of (1) or (2) and to discuss
what is the simplest way to evaluate the
Gaussian integral. In the meantime, Ill
show a bunch of specic tricks in inte-
gration. I hope youll enjoythemandget
interested in integral puzzles in general.
The Orthodox Way: Clever
Coordinate Transformation
Todays most orthodox way to evalu-
ate the Gaussian integral is a very
clever transformation to polar coordi-
nates. Indeed, multiplying I in (1) by
itself results in
I
2

_
1
1
expx
2
dx
_ _

_
1
1
expy
2
dy
_ _

_
1
1
_
1
1
expfx
2
y
2
gdx dy

_
2p
h0
_
1
r0
expr
2
r dh dr

_
2p
0
dh
_ _ _
1
0
expr
2
r dr
_ _
h
2p
0

1
2
expr
2

_ _
1
0
p:
From this we conclude that I

p
p
:
Thats it. Great! Can there be any
easier way? The answer looks like no
at rst. And that may be why almost
every textbook of calculus adopts this
method. But, actually, to understand
this technique you need know not only
how to effect the coordinate transfor-
mation, but also how to calculate the
Jacobian
J
ox; y
or; h

r;
where x rcos h; y r sinh: Thus
even a straight-A high-school senior
cant understand some of the above
equations unless he is a true math
enthusiast for his age. At least in this
sense, this method is not so simple. Is
there any way so simple that earnest
high-school students can understand it?
Quadrature in High-School
Straight-A high-school students can
calculate volumes in elementary cases.
Thus they understand, or at least they
think they understand, a quadrature
problem to calculate the volume of a
body which satises
0 \z \e
x
2
y
2

;
1\x \1; and
1\y \1:
On the one hand, as they are so smart,
they can recognize that the above set
of conditions is the same as
0 \x
2
y
2
\ lnz; and
0 \z \1:
Then they can calculate the volume
as
V
_
1
0
plnzdz
pz z lnz
1
0
p:
On the other hand, they can note
that
V
_
1
1
_
1
1
e
x
2
y
2

dx dy

_
1
1
e
x
2
dx
_ _ _
1
1
e
y
2
dy
_ _
I
2
;
where I is the Gaussian integral of (1).
Thus they can conclude that I

p
p
:
Well done!
I think this solution is rightly sim-
pler than the orthodox one in that you
dont need to have knowledge about
the Jacobian. But an acute observer
may say its not simple enough
because the students would get stuck
on the calculation of
lim
z!0
z lnz 0
in the rst part, as they probably even
dont know lHopitals rule. Surely that
makes sense. But, avoiding debating
here on whether our second method is
simple enough, lets move on to the
third one. For its so simple that every
step seems to be understood by the
students.
1
Magic Integrand
The clue to the third way is only to
evaluate the double integral
D
_
1
0
_
1
0
x expfx
2
y
2
1gdx dy
in two different orders. In fact, on the
one hand, we easily see
D
_
1
0
_
1
0
x expfx
2
y
2
1gdx
_ _
dy

_
1
0
1
2
1
y
2
1
dy
p
4
:
And on the other hand, we also nd
easily
D
_
1
0
_
1
0
x expfx
2
y
2
1gdy
_ _
dx

_
1
0
expt
2
dt
_ _

_
1
0
expx
2
dx
_ _
t xy

I
2
_ _
2

I
2
4
;
where I is the Gaussian integral
of (1). Then we get I

p
p
:
Thats it.
Like magic, isnt it? But how can I
realize that special integrand,
x expfx
2
y
2
1g;
at rst? Oh, please dont ask the
magician to give away the secret,
ladies and gentlemen. Thank you.
Anyway, every step above must
be simple enough, right? But perhaps
you need to suggest to the students,
at the last step of the rst part,
changing the variable from x to h
in which x = tan h. All in all, how-
ever, this method is supremely
simple.
Despite this, for long years before
and after I found this solution, I hadnt
seen it in any other place. Thats pos-
sibly mainly because I was lazy about
scouring the literature, but I can at least
say that this way is surprisingly not
popular in spite of its simplicity. This
surprise increases when we get to
know that this method can be tracked
back as early as P.S. Laplaces Theorie
1
In this section, I used e
-x
2
rather than exp(-x
2
) since high school students are more familiar with the former. But I wont care about this kind of thing any more in the
following sections.
2009 Springer Science+Business Media, LLC, Volume 31, Number 3, 2009 39
Analytiques des Probabilites, 1812.
2
Its
true that his original method itself was
not so simple. Partly because he eval-
uated the Gaussian integral in a
broader context, he used a widely
applicable, but apparently not at all
elementary, formula,
_
1
0
1
x
a
1
dx
p=a
sinp=a
a [0;
3
to calculate D equals
p
4
: But, anyway, it
seems to be a mystery that the above
double integral has been much less
popular than the one I introduced as
the orthodox one.
It is my guess that this method is
unpopular partly because the technique
of switching the order of integration
without showing a justication is dis-
liked by, among others, strict math
teachers who write or choose text-
books. Yes, its dangerous to change the
order of integration without care. But so
is a coordinate transformation, although
the reason is not quite the same.
To see the danger of changing the
order of integration, try to evaluate, for
example, the following integral in two
ways:
_
1
0
_
1
0
x
2
y
2
x
2
y
2

2
dx dy: 4
Youll get
p
4
and
p
4
:
Here is a dangerous coordinate
transformation:
_ p
2
h0
_
1
r0
r sinr
2
dh dr

_
1
0
_
1
0
sinx
2
y
2
dx dy

_
1
0
_
1
0
sinx
2
cosy
2

cosx
2
siny
2
dx dy

p
4
*
_
1
0
sinz
2
dz
_

_
1
0
cosz
2
dz

2p
p
4
; Fresnel integrals
_
The coordinate transformation here
looks, in a sense, very natural. But, in
fact, its not correct. For, to begin with,
_
1
0
rsinr
2
dr found in the rst line of
the equations is obviously not con-
vergent. For another example, how
about the following seemingly nice
transformation?:
_
1
0
_
1
0
x
2
y
2
x
2
y
2

2
dx dy

_

2
p
2
0
_
u
u
2uv
u
2
v
2

2
dv
_ _
du

_

2
p

2
p
2
_

2
p
u
u

2
p
2uv
u
2
v
2

2
dv
_ _
du
u
x y

2
p ; v
x y

2
p
_ _
0 0
_
Note that
2uv
u
2
v
2

2
is an odd function of v:
_
0:
Compare this result with the ones for
(4).
Inany case, whena multidimensional
integral is actually convergent, inter-
changing integration and transforming
coordinates are both safe. And we are
dealing with only this kind of integration
for the Gaussian integral here.
Gamma and Beta Trick
By the way, if we dont require ele-
mentariness for a method to be simple,
there are several other elegant ways,
especially when we note that, for I in
(1),
I 2
_
1
0
expx
2
dx
_
1
0
t

1
2
e
t
dt
C
1
2
_ _
;
where C(s) is the Gamma function.
Now, using the Beta function
B(p,q), we can write
I
2
C
1
2
_ _
C
1
2
_ _
B
1
2
;
1
2
_ _

_
1
0
x

1
2
1 x

1
2
dx:
5
This can be easily derived from the
well-known facts, Bp; q
CpCq
Cpq
and
C(1) = 1. Anyway, if we realize (5), we
can calculate
I
2

_
1
0
x

1
2
1x

1
2
dx:

_ p
2
0
1
sinhcosh
2sinhcoshdh
x sin
2
h: )dx 2sin h cos h dh

_ p
2
0
2 dh p:
Then I

p
p
:
The Formula
But if we may use a well-known but
apparently nonelementary formula, the
best is,
CsC1 s
p
sin ps
: 6
Then we at once see, for I in (1),
I
2
C
_
1
2
_
C
_
1
2
_

p
sinp=2
p:
) I

p
p
:
Period. Thats all! This must be the
simplest one, at least in terms of
brevity.
By the way, for us to evaluate the
Gaussian integral, (6) for 0 \s \1 is
enough. And, if we have the formula
(3), we can obtain (6) for 0 \s \1
elementarily as
CsC1 s

_
1
0
x
s1
e
x
dx
_ _ _
1
0
y
s
e
y
dy
_ _

_
1
0
_
1
0
1
x
x
y
_ _
s
e
xy
dx dy

_
1
0
_
1
0
e
u
1=s
v
1=s
1
du dv
_
u x y; v
x
y
_ _
s_

_
1
0
e
u
du
_ _ _
1
0
1=s
v
1=s
1
dv
_ _

_
1
0
1=s
v
1=s
1
dv

p
sin ps
; by3:
As a matter of fact, (3) is a pretty
useful formula when we evaluate some
2
For this kind of information, see Peter M. Lees webpage, Information on the History of the Normal Law (pdf le) (http://www.york.ac.uk/depts/
maths/histstat/normal_history.pdf). It gives helpful data on the rst appearance of each of the seven ways he gathered to evaluate the Gaussian integral, including
most of the methods in the present article.
40 THE MATHEMATICAL INTELLIGENCER
kinds of challenging denite integrals.
For instance, although the formula is
not essential, if we use it, a Fresnel
integral,
I
F

_
1
0
cosx
2
dx;
can be easily evaluated as follows.
3
On
the one hand,
D
_
1
0
_
1
0
e
y
cosx
2
ydx dy

_
1
0
_
1
0
e
y
cosx
2
ydy
_ _
dx

_
1
0
1
x
4
1
dx
p=4
sinp=4
by3

2
p
4
p:
On the other hand,
D
_
1
0
_
1
0
e
y
cosx
2
ydx
_ _
dy

_
1
0
_
1
0
e
y
cost
2
y

1
2
dt
_ _
dy
t
2
x
2
y

_
1
0
y

1
2
e
y
dy
_ _ _
1
0
cost
2
dt
_ _

p
p
I
F
*C
1
2
_ _

p
p
_ _
:
Then I
F

2p
p
4
:
And (3) will be indispensable when
we evaluate a more general integral,
I
Fa

_
1
0
cosx
a
dx a [1;
in a very similar way.
So I am, as a puzzlist, eager to nd a
short and elementary proof of (3) and
indeed have tried for years. But I
couldnt get one so far. Please tell me if
you know a solution which uses no
nonelementary techniques or knowl-
edge, including Cauchys method, facts
about innite products, etc. and which
is not as long as the one using the
Herglotz trick.
4
Thank you.
Cauchys Method
If we dont need to be concerned with
elementariness, we may try Cauchys
method. It was long supposed, how-
ever, that the Gaussian integral could
not be evaluated by Cauchys method,
its having been said, Cauchys theo-
rem cannot be employed to evaluate
all denite integrals; thus
_
1
0
e
x
2
dx
has not been evaluated except by
other methods
5
or quite simple def-
inite integrals exist which cannot be
evaluated by Cauchys method,
_
1
0
e
x
2
dx being a case in point.
6
This was wrong, however. There
are several ingenious contour integrals
which lead us to the value of the
Gaussian integral. Indeed, to nd one
by yourself would be a nice puzzle.
7
But here well go in another direc-
tion than contour integrals. We need
only Fouriers integral formula and the
identity theorem. We dene two reg-
ular functions as
f z
_
1
1
exp zvexp
_

v
2
2
_
dv;
and
gz I
0
expz
2
=2;
where I
0
is the Gaussian integral of (2).
Then, for u 2 R;
f u
_
1
1
exp uvexp
_

v
2
2
_
dv

_
1
1
exp
_

v u
2
2

u
2
2
_
dv
exp
u
2
2
_ __
1
1
exp
_

w
2
2
_
dw
w u v
I
0
exp
_
u
2
2
_
gu:
Therefore, f(z) = g(z) for z 2 C;
by the identity theorem. Now, apply-
ing Fouriers integral formula to
exp
x
2
2
;
exp
x
2
2

1
2p
_
1
1
expixy

_
1
1
expiytexp
t
2
2
dt
_ _
dy

1
2p
_
1
1
expixyf iydy

1
2p
_
1
1
expixyexp
y
2
2
I
0
dy
* f z gz

I
0
2p
f ix
I
02
2p
exp
x
2
2

same as above:
Therefore, 1
I
0
2
2p
and hence I
0

2p
p
:
We have looked at different simple
ways to evaluate the Gaussian integral.
Which way do you think is the sim-
plest? To my eyes, the simplest one is
the one which can be answered
most briey. So imagine that there is an
international collect call from a very
intelligent guy who is without Internet
connection or any textbooks, asking
how to evaluate the Gaussian integral.
Then what will we answer? Well,
what I might say is,
Evaluate
_
1
0
_
1
0
x expfx
2
y
2
1gdx dy
in two different orders. Period.
17-45 Mominokidai Aoba-ku
Yokohama, Japan
e-mail: iwahiro@a02.itscom.net
3
Both iterated integrations in the following are actually valid and have the same value although thats not obvious at all. For this kind of justication, a useful theorem is
found in Paul Loya, Dirichlet and Fresnel Integrals via Iterated Integration, Mathematics Magazine, Vol. 78, No. 1, 2005, pp. 6367.
4
See, e.g., Martin Aigner and Gu nter M. Ziegler, Proofs from THE BOOK, 3rd ed., Springer, Berlin 2004, ch. 20.
5
G.N. Watson, Complex Integration and Cauchys Theorem, Hafner Publishing, New York 1914, p. 79.
6
E.T. Copson, An Introduction to the Theory of Functions of a Complex Variable, Clarendon Press, Oxford 1935, p. 125.
7
When you give up (Im sorry), you can nd a bunch of solutions in Dragoslav S. Mitrinovic and Jovan D. Kec kic , The Cauchy Method of Residues, D. Reidel Publishing
Company, Dordrecht 1984.
2009 Springer Science+Business Media, LLC, Volume 31, Number 3, 2009 41