Integration by substitution

Short description: Technique in integral evaluation

In calculus, integration by substitution, also known as u-substitution, reverse chain rule or change of variables,^[1] is a method for evaluating integrals and antiderivatives. It is the counterpart to the chain rule for differentiation, and can loosely be thought of as using the chain rule "backwards."

Substitution for a single variable

Introduction (indefinite integrals)

Before stating the result rigorously, consider a simple case using indefinite integrals.

Compute [math]\displaystyle{ \int(2x^3+1)^7(x^2)\,dx. }[/math]^[2]

Set [math]\displaystyle{ u=2x^3+1. }[/math] This means [math]\displaystyle{ \frac{du}{dx}=6x^2, }[/math] or in differential form, [math]\displaystyle{ du=6x^2\,dx. }[/math] Now:

[math]\displaystyle{ \begin{aligned} \int(2x^3 +1)^7(x^2)\,dx &= \frac{1}{6}\int\underbrace{(2x^3+1)^{7}}_{u^{7}}\underbrace{(6x^2)\,dx}_{du} \\ &= \frac{1}{6}\int u^{7}\,du \\ &= \frac{1}{6}\left(\frac{1}{8}u^{8}\right)+C \\ &= \frac{1}{48}(2x^3+1)^{8}+C, \end{aligned} }[/math]

where [math]\displaystyle{ C }[/math] is an arbitrary constant of integration.

This procedure is frequently used, but not all integrals are of a form that permits its use. In any event, the result should be verified by differentiating and comparing to the original integrand.

[math]\displaystyle{ \frac{d}{dx}\left[\frac{1}{48}(2x^3+1)^{8}+C\right]=\frac{1}{6}(2x^3+1)^{7}(6x^2) = (2x^3+1)^7(x^2). }[/math]

For definite integrals, the limits of integration must also be adjusted, but the procedure is mostly the same.

Statement for definite integrals

Let [math]\displaystyle{ g:[a,b]\rightarrow I }[/math] be a differentiable function with a continuous derivative, where [math]\displaystyle{ I \subset \mathbb{R} }[/math] is an interval. Suppose that [math]\displaystyle{ f:I\rightarrow\mathbb{R} }[/math] is a continuous function. Then:^[3] [math]\displaystyle{ \int_a^b f(g(x))\cdot g'(x)\, dx = \int_{g(a)}^{g(b)} f(u)\ du. }[/math]

In Leibniz notation, the substitution [math]\displaystyle{ u=g(x) }[/math] yields: [math]\displaystyle{ \frac{du}{dx} = g'(x). }[/math] Working heuristically with infinitesimals yields the equation [math]\displaystyle{ du = g'(x)\,dx, }[/math] which suggests the substitution formula above. (This equation may be put on a rigorous foundation by interpreting it as a statement about differential forms.) One may view the method of integration by substitution as a partial justification of Leibniz's notation for integrals and derivatives.

The formula is used to transform one integral into another integral that is easier to compute. Thus, the formula can be read from left to right or from right to left in order to simplify a given integral. When used in the former manner, it is sometimes known as u-substitution or w-substitution in which a new variable is defined to be a function of the original variable found inside the composite function multiplied by the derivative of the inner function. The latter manner is commonly used in trigonometric substitution, replacing the original variable with a trigonometric function of a new variable and the original differential with the differential of the trigonometric function.

Proof

Integration by substitution can be derived from the fundamental theorem of calculus as follows. Let [math]\displaystyle{ f }[/math] and [math]\displaystyle{ g }[/math] be two functions satisfying the above hypothesis that [math]\displaystyle{ f }[/math] is continuous on [math]\displaystyle{ I }[/math] and [math]\displaystyle{ g' }[/math] is integrable on the closed interval [math]\displaystyle{ [a,b] }[/math]. Then the function [math]\displaystyle{ f(g(x))\cdot g'(x) }[/math] is also integrable on [math]\displaystyle{ [a,b] }[/math]. Hence the integrals

[math]\displaystyle{ \int_a^b f(g(x))\cdot g'(x)\ dx }[/math]

and

[math]\displaystyle{ \int_{g(a)}^{g(b)} f(u)\ du }[/math]

in fact exist, and it remains to show that they are equal.

Since [math]\displaystyle{ f }[/math] is continuous, it has an antiderivative [math]\displaystyle{ F }[/math]. The composite function [math]\displaystyle{ F \circ g }[/math] is then defined. Since [math]\displaystyle{ g }[/math] is differentiable, combining the chain rule and the definition of an antiderivative gives:

[math]\displaystyle{ (F \circ g)'(x) = F'(g(x)) \cdot g'(x) = f(g(x)) \cdot g'(x). }[/math]

Applying the fundamental theorem of calculus twice gives:

[math]\displaystyle{ \begin{align} \int_a^b f(g(x)) \cdot g'(x)\ dx &= \int_a^b (F \circ g)'(x)\ dx \\ &= (F \circ g)(b) - (F \circ g)(a) \\ &= F(g(b)) - F(g(a)) \\ &= \int_{g(a)}^{g(b)} f(u)\ du, \end{align} }[/math]

which is the substitution rule.

Examples: Definite integrals

Example 1

Consider the integral: [math]\displaystyle{ \int_0^2 x \cos(x^2+1)\ dx. }[/math]

Make the substitution [math]\displaystyle{ u = x^{2} + 1 }[/math] to obtain [math]\displaystyle{ du = 2x\ dx, }[/math] meaning [math]\displaystyle{ x\ dx = \frac{1}{2}\ du. }[/math] Therefore:

[math]\displaystyle{ \begin{align} \int_{x=0}^{x=2} x \cos(x^2+1) \ dx &= \frac{1}{2} \int_{u=1}^{u=5}\cos(u)\ du \\[6pt] &= \frac{1}{2}(\sin(5)-\sin(1)). \end{align} }[/math]

Since the lower limit [math]\displaystyle{ x = 0 }[/math] was replaced with [math]\displaystyle{ u = 1, }[/math] and the upper limit [math]\displaystyle{ x = 2 }[/math] with [math]\displaystyle{ 2^{2} + 1 = 5, }[/math] a transformation back into terms of [math]\displaystyle{ x }[/math] was unnecessary.

Alternatively, one may fully evaluate the indefinite integral (see below) first then apply the boundary conditions. This becomes especially handy when multiple substitutions are used.

Example 2

For the integral [math]\displaystyle{ \int_0^1 \sqrt{1-x^2}\,dx, }[/math] a variation of the above procedure is needed. The substitution [math]\displaystyle{ x = \sin u }[/math] implying [math]\displaystyle{ dx = \cos u \,du }[/math] is useful because [math]\displaystyle{ \sqrt{1-\sin^2u} = \cos(u). }[/math] We thus have:

[math]\displaystyle{ \begin{align} \int_0^1 \sqrt{1-x^2}\ dx &= \int_0^{\pi/2} \sqrt{1-\sin^2u} \cos(u)\ du \\[6pt] &= \int_0^{\pi/2} \cos^2u\ du \\[6pt] &= \left[\frac{u}{2} + \frac{\sin(2u)}{4}\right]_0^{\pi/2} \\[6pt] &= \frac{\pi}{4} + 0 \\ &= \frac{\pi}{4}. \end{align} }[/math]

The resulting integral can be computed using integration by parts or a double angle formula, [math]\displaystyle{ 2\cos^{2} u = 1 + \cos (2u), }[/math] followed by one more substitution. One can also note that the function being integrated is the upper right quarter of a circle with a radius of one, and hence integrating the upper right quarter from zero to one is the geometric equivalent to the area of one quarter of the unit circle, or [math]\displaystyle{ \frac\pi 4. }[/math]

Examples: Antiderivatives

Substitution can be used to determine antiderivatives. One chooses a relation between [math]\displaystyle{ x }[/math] and [math]\displaystyle{ u, }[/math] determines the corresponding relation between [math]\displaystyle{ dx }[/math] and [math]\displaystyle{ du }[/math] by differentiating, and performs the substitutions. An antiderivative for the substituted function can hopefully be determined; the original substitution between [math]\displaystyle{ x }[/math] and [math]\displaystyle{ u }[/math] is then undone.

Similar to example 1 above, the following antiderivative can be obtained with this method:

[math]\displaystyle{ \begin{align} \int x \cos(x^2+1) \,dx &= \frac{1}{2} \int 2x \cos(x^2+1) \,dx \\[6pt] &= \frac{1}{2} \int\cos u\,du \\[6pt] &= \frac{1}{2}\sin u + C \\ &= \frac{1}{2}\sin(x^2+1) + C, \end{align} }[/math]

where [math]\displaystyle{ C }[/math] is an arbitrary constant of integration.

There were no integral boundaries to transform, but in the last step reverting the original substitution [math]\displaystyle{ u = x^{2} + 1 }[/math] was necessary. When evaluating definite integrals by substitution, one may calculate the antiderivative fully first, then apply the boundary conditions. In that case, there is no need to transform the boundary terms.

Trigonometric functions

The tangent function can be integrated using substitution by expressing it in terms of the sine and cosine: [math]\displaystyle{ \tan x = \frac{\sin x}{\cos x} }[/math].

Using the substitution [math]\displaystyle{ u = \cos x }[/math] gives [math]\displaystyle{ du = -\sin x\,dx }[/math] and [math]\displaystyle{ \begin{align} \int \tan x \,dx &= \int \frac{\sin x}{\cos x} \,dx \\ &= \int -\frac{du}{u} \\ &= -\ln |u| + C \\ &= -\ln |\cos x| + C \\ &= \ln |\cos x|^{-1} + C \\ &= \ln |\sec x| + C. \end{align} }[/math]

The cotangent function can be integrated similarly by expressing it as [math]\displaystyle{ \cot x = \frac{\cos x}{\sin x} }[/math] and using the substitution [math]\displaystyle{ u = \sin{x}, du = \cos{x}\,dx }[/math]: [math]\displaystyle{ \begin{align} \int \cot x \,dx &= \int \frac{\cos x}{\sin x} \,dx \\ &= \int \frac{du}{u} \\ &= \ln |u| + C \\ &= \ln |\sin x| + C. \end{align} }[/math]

Substitution for multiple variables

One may also use substitution when integrating functions of several variables.

Here, the substitution function $(v 1,..., v n) = φ (u 1, ..., u n)$ needs to be injective and continuously differentiable, and the differentials transform as:

[math]\displaystyle{ dv_1 \cdots dv_n = \left|\det(D\varphi)(u_1, \ldots, u_n)\right| \, du_1 \cdots du_n, }[/math]

where $det(Dφ)(u 1, ..., u n)$ denotes the determinant of the Jacobian matrix of partial derivatives of $φ$ at the point $(u 1, ..., u n)$ . This formula expresses the fact that the absolute value of the determinant of a matrix equals the volume of the parallelotope spanned by its columns or rows.

More precisely, the change of variables formula is stated in the next theorem:

Theorem. Let $U$ be an open set in $R n$ and $φ : U \to R n$ an injective differentiable function with continuous partial derivatives, the Jacobian of which is nonzero for every $x$ in $U$ . Then for any real-valued, compactly supported, continuous function $f$ , with support contained in $φ (U)$ :

[math]\displaystyle{ \int_{\varphi(U)} f(\mathbf{v})\, d\mathbf{v} = \int_U f(\varphi(\mathbf{u})) \left|\det(D\varphi)(\mathbf{u})\right| \,d\mathbf{u}. }[/math]

The conditions on the theorem can be weakened in various ways. First, the requirement that $φ$ be continuously differentiable can be replaced by the weaker assumption that $φ$ be merely differentiable and have a continuous inverse.^[4] This is guaranteed to hold if $φ$ is continuously differentiable by the inverse function theorem. Alternatively, the requirement that $det(Dφ) \neq 0$ can be eliminated by applying Sard's theorem.^[5]

For Lebesgue measurable functions, the theorem can be stated in the following form:^[6]

Theorem. Let $U$ be a measurable subset of $R n$ and $φ : U \to R n$ an injective function, and suppose for every $x$ in $U$ there exists $φ'(x)$ in $R n, n$ such that $φ (y) = φ (x) + φ' (x)(y - x) + o (|| y - x ||)$ as $y \to x$ (here $o$ is little-o notation). Then $φ (U)$ is measurable, and for any real-valued function $f$ defined on $φ (U)$ : [math]\displaystyle{ \int_{\varphi(U)} f(v)\, dv = \int_U f(\varphi(u)) \left|\det \varphi'(u)\right| \,du }[/math] in the sense that if either integral exists (including the possibility of being properly infinite), then so does the other one, and they have the same value.

Another very general version in measure theory is the following:^[7]

Theorem. Let $X$ be a locally compact Hausdorff space equipped with a finite Radon measure $μ$ , and let $Y$ be a σ-compact Hausdorff space with a σ-finite Radon measure $ρ$ . Let $φ : X \to Y$ be an absolutely continuous function (where the latter means that $ρ (φ (E)) = 0$ whenever $μ (E) = 0$ ). Then there exists a real-valued Borel measurable function $w$ on $X$ such that for every Lebesgue integrable function $f : Y \to R$ , the function $(f \circ φ) \cdot w$ is Lebesgue integrable on $X$ , and [math]\displaystyle{ \int_Y f(y)\,d\rho(y) = \int_X (f\circ \varphi)(x)\,w(x)\,d\mu(x). }[/math] Furthermore, it is possible to write [math]\displaystyle{ w(x) = (g\circ \varphi)(x) }[/math] for some Borel measurable function $g$ on $Y$ .

In geometric measure theory, integration by substitution is used with Lipschitz functions. A bi-Lipschitz function is a Lipschitz function $φ : U \to R n$ which is injective and whose inverse function $φ -1 : φ (U) \to U$ is also Lipschitz. By Rademacher's theorem, a bi-Lipschitz mapping is differentiable almost everywhere. In particular, the Jacobian determinant of a bi-Lipschitz mapping $det Dφ$ is well-defined almost everywhere. The following result then holds:

Theorem. Let $U$ be an open subset of $R n$ and $φ : U \to R n$ be a bi-Lipschitz mapping. Let $f : φ (U) \to R$ be measurable. Then [math]\displaystyle{ \int_U (f\circ \varphi)(x) |\det D\varphi(x)|\,dx = \int_{\varphi(U)} f(x)\,dx }[/math] in the sense that if either integral exists (or is properly infinite), then so does the other one, and they have the same value.

The above theorem was first proposed by Euler when he developed the notion of double integrals in 1769. Although generalized to triple integrals by Lagrange in 1773, and used by Legendre, Laplace, and Gauss, and first generalized to $n$ variables by Mikhail Ostrogradsky in 1836, it resisted a fully rigorous formal proof for a surprisingly long time, and was first satisfactorily resolved 125 years later, by Élie Cartan in a series of papers beginning in the mid-1890s.^[8]^[9]

Application in probability

Substitution can be used to answer the following important question in probability: given a random variable $X$ with probability density $p X$ and another random variable $Y$ such that $Y = ϕ (X)$ for injective (one-to-one) $ϕ,$ what is the probability density for $Y$ ?

It is easiest to answer this question by first answering a slightly different question: what is the probability that $Y$ takes a value in some particular subset $S$ ? Denote this probability $P (Y \in S).$ Of course, if $Y$ has probability density $p Y$ , then the answer is:

[math]\displaystyle{ P(Y \in S) = \int_S p_Y(y)\,dy, }[/math]

but this is not really useful because we do not know $p Y;$ it is what we are trying to find. We can make progress by considering the problem in the variable $X$ . $Y$ takes a value in $S$ whenever $X$ takes a value in [math]\displaystyle{ \phi^{-1}(S), }[/math] so:

[math]\displaystyle{ P(Y \in S) = P(X \in \phi^{-1}(S)) = \int_{\phi^{-1}(S)} p_X(x)\,dx. }[/math]

Changing from variable $x$ to $y$ gives:

[math]\displaystyle{ P(Y \in S) = \int_{\phi^{-1}(S)} p_X(x)\,dx = \int_S p_X(\phi^{-1}(y)) \left|\frac{d\phi^{-1}}{dy}\right|\,dy. }[/math]

Combining this with our first equation gives:

[math]\displaystyle{ \int_S p_Y(y)\,dy = \int_S p_X(\phi^{-1}(y)) \left|\frac{d\phi^{-1}}{dy}\right|\,dy, }[/math]

so:

[math]\displaystyle{ p_Y(y) = p_X(\phi^{-1}(y)) \left|\frac{d\phi^{-1}}{dy}\right|. }[/math]

In the case where $X$ and $Y$ depend on several uncorrelated variables (i.e., [math]\displaystyle{ p_X=p_X(x_1, \ldots, x_n) }[/math] and [math]\displaystyle{ y=\phi(x) }[/math]), [math]\displaystyle{ p_Y }[/math]can be found by substitution in several variables discussed above. The result is:

[math]\displaystyle{ p_Y(y) = p_X(\phi^{-1}(y)) \left|\det D\phi ^{-1}(y) \right|. }[/math]

Notes

↑ Swokowski 1983, p. 257
↑ Swokowski 1983, p. 258
↑ Briggs & Cochran 2011, pg.361
↑ Rudin 1987, Theorem 7.26
↑ Spivak 1965, p. 72
↑ Fremlin 2010, Theorem 263D
↑ Hewitt & Stromberg 1965, Theorem 20.3
↑ Katz 1982
↑ Ferzola 1994

References

Briggs, William; Cochran, Lyle (2011), Calculus /Early Transcendentals (Single Variable ed.), Addison-Wesley, ISBN 978-0-321-66414-3
Ferzola, Anthony P. (1994), "Euler and differentials", The College Mathematics Journal 25 (2): 102–111, doi:10.2307/2687130, http://mathdl.maa.org/mathDL/22/?pa=content&sa=viewDocument&nodeId=2688
Fremlin, D.H. (2010), Measure Theory, Volume 2, Torres Fremlin, ISBN 978-0-9538129-7-4 .
Hewitt, Edwin; Stromberg, Karl (1965), Real and Abstract Analysis, Springer-Verlag, ISBN 978-0-387-04559-7 .
Katz, V. (1982), "Change of variables in multiple integrals: Euler to Cartan", Mathematics Magazine 55 (1): 3–11, doi:10.2307/2689856
Rudin, Walter (1987), Real and Complex Analysis, McGraw-Hill, ISBN 978-0-07-054234-1 .
Swokowski, Earl W. (1983), Calculus with analytic geometry (alternate ed.), Prindle, Weber & Schmidt, ISBN 0-87150-341-7
Spivak, Michael (1965), Calculus on Manifolds, Westview Press, ISBN 978-0-8053-9021-6 .

External links

es:Métodos de integración#Método de integración por sustitución

0.00

(0 votes)

Original source: https://en.wikipedia.org/wiki/Integration by substitution. Read more

[1] Swokowski 1983, p. 257

[2] Swokowski 1983, p. 258

[3] Briggs & Cochran 2011, pg.361

[4] Rudin 1987, Theorem 7.26

[5] Spivak 1965, p. 72

[6] Fremlin 2010, Theorem 263D

[7] Hewitt & Stromberg 1965, Theorem 20.3

[8] Katz 1982

[9] Ferzola 1994

[1]

[2]

[3]

[4]

[5]

[6]

[7]

[8]

[9]

v t e Calculus
Precalculus	Binomial theorem Concave function Continuous function Factorial Finite difference Free variables and bound variables Fundamental theorem Graph of a function Linear function Mean value theorem Radian Rolle's theorem Secant Slope Tangent
Limits	Indeterminate form Limit of a function One-sided limit Limit of a sequence Orders of approximation (ε, δ)-definition of limit
Differential calculus	Chain rule Derivative Differential Differential equation Differential operator Implicit differentiation Inverse functions and differentiation L'Hôpital's rule Leibniz's rule Logarithmic derivative Mean value theorem Newton's method Notation Leibniz's notation Newton's notation Product rule Quotient rule Regiomontanus' angle maximization problem Related rates Simplest rules Constant factor rule in differentiation Linearity of differentiation Power rule Sum rule in differentiation Stationary point First derivative test Second derivative test Extreme value theorem Maxima and minima Taylor's theorem
Integral calculus	Antiderivative Arc length Constant of integration Differentiation under the integral sign Fundamental theorem of calculus Integral of secant cubed Integral of the secant function Integration by parts Integration by substitution Tangent half-angle substitution Partial fractions in integration Quadratic integral Proof that 22/7 exceeds π Simplest rules Constant factor rule in integration Linearity of integration Sum rule in integration Trapezoidal rule Trigonometric substitution
Vector calculus	Curl Directional derivative Divergence Divergence theorem Gradient Gradient theorem Green's theorem Laplacian Stokes' theorem
Multivariable calculus	Curvature Disc integration Divergence theorem Exterior Gabriel's Horn Geometric Hessian matrix Jacobian matrix and determinant Line integral Matrix Multiple integral Partial derivative Shell integration Surface integral Tensor Volume integral
Series	Abel's test Alternating Alternating series test Arithmetico-geometric sequence Binomial Cauchy condensation test Direct comparison test Dirichlet's test Euler–Maclaurin formula Fourier Geometric Harmonic Infinite Integral test for convergence Limit comparison test Maclaurin Power Ratio test Root test Taylor Term test
Special functions and numbers	Bernoulli numbers e (mathematical constant) Exponential function Natural logarithm Stirling's approximation
History of calculus	Adequality Brook Taylor Colin Maclaurin Generality of algebra Gottfried Wilhelm Leibniz Infinitesimal Infinitesimal calculus Isaac Newton Fluxion Law of Continuity Leonhard Euler Method of Fluxions The Method of Mechanical Theorems
Lists	Differentiation rules List of integrals of exponential functions List of integrals of hyperbolic functions List of integrals of inverse hyperbolic functions List of integrals of inverse trigonometric functions List of integrals of irrational functions List of integrals of logarithmic functions List of integrals of rational functions List of integrals of trigonometric functions List of limits List of mathematical symbols Lists of integrals

v t e Integrals
Types of integrals	Riemann integral Lebesgue integral Burkill integral Bochner integral Daniell integral Darboux integral Henstock–Kurzweil integral Haar integral Hellinger integral Khinchin integral Kolmogorov integral Lebesgue–Stieltjes integral Pettis integral Pfeffer integral Riemann–Stieltjes integral Regulated integral
Integration methods	Integration by parts Integration by substitution Inverse function integration Order of integration (calculus) trigonometric substitution Integration by partial fractions Integration by reduction formulae Integration using parametric derivatives Integration using Euler's formula Differentiation under the integral sign Contour integration Numerical integration
Improper integrals	Improper integral Gaussian integral
Stochastic integrals	Itô integral Russo–Vallois integral Stratonovich integral Skorokhod integral

Anonymous

Search

Integration by substitution

Namespaces

More

Page actions

Contents

Substitution for a single variable

Introduction (indefinite integrals)

Statement for definite integrals

Proof

Examples: Definite integrals

Example 1

Example 2

Examples: Antiderivatives

Trigonometric functions

Substitution for multiple variables

Application in probability

See also

Notes

References

External links

Navigation

Navigation

Help

Translate

Wiki tools

Wiki tools

Anonymous

Search

Integration by substitution

Substitution for a single variable

Introduction (indefinite integrals)

Statement for definite integrals

Proof

Examples: Definite integrals

Example 1

Example 2

Examples: Antiderivatives

Trigonometric functions

Substitution for multiple variables

Application in probability

See also

Notes

References

External links

Navigation

Wiki tools

Page tools

Other projects

Categories