Linear Algebra and Its Applications, Exercise 3.4.22

Exercise 3.4.22. Given an arbitrary function y find the coefficient b_1 that minimizes the quantity

\|b_1\sin x - y\|^2 = \int_0^{2\pi} (b_1\sin x - y(x))^2 \;\mathrm{d}x

(Use the method of setting the derivative to zero.) How does this value of b_1 compare with the Fourier coefficient b_1? What is b_1 if y(x) = \cos x?

Answer: We are looking for a value of b_1 that minimizes the expression on the right, so we need to differentiate with respect to b_1. Expanding the right-hand side of the equation above, we have

\int_0^{2\pi} (b_1\sin x - y(x))^2 \;\mathrm{d}x = \int_0^{2\pi} [b_1^2\sin^2 x - 2b_1y(x)\sin x +  y(x)^2] \;\mathrm{d}x

= \int_0^{2\pi} b_1^2\sin^2 x \;\mathrm{d}x - 2 \int_0^{2\pi} b_1y(x)\sin x \;\mathrm{d}x + \int_0^{2\pi} y(x)^2 \;\mathrm{d}x

Since b_1 is not dependent on x we can pull it out of the integral, so that

\int_0^{2\pi} (b_1\sin x - y(x))^2 \;\mathrm{d}x = b_1^2 \int_0^{2\pi} \sin^2 x \;\mathrm{d}x - 2b_1 \int_0^{2\pi} y(x) \sin x \;\mathrm{d}x + \int_0^{2\pi} y(x)^2 \;\mathrm{d}x

Differentiating with respect to b_1 we have

\frac{\mathrm{d}}{\mathrm{d}b_1} \int_0^{2\pi} (b_1\sin x - y(x))^2 \;\mathrm{d}x

\frac{\mathrm{d}}{\mathrm{d}b_1} \left[ b_1^2 \int_0^{2\pi} \sin^2 x \;\mathrm{d}x - 2b_1 \int_0^{2\pi} y(x) \sin x \;\mathrm{d}x + \int_0^{2\pi} y(x)^2 \;\mathrm{d}x \right]

= 2b_1 \int_0^{2\pi} \sin^2 x \;\mathrm{d}x - 2 \int_0^{2\pi} y(x) \sin x \;\mathrm{d}x

Equating the derivative to zero gives us

2b_1 \int_0^{2\pi} \sin^2 x \;\mathrm{d}x = 2 \int_0^{2\pi} y(x) \sin x \;\mathrm{d}x

or

b_1 = \left( \int_0^{2\pi} y(x) \sin x \;\mathrm{d}x \right) / \left( \int_0^{2\pi} \sin^2 x \;\mathrm{d}x \right)

Note that this is identical to the expression for the Fourier coefficient b_1 on page 178; the numerator is the dot product of y(x) with \sin x and the denominator is the dot product of \sin x with itself.

If y(x) = \cos x then the numerator of b_1 becomes

\int_0^{2\pi} \cos x \sin x \;\mathrm{d}x = 0

since \cos x and \sin x are orthogonal, and we therefore have b_1 = 0.

NOTE: This continues a series of posts containing worked out exercises from the (out of print) book Linear Algebra and Its Applications, Third Edition by Gilbert Strang.

If you find these posts useful I encourage you to also check out the more current Linear Algebra and Its Applications, Fourth Edition, Dr Strang’s introductory textbook Introduction to Linear Algebra, Fifth Edition and the accompanying free online course, and Dr Strang’s other books.

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