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This document by tim pilachowski explains improper integrals, their forms, evaluation using limits, and convergence or divergence. Examples include integrals with unbounded boundaries and unbounded integrands. The comparison property is also discussed.
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notes by Tim Pilachowski
The definite integrals encountered so far have been proper , i.e. they have been evaluated over a finite interval on which the function is continuous. Improper integrals take one of two forms: a) the boundaries of integration are unbounded (i.e. they go to ∞, – ∞, or both), or b) the integrand is unbounded on the interval of integration.
Think about the limits we’ve done: some go to a specific finite value, others go to infinity, still others do not exist. We will, in fact, use limits to evaluate improper integrals. The basic method is to rewrite the integral as a
→∞
b a (^) b a f x dx lim f x dx , with associated versions for integrals involving –∞ and denominators
approaching 0.
Improper integrals that have a numeric value are said to be convergent. The rest are said to be divergent.
∞ (^1) x^2
dx converge? Answer : converges to 1
∞ (^0) x^2
dx converge? Answer : diverges
∞ − ∞ x^2 + 1
dx converge? Answer : converges to π
∞ (^1) x
dx converge? Answer : diverges
Comparison did not help us in Example C, but sometimes it can. The Comparison Property (Theorem 8.3) states
∞ a
∞ a
∞ a
∞ a
g x dx.
∞ (^0) x^3 + 1
dx converge? Answer : converges to a value less than π 2
∞ (^1) x
dx converge? Answer : diverges
∞ 1 cos x dx converge? Answer : diverges
One more thing: the text discusses the normal probability distribution —a very useful tool in statistical analysis. You should read through this portion of the book, but are not required to memorize the formulas for this function.