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On expanding a function into raw moment series (i.e. expansion based on raw moment matching)

Andrej Liptaj April 20, 2018

Abstract

I focus in this text on the construction of functions f j with the delta property C i (f j ) = δ i,j , where C i are operators which associate to a function its i -th raw moment. A formal method for their construction is found, however results are divergent, from what a non-existence of such functions is conjectured. This also prevents an elegant series expansion with order-by-order moment matching. For a finite interval some partial results are presented: a method of expansion into raw moment series for finite number of moments and a “non-delta” method based on computing Legendre-expansion coefficients from moments (an already known method [1]). As by-product some coefficients formulas are found: coeffi- cients for expanding a Hermite function into the Taylor series and coefficients for expanding into the Taylor series an element of a Fourier series (i.e. common formula for sine and cosine) thus formally merging the two (sine and cosine) Fourier sub-series into one.

1 Introduction

An approximation is often based on matching an infinite set of numbers {c i } which characterizes the function to be expanded (I will denote it g ) by some different, well chosen function form. Let {C i } be a set of functionals

c i = C i (g) .

If C i is linear then the most efficient way of constructing an expansion is:

Find a set of functions {f j } having the delta property with respect to {C i }

δ i,j = C i (f j )

Construct the approximation A g as sum

A g = c i f i C i (g) f i .

i

i

The approximation A g has the same characterization as g :

C i (A g ) =

C i

j

c j f j

c j C i (f j )

j

c j δ i,j

j

c i

=

=

=

= C i (g)

Institute of Physics, Bratislava, Slovak Academy of Sciences, andrej.liptaj@savba.sk

I am willing to publish any of my ideas presented here in a journal, if someone (an editor) judges them interesting enough. Journals in the

Current Contents ” database are strongly preferred.

1

In

this text the characteristic numbers are raw moments

c n (g) m n (g)

a

b

x n g (x) dx.

It

)

which is too loose for statistics. A statistical probability needs to be always positive and this is not guaranteed for g . Therefore the link with statistics in this text might be limited.

Here a notice should be made: in this text g can be an arbitrary function with appropriate properties (integrable, etc

seems this is an interesting and active field of mathematics with many people involved in the so-called “moment problem”.

2 Orthonormal function approach

2.1 Interval (-1,1) and finite intervals

A finite interval in the moment computation can be seen as equivalent to a moment computed over the whole real axis

for a function which is non-zero only on some limited interval. Then the recipe for constructing functions with the delta property is as follows. Starting with

a

b

x n f m (x) dx = δ n,m

one expands both, x n and f m (x) into series of (some) orthonormal functions {P k } (in the L 2 metrics).

b

δ n,m =

=

a

[

k=0 a n,k P k (x) ][

l=0

b m,l P l (x) ] dx

a n,k b m,l

a

b

P k (x) P l (x) dx

k=0 l=0

=

=

∑ ∑

k=0 l=0

a n,k b m,l δ k,l

a n,k b m,k

k=0

(1)

What does the last line mean? In the matrix notation it can be rewritten as

1 = a.b T

or, in other words, if {a k } are the coefficients which express how x n is built from P k (x) , then the coefficients {b n } are their inverse (up to a transpose), i.e. they encode how P k (x) is expanded into x n . This is usually a know information for many common cases, it is the power expansion of the orthonormal system {P k }. The approximation of g can be written as

with

where w l,n are such that

g (x) =

n=0

m

n f n

f n =

w l,n P l (x)

l=0

P n (x) =

w n,k x k

k=0

One can notice an interesting property which I would call “fractal composition”: the same coefficients (with exchanged indices) are used twice in the summation

∞ ∞

f n =

l=0

w

l,n

k=0

w l,k x k

∑ ∑
=

l=0 k=0

w l,n w l,k x k

2

Now the bad news: it seems such summations do not converge.

2.2 Using Legendre polynomials

The best known orthonormal system on the interval (1, 1) is the system of normalized Legendre polynomials

where P n are Legendre polynomials

with

L n (x) = 2n + 1 P n (x)

2

P n (x) =

n

k=0

q n,k x k

q n,k = 2 n ( n

k

)( n+k1

2

n

) .

(2)

Summation in (2) implies that also the “inverse” summation in the first term of (1) is finite. The coefficients w n,k take the form

w n,k = 2n + 1

2

2 n ( n

k

)( n+k1

2

n

)

.

One might construct functions with the delta property f n progressively, by defining the number of terms in the series

f

N

n =

N

k=0

w k,n L k (x) .

It might be easy to show (presumably at x = 1 , where the value of all Legendre polynomials is 1) that the limit N → ∞

does not exist, the function values tend to infinity (in many points). The “small good news” is that f property for m N , i.e.

N keeps the delta

n

1

1

x m f

N (x) dx = δ n,m for m N.

n

10

All f

n

functions are shown in Fig. (1). The behavior of the f

2

N

2

) × ln ( 1 + f

N

2

N functions with increasing N is shown in a quasi-logarithmic

N (x) gain more and more variations as N increases and

plot sig(f

therefore one may assume that even a shape-limit for these functions does not exist.

) in Fig. (2). It seems the functions f

n

2.3 Moment expansion in situation where order of approximation is known in advance

If one desires to match N raw moments {m i }

Construct functions f

n

N1

where

and

N1

i=0

1

of a function g , m i = 1 x i g (x) dx , the recipe is as follows:

N1

f n

=

N1

w k,n L k (x) ,

k=0

w k,n = 2k + 1

2

2 k (

n )( k+n1

k

2

k

)

L k (x) =

=

m=0

w k,m x m

2k + 1

2

P k (x)

with P k (x) being the Legendre polynomials.

Construct the approximation A g (x)

A

N1

g

(x) =

N1

j=0

m j f

j

N1

3

(3)

Figure 1: Plots of the f n 10 functions, n = 0 , , 10
Figure 1: Plots of the f n 10 functions, n = 0 , , 10
Figure 1: Plots of the f n 10 functions, n = 0 , , 10
Figure 1: Plots of the f n 10 functions, n = 0 , , 10

Figure 1: Plots of the f

n

10 functions, n = 0,

, 10.

Figure 1: Plots of the f n 10 functions, n = 0 , , 10 .

Figure 2:

sig(f

Behavior of the functions f , f , f

2

2

2

N

)

.

2

5

10

N

2

) ln ( 1 + f

2

and f

20 shown in a quasi-logarithmic plot. Lines represent

2

4

Figure 3: Functions √ x , exp ( x ) , sin ( x )
Figure 3: Functions √ x , exp ( x ) , sin ( x )
Figure 3: Functions √ x , exp ( x ) , sin ( x )
Figure 3: Functions √ x , exp ( x ) , sin ( x )

Figure 3: Functions x , exp (x) , sin (x) and ln (x + 2) approximated by moment and Taylor series with 11 terms.

3

Approximations of four functions 1 x , exp (x) , sin (x) and ln (x + 2) with 11 moments matched, together with Taylor series of the identical length (value and 10 derivatives matched) are shown in Fig. (3). For any finite polynomial both, moment expansion (based on Legendre polynomials) and Taylor series, give an exact approximation. Therefore I omit the

x 2 function which I usually include in my other texts and replace it with x . Graphs are shown on a grater interval than (1, 1) , it is assumed that for many functions the approximation may hold also in some neighborhood of this interval. The method is integral-based and therefore there are hopes for convergence also in cases of non-analytic functions (e.g.

3

3

3

x ).

2.4 Non-delta approach

Numerical results suggest that for an arbitrary high (but fixed) N a valid approximation A

common functions. It seems the “infinite” functions f n f could define some finite linear combinations of these functions

can be constructed for many

can be combined so as to give finite results. Maybe one

N

g

n

F n =

u

c n,u f u

1 In my texts I usually chose ln (x + 1) , which is however inappropriate in the current settings: all higher moments could be computed but not the zero-order one.

5

and use those in expansion. Clearly, functions F n loose the delta property

C i (F n ) = C i (

u

c n,u f u )

=

=

c n,u C i (f u )

c n,u δ i,u

u

u

=

=

c n,i

i -th moment of F n

Question of moment matching arises. What is the i -th moment of a series of F n functions?

C i (

n=0 λ n F n ) =

=

n=0

λ n C i (F n )

λ n c n,i

n=0

One wishes to match this moment to a fixed moment m i given in advance

m i =

n=0

c n,i λ n .

This should be seen as a condition on λ n , coefficients c n,i are interpreted as fixed. In matrix notation

so

Let me summarize the recipe:

m = c T λ

λ = ( c 1 ) T m.

One has functions F n defined as linear combinations of (infinite) functions f u via mixing matrix c n,u .

One has moments m i of a function g to be approximated.

One computes coefficients λ n as

λ n =

∑ ( c 1 ) i,n m i

i=0

The moment expansion of g can then be written as

A g (x) =

n=0

λ n F n ,

(4)

where one needs to keep in mind that this approximation is not “order-by-order” but holds in the limit of large number of terms.

2.5 Example of a non-delta approach

A clever person might invent its own, original version of the mixing c n,u . I will try the most obvious one where F n functions are scaled Legendre polynomials. One has

or, in the matrix language

f n =

k=0

w k,n L k (x)

f = w T L,

6

where the coefficient w are given by (3). So

or

leading to one concrete realization of the mixing

Let me recall the computation of λ

L = ( w 1 ) T f

L n =

w

1

u,n f u

u=0

 

1

c n,u w

u,n

λ n =

=

∑ ( c 1 ) i,n m i

w n,i m i

i=0

i=0

This is probably not a very surprising result: we are in the standard “Legendre expansion”, with moments related to the expansion coefficients in a straightforward way as shown by the following computation

1

a n = 1 g (x) L n (x) dx

1

= 1 dx g (x)

i

w n,i x i

= w n,i

i

1

1 g (x) x i dx

= w n,i m i

i

Well, a different choice of the mixing c n,u is still an open possibility. The important question for using this approach in analytic formulas for moment expansion is: Am I able to compute (analytically) the sum i w n,i m i ? This kind of expansion is already know, see [1].

2.6 Using Fourier series

I was maybe wrong claiming the Legendre polynomials as being the most famous orthonormal system on (1, 1) . It might actually be the system of trigonometric functions as appearing in the Fourier series

1

2 ,

sin (nπx) , cos (nπx) , n = 1, 2, 3,

The “problem” with this system is that it is usually written as two series, sine and cosine. To get the knowledge of the w k,n coefficients one needs to have a general expression giving the dependence of the k -th function on x m . With some work one can succeed and merge the two series into one:

t k (x) =

1

2

for

sin ( k+1 πx ) for

for

cos ( k πx )

2

2

k = 0

1, 3, 5,

k = 2, 4, 6,

k

=

.

Here is the general power expansion for t k :

where

w k,n =

t k (x) =

n=0

w k,n x n ,

1

2 δ k,n

    Re [ (

1

2 +i

2 ) 2n+(1) k 1 × ( π k+1

1

2

) n

n!

for k = 0

] for k > 0

7

(5)

with ⌊ ⌋ denoting the floor function. The “general theory” tells us that we should build the functions f

n

N as

N

f

n

(x) =

N

k=0

w k,n t k (x) .

Numerical computations lead to a deception: functions f

N does not seem to have the delta property for any fixed N (and

n

m ), neither seem to approach this property with increasing N . For some reason the construction of “delta” functions fails,

presumably it is associated with some inappropriate order changing of integral and infinite summation which appears in formulas following the expression (1). Momentum matching approximation based on the Fourier series seems to be an impasse. The non-delta approach for Fourier series follows from

1

a k = 1 g (x) t k (x)

1

= 1 g (x)

=

n=0

n=0 w k,n

1

w k,n x n

1 g (x) x n


=

n=0

w k,n m n

with w k,n given by (5). This approach also fails (numerical observation).

2.7 Finite interval (a, b)

On a general interval (a, b) one needs to scale everything properly. System of orthonormal functions on such interval is written as

O

(a,b)

n

(x) =

b a O n ( b a

2

2

x a + b b a

) ,

where {O n } represents an orthonormal system on (1, 1) . One needs to determine the coefficients w computation gives

O

(a,b)

n

(x) =

=

=

=

b a O n ( b a

2

2

x a + b b a

)

2

b

a

2

b

a

k=0 w n,k (

a + b b a x + a b

2

)

k

k=0

k

w n,k

j=0

( )(

k

j

a ) kj ( a + b

2

b

a b ) j

k j = q,

j = k q

x kj

2

b a

k=0

k

q=0 w n,k (

k q )( b a ) q ( a + b

k

2

a

b ) kq

x

8

q

(a,b)

n,q

. A brute-force

If I assume the infinite sum can be re-arranged 2 , then

O

(a,b)

n

(x) =

2

b a

2 b − a

∑ ∑

q=0 k=q

w n,k (

k

k

q )( b a ) q ( a + b

2

b ) kq

a

x q

= k q )( b a ) q+1 ( a + b

q=0

k=q w n,k (

(a,b)

n,q

= x q

w

k

2

b a ) kq   x q

q=0

So one has

w

(a,b)

n,q

=

w n,k (

k=q

k q )( b a ) q+1 ( a a + b

k

2

b ) kq

I did no numerical computation for a general interval (a, b) , I have no numerical results supporting or dismissing the validity of the last formula.

With a system of orthonormal functions and with coefficients w case.

, one can proceed in a way identical to the (1, 1)

(a,b)

n,q

2.8 Infinite interval (−∞, ) : unsuccessful attempt

One well know system of orthonormal function on the interval (−∞, ) are Hermite functions

where H n are Hermite polynomials

ψ n (x) = ( 2 n n! π )

1

2

2

e x

2

H n (x) ,

H n = (1) n e x 2 d n

dx n e x 2 .

The tricky thing is to find the coefficients w n,k appearing in power expansion of the Hermite functions

∑ ∞ ψ n (x) = w n,k x k . k=0 It is a
ψ n (x) =
w n,k x k .
k=0
It is a technical task and the result is
( 2 n n! √ π ) − 1 2 K n,k ⌋) !!
( 2 ⌊ k
w n,k =
2
k− ⌊ k
(−1) ⌊ j− k
2
2
K n,k =
ω k,j h n,2 ( j+ ⌊ k
⌋) −k
2
j=k−2 ⌊ k
2
( 2 ⌊ k
⌋) !!
2
=
⌋)] !!
ω k,j
[ 2 ( k − j − ⌊ k
2
for k > n
= { 0
h n,k
H n,k else
if n and k have a different parity
H n,k =
 0
n!(−1) (n−k) 2 k
2
if n and k have the same parity
k! ( n−k
) !
2

(6)

Now one can proceed mechanically, functions with the delta property should be built as

f k (x) =

n=0

w n,k ψ n .

2 In an infinite triangle with elements indexed by k, q , q < k rows were summed. Now summing the same triangle by columns.

9

Numerical computation show that this construction does not work. The cut-off functions f

delta property and seem not to approach the delta property with increasing N . I also tested the “non-delta” approach on the (−∞, ) interval using the standard normal distribution 3

N (x) seem not to exhibit any

k

g (x) =

1 − x 2 2 . √ 2π e
1 − x 2
2
.
√ 2π e

The method is identical to the non-delta approach on a finite interval (4) where I chose ψ n as functions in the approximation series

Coefficients λ n are given by

A g (x) =

n=0

λ n ψ n .

λ n =

i=0

w n,i m i ,

with m i moments to be matched and w n,i given by (6). Attempt leads to a failure: approximation seems to diverge.

3 Conclusion, Summary

Ideas and results presented in this text are rather disappointing because it seems that functions with the delta property (with respect to the moment expansion) cannot be found. Some practical recipes are proposed for finite interval: Given a sequence of numbers {m i } (interpreted as moments) one can build approximation in two ways:

One fixes the number of moments to match to a finite number {m i } i<N , then constructs cut-off functions with the delta property and builds the series as described in section (2.3).

One computes (if clever and lucky) Legendre-expansion coefficients from moments and performs standard expansion into the orthogonal basis of the Legendre polynomials, see sections (2.4,2.5).

Besides, I constructed two possibly interesting coefficients formulas (5) and (6) which seem not to be common in the literature. The first one allows to formally merge sine and cosine series of a Fourier series into one series, the second one represents the Taylor expansion of the Hermite functions.

References

[1] G. Talenti, “Recovering a function from a finite number of moments”, Inverse Problems 3(3), (1987) 501.

3 One of rare common functions with all moments defined and easily computable on the whole real axis.

10