Movatterモバイル変換


[0]ホーム

URL:


Jump to content
WikipediaThe Free Encyclopedia
Search

Two-sided Laplace transform

From Wikipedia, the free encyclopedia
Mathematical operation
This article includes a list ofgeneral references, butit lacks sufficient correspondinginline citations. Please help toimprove this article byintroducing more precise citations.(September 2015) (Learn how and when to remove this message)

Inmathematics, thetwo-sided Laplace transform orbilateral Laplace transform is anintegral transform equivalent toprobability'smoment-generating function. Two-sided Laplace transforms are closely related to theFourier transform, theMellin transform, theZ-transform and the ordinary or one-sidedLaplace transform. Iff(t){\displaystyle f(t)} is a real- or complex-valued function of the real variablet{\displaystyle t} defined for all real numbers, then the two-sided Laplace transform is defined by the integral

B{f}(s)=F(s)=estf(t)dt.{\displaystyle {\mathcal {B}}\{f\}(s)=F(s)=\int _{-\infty }^{\infty }e^{-st}f(t)\,dt.}

The integral is most commonly understood as animproper integral, which convergesif and only if both integrals

0estf(t)dt,0estf(t)dt{\displaystyle \int _{0}^{\infty }e^{-st}f(t)\,dt,\quad \int _{-\infty }^{0}e^{-st}f(t)\,dt}

exist. There seems to be no generally accepted notation for the two-sided transform; theB{\displaystyle {\mathcal {B}}} used here recalls "bilateral". The two-sided transformused by some authors is

T{f}(s)=sB{f}(s)=sF(s)=sestf(t)dt.{\displaystyle {\mathcal {T}}\{f\}(s)=s{\mathcal {B}}\{f\}(s)=sF(s)=s\int _{-\infty }^{\infty }e^{-st}f(t)\,dt.}

In pure mathematics the argumentt{\displaystyle t} can be any variable, and Laplace transforms are used to study howdifferential operators transform the function.

Inscience andengineering applications, the argumentt{\displaystyle t} often represents time (in seconds), and the functionf(t){\displaystyle f(t)} often represents asignal or waveform that varies with time. In these cases, the signals are transformed byfilters, that work like a mathematical operator, but with a restriction. They have to be causal, which means that the output at a given timet{\displaystyle t} cannot depend on an input that occurs at later timet{\displaystyle t'}.In population ecology, the argumentt{\displaystyle t} often represents spatial displacement in a dispersal kernel.

When working with functions of time,f(t){\displaystyle f(t)} is called thetime domain representation of the signal, whileF(s){\displaystyle F(s)} is called thes-domain (orLaplace domain) representation. The inverse transformation then represents asynthesis of the signal as the sum of its frequency components taken over all frequencies, whereas the forward transformation represents theanalysis of the signal into its frequency components.

Relationship to the Fourier transform

[edit]

TheFourier transform can be defined in terms of the two-sided Laplace transform:

F{f(t)}=F(s=iω)=F(ω).{\displaystyle {\mathcal {F}}\{f(t)\}=F(s=i\omega )=F(\omega ).}

Note that definitions of the Fourier transform differ, and in particular

F{f(t)}=F(s=iω)=12πB{f(t)}(s){\displaystyle {\mathcal {F}}\{f(t)\}=F(s=i\omega )={\frac {1}{\sqrt {2\pi }}}{\mathcal {B}}\{f(t)\}(s)}

is often used instead. In terms of the Fourier transform, we may also obtain the two-sided Laplace transform, as

B{f(t)}(s)=F{f(t)}(is).{\displaystyle {\mathcal {B}}\{f(t)\}(s)={\mathcal {F}}\{f(t)\}(-is).}

The Fourier transform is normally defined so that it exists for real values; the above definition defines the image in a stripa<(s)<b{\displaystyle a<\Im (s)<b}, which may not include the real axis where the Fourier transform is supposed to converge.

This is then why Laplace transforms retain their value in control theory and signal processing: the convergence of a Fourier transform integral within its domain only means that a linear, shift-invariant system described by it is stable or critical. The Laplace one on the other hand will somewhere converge for every impulse response which is at most exponentially growing, because it involves an extra term which can be taken as an exponential regulator. Sincethere are no superexponentially growing linear feedback networks[citation needed], Laplace transform based analysis and solution of linear, shift-invariant systems, takes its most general form in the context of Laplace, not Fourier, transforms.

At the same time, nowadays Laplace transform theory falls within the ambit of more generalintegral transforms, or even generalharmonic analysis. In that framework and nomenclature, Laplace transforms are simply another form of Fourier analysis, even if more general in hindsight.

Relationship to other integral transforms

[edit]

Ifu is theHeaviside step function, equal to zero when its argument is less than zero, to one-half when its argument equals zero, and to one when its argument is greater than zero, then the Laplace transformL{\displaystyle {\mathcal {L}}} may be defined in terms of the two-sided Laplace transform by

L{f}=B{fu}.{\displaystyle {\mathcal {L}}\{f\}={\mathcal {B}}\{fu\}.}

On the other hand, we also have

B{f}=L{f}+L{fm}m,{\displaystyle {\mathcal {B}}\{f\}={\mathcal {L}}\{f\}+{\mathcal {L}}\{f\circ m\}\circ m,}

wherem:RR:xx{\displaystyle m:\mathbb {R} \to \mathbb {R} :x\mapsto -x} is the function that multiplies by minus one, so either version of the Laplace transform can be defined in terms of the other.

TheMellin transform may be defined in terms of the two-sided Laplace transform by

M{f}=B{fexpm},{\displaystyle {\mathcal {M}}\{f\}={\mathcal {B}}\{f\circ {\exp }\circ m\},}

withm{\displaystyle m} as above, and conversely we can get the two-sided transform from the Mellin transform by

B{f}=M{fmlog}.{\displaystyle {\mathcal {B}}\{f\}={\mathcal {M}}\{f\circ m\circ \log \}.}

Themoment-generating function of a continuousprobability density functionf(x){\displaystyle f(x)} can be expressed asB{f}(s){\displaystyle {\mathcal {B}}\{f\}(-s)}.

Properties

[edit]

The following properties can be found inBracewell (2000) andOppenheim & Willsky (1997)

Properties of the bilateral Laplace transform
PropertyTime domains domainStrip of convergenceComment
Definitionf(t){\displaystyle f(t)}F(s)=B{f}(s)=f(t)estdt{\displaystyle F(s)={\mathcal {B}}\{f\}(s)=\int _{-\infty }^{\infty }f(t)\,e^{-st}\,dt}α<s<β{\displaystyle \alpha <\Re s<\beta }
Time scalingf(at){\displaystyle f(at)}1|a|F(sa){\displaystyle {\frac {1}{|a|}}F\left({s \over a}\right)}α<a1s<β{\displaystyle \alpha <a^{-1}\,\Re s<\beta }aR0{\displaystyle a\in \mathbb {R} \smallsetminus {0}}
Reversalf(t){\displaystyle f(-t)}F(s){\displaystyle F(-s)}β<s<α{\displaystyle -\beta <\Re s<-\alpha }
Frequency-domain derivativetf(t){\displaystyle tf(t)}F(s){\displaystyle -F'(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }
Frequency-domain general derivativetnf(t){\displaystyle t^{n}f(t)}(1)nF(n)(s){\displaystyle (-1)^{n}\,F^{(n)}(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }
Derivativef(t){\displaystyle f'(t)}sF(s){\displaystyle sF(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }
General derivativef(n)(t){\displaystyle f^{(n)}(t)}snF(s){\displaystyle s^{n}\,F(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }
Frequency-domain integration1tf(t){\displaystyle {\frac {1}{t}}\,f(t)}sF(σ)dσ{\displaystyle \int _{s}^{\infty }F(\sigma )\,d\sigma }only valid if the integral exists
Time-domain integraltf(τ)dτ{\displaystyle \int _{-\infty }^{t}f(\tau )\,d\tau }1sF(s){\displaystyle {1 \over s}F(s)}max(α,0)<s<β{\displaystyle \max(\alpha ,0)<\Re s<\beta }
Time-domain integraltf(τ)dτ{\displaystyle \int _{t}^{\infty }f(\tau )\,d\tau }1sF(s){\displaystyle {1 \over s}F(s)}α<s<min(β,0){\displaystyle \alpha <\Re s<\min(\beta ,0)}
Frequency shiftingeatf(t){\displaystyle e^{at}\,f(t)}F(sa){\displaystyle F(s-a)}α+a<s<β+a{\displaystyle \alpha +\Re a<\Re s<\beta +\Re a}
Time shiftingf(ta){\displaystyle f(t-a)}easF(s){\displaystyle e^{-as}\,F(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }aR{\displaystyle a\in \mathbb {R} }
Modulationcos(at)f(t){\displaystyle \cos(at)\,f(t)}12F(sia)+12F(s+ia){\displaystyle {\tfrac {1}{2}}F(s-ia)+{\tfrac {1}{2}}F(s+ia)}α<s<β{\displaystyle \alpha <\Re s<\beta }aR{\displaystyle a\in \mathbb {R} }
Finite differencef(t+12a)f(t12a){\displaystyle f(t+{\tfrac {1}{2}}a)-f(t-{\tfrac {1}{2}}a)}2sinh(12as)F(s){\displaystyle 2\sinh({\tfrac {1}{2}}as)\,F(s)}α<s<β{\displaystyle \alpha <\Re s<\beta }aR{\displaystyle a\in \mathbb {R} }
Multiplicationf(t)g(t){\displaystyle f(t)\,g(t)}12πicic+iF(σ)G(sσ)dσ {\displaystyle {\frac {1}{2\pi i}}\int _{c-i\infty }^{c+i\infty }F(\sigma )G(s-\sigma )\,d\sigma \ }αf+αg<s<βf+βg{\displaystyle \alpha _{f}+\alpha _{g}<\Re s<\beta _{f}+\beta _{g}}αf<c<βf{\displaystyle \alpha _{f}<c<\beta _{f}}. The integration is done along the vertical lineσ=c{\displaystyle \Re \sigma =c} inside the region of convergence.
Complex conjugationf(t)¯{\displaystyle {\overline {f(t)}}}F(s¯)¯{\displaystyle {\overline {F({\overline {s}})}}}α<s<β{\displaystyle \alpha <\Re s<\beta }
Convolution(fg)(t)=f(τ)g(tτ)dτ{\displaystyle (f*g)(t)=\int _{-\infty }^{\infty }f(\tau )\,g(t-\tau )\,d\tau }F(s)G(s) {\displaystyle F(s)\cdot G(s)\ }max(αf,αg)<s<min(βf,βg){\displaystyle \max(\alpha _{f},\alpha _{g})<\Re s<\min(\beta _{f},\beta _{g})}
Cross-correlation(fg)(t)=f(τ)¯g(t+τ)dτ{\displaystyle (f\star g)(t)=\int _{-\infty }^{\infty }{\overline {f(\tau )}}\,g(t+\tau )\,d\tau }F(s¯)¯G(s){\displaystyle {\overline {F(-{\overline {s}})}}\cdot G(s)}max(βf,αg)<s<min(αf,βg){\displaystyle \max(-\beta _{f},\alpha _{g})<\Re s<\min(-\alpha _{f},\beta _{g})}

Most properties of the bilateral Laplace transform are very similar to properties of the unilateral Laplace transform,but there are some important differences:

Properties of the unilateral transform vs. properties of the bilateral transform
unilateral time domainbilateral time domainunilateral-'s' domainbilateral-'s' domain
Differentiationf(t){\displaystyle f'(t)}f(t){\displaystyle f'(t)}sF(s)f(0){\displaystyle sF(s)-f(0)}sF(s){\displaystyle sF(s)}
Second-orderdifferentiationf(t){\displaystyle f''(t)}f(t){\displaystyle f''(t)}s2F(s)sf(0)f(0){\displaystyle s^{2}F(s)-sf(0)-f'(0)}s2F(s){\displaystyle s^{2}F(s)}
Convolution0tf(τ)g(tτ)dτ{\displaystyle \int _{0}^{t}f(\tau )\,g(t-\tau )\,d\tau }f(τ)g(tτ)dτ{\displaystyle \int _{-\infty }^{\infty }f(\tau )\,g(t-\tau )\,d\tau }F(s)G(s){\displaystyle F(s)\cdot G(s)}F(s)G(s){\displaystyle F(s)\cdot G(s)}

Parseval's theorem and Plancherel's theorem

[edit]

Letf1(t){\displaystyle f_{1}(t)} andf2(t){\displaystyle f_{2}(t)} be functions with bilateral Laplace transformsF1(s){\displaystyle F_{1}(s)} andF2(s){\displaystyle F_{2}(s)} in the strips of convergenceα1,2<s<β1,2{\displaystyle \alpha _{1,2}<\Re s<\beta _{1,2}}. LetcR{\displaystyle c\in \mathbb {R} } withmax(β1,α2)<c<min(α1,β2){\displaystyle \max(-\beta _{1},\alpha _{2})<c<\min(-\alpha _{1},\beta _{2})}.ThenParseval's theorem holds:[1]

f1(t)¯f2(t)dt=12πicic+iF1(s¯)¯F2(s)ds{\displaystyle \int _{-\infty }^{\infty }{\overline {f_{1}(t)}}\,f_{2}(t)\,dt={\frac {1}{2\pi i}}\int _{c-i\infty }^{c+i\infty }{\overline {F_{1}(-{\overline {s}})}}\,F_{2}(s)\,ds}

This theorem is proved by applying the inverse Laplace transform on the convolution theorem in form of the cross-correlation.

Letf(t){\displaystyle f(t)} be a function with bilateral Laplace transformF(s){\displaystyle F(s)} in the strip of convergenceα<s<β{\displaystyle \alpha <\Re s<\beta }.LetcR{\displaystyle c\in \mathbb {R} } withα<c<β{\displaystyle \alpha <c<\beta }.Then thePlancherel theorem holds:[2]

e2ct|f(t)|2dt=12π|F(c+ir)|2dr{\displaystyle \int _{-\infty }^{\infty }e^{-2c\,t}\,|f(t)|^{2}\,dt={\frac {1}{2\pi }}\int _{-\infty }^{\infty }|F(c+ir)|^{2}\,dr}

Uniqueness

[edit]

For any two functionsf{\displaystyle f} andg{\displaystyle g} for which the two-sided Laplace transformsT{f}{\displaystyle {\mathcal {T}}\{f\}},T{g}{\displaystyle {\mathcal {T}}\{g\}} exist, ifT{f}=T{g}{\displaystyle {\mathcal {T}}\{f\}={\mathcal {T}}\{g\}}, i.e.T{f}(s)=T{g}(s){\displaystyle {\mathcal {T}}\{f\}(s)={\mathcal {T}}\{g\}(s)} for every value ofsR{\displaystyle s\in \mathbb {R} }, thenf=g{\displaystyle f=g}almost everywhere.

Region of convergence

[edit]

Bilateral transform requirements for convergence are more difficult than for unilateral transforms. The region of convergence will be normally smaller.

Iff{\displaystyle f} is alocally integrable function (or more generally aBorel measure locally ofbounded variation), then the Laplace transformF(s){\displaystyle F(s)} off{\displaystyle f} converges provided that the limit

limR0Rf(t)estdt{\displaystyle \lim _{R\to \infty }\int _{0}^{R}f(t)e^{-st}\,dt}

exists. The Laplace transform converges absolutely if the integral

0|f(t)est|dt{\displaystyle \int _{0}^{\infty }\left|f(t)e^{-st}\right|\,dt}

exists (as a properLebesgue integral). The Laplace transform is usually understood as conditionally convergent, meaning that it converges in the former instead of the latter sense.

The set of values for whichF(s){\displaystyle F(s)} converges absolutely is either of the forms>a{\displaystyle \Re s>a} or elsesa{\displaystyle \Re s\geq a}, wherea{\displaystyle a} is anextended real constant,a{\displaystyle -\infty \leq a\leq \infty }. (This follows from thedominated convergence theorem.) The constanta{\displaystyle a} is known as the abscissa ofabsolute convergence, and depends on the growth behavior off(t){\displaystyle f(t)}.[3] Analogously, the two-sided transform converges absolutely in a strip of the forma<s<b{\displaystyle a<\Re s<b}, and possibly including the liness=a{\displaystyle \Re s=a} ors=b{\displaystyle \Re s=b}.[4] The subset of values ofs{\displaystyle s} for which the Laplace transform converges absolutely is called the region of absolute convergence or the domain of absolute convergence. In the two-sided case, it is sometimes called the strip of absolute convergence. The Laplace transform isanalytic in the region of absolute convergence.

Similarly, the set of values for whichF(s){\displaystyle F(s)} converges (conditionally or absolutely) is known as the region of conditional convergence, or simply theregion of convergence (ROC). If the Laplace transform converges (conditionally) ats=s0{\displaystyle s=s_{0}}, then it automatically converges for alls{\displaystyle s} withs>s0{\displaystyle \Re s>\Re s_{0}}). Therefore, the region of convergence is a half-plane of the forms>a{\displaystyle \Re s>a}, possibly including some points of the boundary lines=a{\displaystyle \Re s=a}. In the region of convergence,s>s0{\displaystyle \Re s>\Re s_{0}}), the Laplace transform off{\displaystyle f} can be expressed byintegrating by parts as the integral

F(s)=(ss0)0e(ss0)tβ(t)dt,β(u)=0ues0tf(t)dt.{\displaystyle F(s)=(s-s_{0})\int _{0}^{\infty }e^{-(s-s_{0})t}\beta (t)\,dt,\quad \beta (u)=\int _{0}^{u}e^{-s_{0}t}f(t)\,dt.}

That is, in the region of convergenceF(s){\displaystyle F(s)} can effectively be expressed as the absolutely convergent Laplace transform of some other function. In particular, it is analytic.

There are severalPaley–Wiener theorems concerning the relationship between the decay properties off{\displaystyle f} and the properties of the Laplace transform within the region of convergence.

In engineering applications, a function corresponding to alinear time-invariant (LTI) system isstable if every bounded input produces a bounded output.

Causality

[edit]

Bilateral transforms do not respectcausality. They make sense when applied over generic functions but when working with functions of time (signals) unilateral transforms are preferred.

Table of selected bilateral Laplace transforms

[edit]

Following list of interesting examples for the bilateral Laplace transform can be deduced from the corresponding Fourier or unilateral Laplace transformations(see alsoBracewell (2000)):

Selected bilateral Laplace transforms
FunctionTime domain
f(t)=B1{F}(t){\displaystyle f(t)={\mathcal {B}}^{-1}\{F\}(t)}
Laplaces-domain
F(s)=B{f}(s){\displaystyle F(s)={\mathcal {B}}\{f\}(s)}
Region of convergenceComment
Rectangular impulsef(t)={1if|t|<1212if|t|=120if|t|>12{\displaystyle f(t)=\left\{{\begin{aligned}1&\quad {\text{if}}\;|t|<{\tfrac {1}{2}}\\{\tfrac {1}{2}}&\quad {\text{if}}\;|t|={\tfrac {1}{2}}\\0&\quad {\text{if}}\;|t|>{\tfrac {1}{2}}\end{aligned}}\right.}2s1sinhs2{\displaystyle 2s^{-1}\,\sinh {\frac {s}{2}}}<s<{\displaystyle -\infty <\Re s<\infty }
Triangular impulsef(t)={1|t|if|t|10if|t|>1{\displaystyle f(t)=\left\{{\begin{aligned}1-|t|&\quad {\text{if}}\;|t|\leq 1\\0&\quad {\text{if}}\;|t|>1\end{aligned}}\right.}(2s1sinhs2)2{\displaystyle \left(2s^{-1}\,\sinh {\frac {s}{2}}\right)^{2}}<s<{\displaystyle -\infty <\Re s<\infty }
Gaussian impulseexp(a2t2bt){\displaystyle \exp \left(-a^{2}\,t^{2}-b\,t\right)}πaexp(s+b)24a2{\displaystyle {\frac {\sqrt {\pi }}{a}}\,\exp {\frac {(s+b)^{2}}{4\,a^{2}}}}<s<{\displaystyle -\infty <\Re s<\infty }(a2)>0{\displaystyle \Re (a^{2})>0}
Exponential decayeatu(t)={0ift<0eatif0<t{\displaystyle e^{-at}\,u(t)=\left\{{\begin{aligned}&0&&\;{\text{if}}\;t<0&\\&e^{-at}&&\;{\text{if}}\;0<t&\end{aligned}}\right.}1s+a{\displaystyle {\frac {1}{s+a}}}a<s<{\displaystyle -\Re a<\Re s<\infty }u(t){\displaystyle u(t)} is the Heaviside step function
Exponential growtheatu(t)={eatift<00if0<t{\displaystyle -e^{-at}\,u(-t)=\left\{{\begin{aligned}&-e^{-at}&&\;{\text{if}}\;t<0&\\&0&&\;{\text{if}}\;0<t&\end{aligned}}\right.}1s+a{\displaystyle {\frac {1}{s+a}}}<s<a{\displaystyle -\infty <\Re s<-\Re a}
e|t|{\displaystyle e^{-|t|}}21s2{\displaystyle {\frac {2}{1-s^{2}}}}1<s<1{\displaystyle -1<\Re s<1}
ea|t|{\displaystyle e^{-a|t|}}2aa2s2{\displaystyle {\frac {2a}{a^{2}-s^{2}}}}a<s<a{\displaystyle -\Re a<\Re s<\Re a}a>0{\displaystyle \Re a>0}
1cosht{\displaystyle {\frac {1}{\cosh t}}}πcos(πs/2){\displaystyle {\frac {\pi }{\cos(\pi s/2)}}}1<s<1{\displaystyle -1<\Re s<1}
11+et{\displaystyle {\frac {1}{1+e^{-t}}}}πsin(πs){\displaystyle {\frac {\pi }{\sin(\pi s)}}}0<s<1{\displaystyle 0<\Re s<1}

See also

[edit]

Citations

[edit]
  1. ^LePage 1980, p. 340, Chapter 11-3
  2. ^Widder 1941, p. 246, Chapter VI, §8
  3. ^Widder 1941, Chapter II, §1
  4. ^Widder 1941, Chapter VI, §2

Bibliography

[edit]
  • LePage, Wilbur R. (1980).Complex Variables and the Laplace Transform for Engineers. Dover Publications.
  • Van der Pol, Balthasar; Bremmer, H (1987),Operational Calculus Based on the Two-Sided Laplace Integral (3rd ed.), Chelsea Pub. Co.
  • Widder, David Vernon (1941),The Laplace Transform, Princeton Mathematical Series, v. 6,Princeton University Press,MR 0005923
  • Bracewell, Ronald N. (2000).The Fourier Transform and Its Applications (3rd ed.).
  • Oppenheim, Alan V.; Willsky, Alan S. (1997).Signals & Systems (2nd ed.).
Retrieved from "https://en.wikipedia.org/w/index.php?title=Two-sided_Laplace_transform&oldid=1339273393"
Categories:
Hidden categories:

[8]ページ先頭

©2009-2026 Movatter.jp