But what is a Fourier series? From heat flow to circle drawings DE4 Here, we look at the math behind an animation like this, whats known as a complex Fourier series. Each little vector is rotating at some constant integer frequency, and when you add them all together, tip to tail, they draw out some shape over time. By tweaking the initial size and angle of each vector, we can make it draw anything we want, and here youll see how. Before diving in, take a moment to linger on just how striking this is.

This particular animation has 300 rotating arrows in total. Go full screen for this is you can, the intricacy is worth it. Think about this, the action of each individual arrow is perhaps the simplest thing you could imagine: Rotation at a steady rate.

Yet the collection of all added together is anything but simple. The mindboggling complexity is put into even sharper focus the farther we zoom in, revealing the contributions of the littlest, quickest arrows. Considering the chaotic frenzy youre looking at, and the clockwork rigidity of the underlying motions, its bizarre how the swarm acts with a kind of coordination to trace out some very specific shape. Unlike much of the emergent complexity you find elsewhere in nature, though, this is something we have the math to describe and to control completely. Just by tuning the starting conditions, nothing more, you can make this swarm conspire in all the right ways to draw anything you want, provided you have enough little arrows.

Whats even crazier, as youll see, is the ultimate formula for all this is incredibly short. Often, Fourier series are described in terms of functions of real numbers being broken down as a sum of sine waves. That turns out to be a special case of this more general rotating vector phenomenon that well build up to, but its where Fourier himself started, and theres good reason for us to start the story there as well. Technically, this is the third article in a sequence about the heat equation, what Fourier was working on when he developed his big idea.

Id like to teach you about Fourier series in a way that doesnt depend on you coming from those chapters, but if you have at least a highlevel idea of the problem form physics which originally motivated this piece of math, it gives some indication for how unexpectedly farreaching Fourier series are. All you need to know is that we had this equation, describing how the temperature on a rod will evolve over time which incidentally also describes many other phenomena unrelated to heat, and while its hard to directly use it to figure out what will happen to an arbitrary heat distribution, theres a simple solution if that initial function looks like a cosine wave with a frequency tuned to make it flat at each endpoint. Specifically, as you graph what happens over time, these waves simply get scaled down exponentially, with higher frequency waves decaying faster. The heat equation happens to be whats known in the business as a linear equation, meaning if you know two solutions and you add them up, that sum is also a new solution.

You can even scale them each by some constant, which gives you some dials to turn to construct a custom function solving the equation. This is a fairly straightforward property that you can verify for yourself, but its incredibly important. It means we can take our infinite family of solutions, these exponentially decaying cosine waves, scale a few of them by some custom constants of our choosing, and combine them to get a solution for a new tailormade initial condition which is some combination of cosine waves. Something important I want you to notice about combining the waves like this is that because higher frequency ones decay faster, this sum which you construct will smooth out over time as the highfrequency terms quickly go to zero, leaving only the lowfrequency terms dominating. So in some sense, all the complexity in the evolution that the heat equation implies is captured by this difference in decay rates for the different frequency components.

Its at this point that Fourier gains immortality. I think most normal people at this stage would say well, I can solve the heat equation when the initial temperature distribution happens to look like a wave, or a sum of waves, but what a shame that most realworld distributions dont at all look like this! For example, lets say you brought together two rods, each at some uniform temperature, and you wanted to know what happens immediately after they come into contact. To make the numbers simple, lets say the temperature of the left rod is 1 degree, and the right rod is 1 degree, and that the total length L of the combined rod is 1. Our initial temperature distribution is a step function, which is so obviously different from sine waves and sums of sine waves, dont you think?

I mean, its almost entirely flat, not wavy, and for gods sake, its even discontinuous! And yet, Fourier thought to ask a question which seems absurd: How do you express this as a sum of sine waves? Even more boldly, how do you express any initial temperature distribution as a sum of sine waves? And its more constrained than just that! You have to restrict yourself to adding waves which satisfy a certain boundary condition, which as we saw last article means working only with these cosine functions whose frequencies are all some whole number multiple of a given base frequency.

And by the way, if you were working with a different boundary condition, say that the endpoints must stay fixed, youd have a different set of waves at your disposal to piece together, in this case simply replacing the cosine functions with sines Its strange how often progress in math looks like asking a new question, rather than simply answering an old one. Fourier really does have a kind of immortality, with his name essentially synonymous with the idea of breaking down functions and patterns as combinations of simple oscillations. Its really hard to overstate just how important and farreaching that idea turned out to be, well beyond anything Fourier could have imagined. And yet, the origin of all this is in a piece of physics which upon first glance has nothing to do with frequencies and oscillations. If nothing else this should give a hint and how generally applicable Fourier series are.

Now hang on, I hear some of you saying, none of these sums of sine waves being shown are actually the step function. Its true, any finite sum of sine waves will never be perfectly flat except for a constant function, nor discontinuous. But Fourier thought more broadly, considering infinite sums. In the case of our step function, it turns out to be equal to this infinite sum, where the coefficients are 1, , , 17 and so on for all the odd frequencies, all rescaled by 4pi. Ill explain where these numbers come from in a moment.

Before that, I want to be clear about what we mean with a phrase like infinite sum, which runs the risk of being a little vague. Consider the simpler context of numbers, where you could say, for example, this infinite sum of fractions equals pi 4. As you keep adding terms onebyone, at all times what you have is rational it never actually equals the irrational pi 4. But this sequence of partial sums approaches pi 4. That is to say, the numbers you see, while never equal to pi 4, get arbitrarily close to that value, and stay arbitrarily close to that value. Thats a mouthful, so instead we abbreviate and say the infinite sum equals pi 4. With functions, youre doing the same thing but with many different values in parallel. Consider a specific input, and the value of all these scaled cosine functions for that input.

If that input is less than 0.5, as you add more and more terms, the sum will approach 1. If that input is greater than 0.5, as you add more and more terms it would approach 1. At the input 0.5 itself, all the cosines are 0, so the limit of the partial sums is 0. Somewhat awkwardly, then, for this infinite sum to be strictly true, we do have to prescribe the value of the step function at the point of discontinuity to be 0. Analogous to an infinite sum of rational number being irrational, the infinite sum of wavy continuous functions can equal a discontinuous flat function. Limits allow for qualitative changes which finite sums alone never could. There are multiple technical nuances Im sweeping under the rug here. Does the fact that were forced into a certain value for the step function at its point of discontinuity make any difference for the heat flow problem?

For that matter what does it really mean to solve a PDE with a discontinuous initial condition? Can we be sure the limit of solutions to the heat equation is also a solution? Do all functions have a Fourier series like this?

These are exactly the kind of question real analysis is built to answer, but it falls a bit deeper in the weeds than I think we should go here, so Ill relegate that links in the articles description. The upshot is that when you take the heat equation solutions associated with these cosine waves and add them all up, all infinitely many of them, you do get an exact solution describing how the step function will evolve over time. The key challenge, of course, is to find these coefficients?

So far, weve been thinking about functions with real number outputs, but for the computations Id like to show you something more general than what Fourier originally did, applying to functions whose output can be any complex number, which is where those rotating vectors from the opening come back into play. Why the added complexity? Aside from being more general, in my view the computations become cleaner and its easier to see why they work.

More importantly, it sets a good foundation for ideas that will come up again later in the series, like the Laplace transform and the importance of exponential functions. The relation between cosine decomposition and rotating vector decomposition Well still think of functions whose input is some real number on a finite interval, say the one from 0 to 1 for simplicity. But whereas something like a temperature function will have an output confined to the real number line, well broaden our view to outputs anywhere in the twodimensional complex plane.

You might think of such a function as a drawing, with a pencil tip tracing along different points in the complex plane as the input ranges from 0 to 1. Instead of sine waves being the fundamental building block, as you saw at the start, well focus on breaking these functions down as a sum of little vectors, all rotating at some constant integer frequency. Functions with real number outputs are essentially really boring drawings a 1dimensional pencil sketch. You might not be used to thinking of them like this, since usually we visualize such a function with a graph, but right now the path being drawn is only in the output space.

When we do the decomposition into rotating vectors for these boring 1d drawings, what will happen is that all the vectors with frequency 1 and 1 will have the same length, and theyll be horizontal reflections of each other. When you just look at the sum of these two as they rotate, that sum stays fixed on the real number line, and oscillates like a sine wave. This might be a weird way to think about a sine wave, since were used to looking at its graph rather than the output alone wandering on the real number line. But in the broader context of functions with complex number outputs, this is what sine waves look like.

Similarly, the pair of rotating vectors with frequency 2, 2 will add another sine wave component, and so on, with the sine waves we were looking at earlier now corresponding to pairs of vectors rotating in opposite directions. So the context Fourier originally studied, breaking down realvalued functions into sine wave components, is a special case of the more general idea with 2ddrawings and rotating vectors. At this point, maybe you dont trust me that widening our view to complex functions makes things easier to understand, but bear with me. It really is worth the added effort to see the fuller picture, and I think youll be pleased by how clean the actual computation is in this broader context. You may also wonder why, if were going to bump things up to 2dimensions, we dont we just talk about 2d vectors Whats the square root of 1 got to do with anything?

Well, the heart and soul of Fourier series is the complex exponential, ei t. As the value of t ticks forward with time, this value walks around the unit circle at a rate of 1 unit per second. In the next article, youll see a quick intuition for why exponentiating imaginary numbers walks in circles like this from the perspective of differential equations, and beyond that, as the series progresses I hope to give you some sense for why complex exponentials are important. You see, in theory, you could describe all of this Fourier series stuff purely in terms of vectors and never breathe a word of i. The formulas would become more convoluted, but beyond that, leaving out the function ex would somehow no longer authentically reflect why this idea turns out to be so useful for solving differential equations. For right now you can think of this ei t as a notational shorthand to describe a rotating vector, but just keep in the back of your mind that its more significant than a mere shorthand. Ill be loose with language and use the words vector and complex number somewhat interchangeably, in large part because thinking of complex numbers as little arrows makes the idea of adding many together clearer.

Alright, armed with the function eit, lets write down a formula for each of these rotating vectors were working with. For now, think of each of them as starting pointed one unit to right, at the number 1. The easiest vector to describe is the constant one, which just stays at the number 1, never moving. Or, if you prefer, its rotating at a frequency of 0. Then there will be a vector rotating 1 cycle every second which we write as e2pi i t. The 2pi is there because as t goes from 0 to 1, it needs to cover a distance of 2pi along the circle. In whats being shown, its actually 1 cycle every 10 seconds so that things arent too dizzying, but just think of it as slowed down by a factor of 10. We also have a vector rotating at 1 cycle per second in the other direction, enegative 2pi i t. Similarly, the one going 2 rotations per second is e2 2pi i t, where that 2 2pi in the exponent describes how much distance is covered in 1 second.

And we go on like this over all integers, both positive and negative, with a general formula of en 2pi i t for each rotating vector. Notice, this makes it more consistent to write the constant vector is written as e0 2pi i t, which feels like an awfully complicated to write the number 1, but at least then it fits the pattern. The control we have, the set of knobs and dials we get to turn, is the initial size and direction of each of these numbers. The way we control that is by multiplying each one by some complex number, which Ill call c_n. For example, if we wanted that constant vector not to be at the number 1, but to have a length of 0.5, wed scale it by 0.5.

If we wanted the vector rotating at one cycle per second to start off at an angle of 45o, wed multiply it by a complex number which has the effect of rotating it by that much, which you might write as epi4 i. If its initial length needed to be 0.3, the coefficient would be 0.3 times that amount. Likewise, everyone in our infinite family of rotating vectors has some complex constant being multiplied into it which determines its initial angle and magnitude. Our goal is to express any arbitrary function ft, say this one drawing an eighth note, as a sum of terms like this, so we need some way to pick out these constants onebyone given data of the function. The easiest one is the constant term. This term represents a sort of center of mass for the full drawing if you were to sample a bunch of evenly spaced values for the input t as it ranges from 0 to 1, the average of all the outputs of the function for those samples will be the constant term c_0.

Or more accurately, as you consider finer and finer samples, their average approaches c_0 in the limit. What Im describing, finer and finer sums of ft for sample of t from the input range, is an integral of ft from 0 to 1. Normally, since Im framing this in terms of averages, youd divide this integral by the length of the interval. But that length is 1, so it amounts to the same thing. Theres a very nice way to think about why this integral would pull out c0.

Since we want to think of the function as a sum of these rotating vectors, consider this integral this continuous average as being applied to that sum. This average of a sum is the same as a sum over the averages of each part you can read this move as a subtle shift in perspective. Rather than looking at the sum of all the vectors at each point in time, and taking the average value of the points they trace out, look at the average value for each individual vector as t goes from 0 to 1, and add up all these averages. But each of these vectors makes a whole number of rotations around 0, so its average value as t goes from 0 to 1 will be 0. The only exception is that constant term since it stays static and doesnt rotate, its average value is just whatever number it started on, which is c0.

So doing this average over the whole function is sort of a way to kill all terms that arent c0. But now lets say you wanted to compute a different term, like c_2 in front of the vector rotating 2 cycles per second. The trick is to first multiply ft by something which makes that vector hold still sort of the mathematical equivalent of giving a smartphone to an overactive child.

Specifically, if you multiply the whole function by enegative 2 2pii t, think about what happens to each term. Since multiplying exponentials results in adding whats in the exponent, the frequency term in each of the exponents gets shifted down by 2. So now, that c_1 vector spins around 3 times, with an average of 0. The c_0 vector, previously constant, now rotates twice as t ranges from 0 to 1, so its average is 0. And likewise, all vectors other than the c_2 term make some whole number of rotations, meaning they average out to 0. So taking the average of this modified function, all terms other than the second one get killed, and were left with c_2. Of course, theres nothing special about 2 here. If we replace it with any other n, you have a formula for any other term c_n. Again, you can read this expression as modifying our function, our 2d drawing, so as to make the nth little vector hold still, and then performing an average so that all other vectors get canceled out.

Isnt that crazy? All the complexity of this decomposition as a sum of many rotations is entirely captured in this expression. So when Im rendering these animations, thats exactly what Im having the computer do.

It treats this path like a complex function, and for a certain range of values for n, it computes this integral to find each coefficient c_n. For those of you curious about where the data for the path itself comes from, Im going the easy route having the program read in an svg, which is a file format that defines the image in terms of mathematical curves rather than with pixel values, so the mapping ft from a time parameter to points in space basically comes predefined. In whats shown right now, Im using 101 rotating vectors, computing values of n from 50 up to 50.

In practice, the integral is computed numerically, basically meaning it chops up the unit interval into many small pieces of size deltat and adds up this value ften 2pi i t deltat for each one of them. There are fancier methods for more efficient numerical integration, but that gives the basic idea. After computing these 101 values, each one determines an initial position for the little vectors, and then you set them all rotating, adding them all tip to tail, and the path drawn out by the final tip is some approximation of the original path. As the number of vectors used approaches infinity, it gets more and more accurate. Relation to step function To bring this all back down to earth, consider the example we were looking at earlier of a step function, which was useful for modeling the heat dissipation between two rods of different temperatures after coming into contact.

Like any realvalued function, and step function is like a boring drawing confined to onedimension. But this one is and especially dull drawing, since for inputs between 0 and 0.5, the output just stays static at the number 1, and then it discontinuously jumps to 1 for inputs between 0.5 and 1. So in the Fourier series approximation, the vector sum stays really close to 1 for the first half of the cycle, then really quickly jumps to 1 for the second half. Remember, each pair of vectors rotating in opposite directions correspond to one of the cosine waves we were looking at earlier. To find the coefficients, youd need to compute this integral.

For the ambitious viewers among you itching to work out some integrals by hand, this is one where you can do the calculus to get an exact answer, rather than just having a computer do it numerically for you. Ill leave it as an exercise to work this out, and to relate it back to the idea of cosine waves by pairing off the vectors rotating in opposite directions. For the even more ambitious, Ill also leave another exercises up on screen on how to relate this more general computation with what you might see in a textbook describing Fourier series only in terms of realvalued functions with sines and cosines. By the way, if youre looking for more Fourier series content, I highly recommend the articles by Mathologer and The Coding Train on the topic, and the blog post by Jezzamoon. So on the one hand, this concludes our discussion of the heat equation, which was a little window into the study of partial differential equations.

But on the other hand, this foray into Fourier series is a first glimpse at a deeper idea. Exponential functions, including their generalization into complex numbers and even matrices, play a very important role for differential equations, especially when it comes to linear equations. What you just saw, breaking down a function as a combination of these exponentials, comes up again in different shapes and forms.

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