傅里叶级数与傅里叶变换
三角函数的正交性
三角函数系定义: { 0 , 1 , sin x , cos x , sin 2 x , cos 2 x , . . . , sin n x , cos n x , . . . } \{0,1,\sin{x},\cos{x},\sin{2x},\cos{2x},...,\sin{nx},\cos{nx},...\} {0,1,sinx,cosx,sin2x,cos2x,...,sinnx,cosnx,...}
频率不同的三角函数相乘在一个周期内(
−
π
-\pi
−π 到
π
\pi
π)的积分必定为 0:
∫
−
π
π
sin
(
m
x
)
sin
(
n
x
)
d
x
=
1
2
∫
−
π
π
cos
[
(
m
−
n
)
x
]
−
cos
[
(
m
+
n
)
x
]
d
x
=
0
,
w
h
e
r
e
n
≠
m
\int_{-\pi}^{\pi} \sin(mx) \sin(nx)dx = \frac{1}{2} \int_{-\pi}^{\pi} \cos[(m-n)x] - \cos[(m+n)x]dx = 0, where\ n \ne m
∫−ππsin(mx)sin(nx)dx=21∫−ππcos[(m−n)x]−cos[(m+n)x]dx=0,where n=m
∫ − π π cos ( m x ) cos ( n x ) d x = 1 2 ∫ − π π cos [ ( m − n ) x ] + cos [ ( m + n ) x ] d x = 0 , w h e r e n ≠ m \int_{-\pi}^{\pi} \cos(mx) \cos(nx)dx = \frac{1}{2} \int_{-\pi}^{\pi} \cos[(m-n)x] + \cos[(m+n)x]dx = 0, where\ n \ne m ∫−ππcos(mx)cos(nx)dx=21∫−ππcos[(m−n)x]+cos[(m+n)x]dx=0,where n=m
∫ − π π sin ( m x ) cos ( n x ) d x = 1 2 ∫ − π π sin [ ( m − n ) x ] + sin [ ( m + n ) x ] d x = 0 \int_{-\pi}^{\pi} \sin(mx) \cos(nx)dx = \frac{1}{2} \int_{-\pi}^{\pi} \sin[(m-n)x] + \sin[(m+n)x]dx = 0 ∫−ππsin(mx)cos(nx)dx=21∫−ππsin[(m−n)x]+sin[(m+n)x]dx=0
因此,在三角函数系中,取 2 个不同的函数,其乘积在 [ − π , π ] [-\pi,\pi] [−π,π] 之间的定积分为 0。
傅里叶级数
周期为 2 π \pi π 的函数展开为傅里叶级数
将一个函数展开成傅里叶级数:
f
(
x
)
=
∑
n
=
0
∞
a
n
cos
(
n
x
)
+
∑
n
=
0
∞
b
n
sin
(
n
x
)
=
a
0
2
+
∑
n
=
1
∞
a
n
cos
(
n
x
)
+
∑
n
=
1
∞
b
n
sin
(
n
x
)
f(x) = \sum_{n=0}^{\infty} a_n \cos(nx) + \sum_{n=0}^{\infty} b_n \sin(nx) = \frac{a_0}{2} + \sum_{n=1}^{\infty} a_n \cos(nx) + \sum_{n=1}^{\infty} b_n \sin(nx)
f(x)=n=0∑∞ancos(nx)+n=0∑∞bnsin(nx)=2a0+n=1∑∞ancos(nx)+n=1∑∞bnsin(nx)
求
a
0
a_0
a0:
等式左右两边分别对
−
π
-\pi
−π 到
π
\pi
π 求积分:
∫
−
π
π
f
(
x
)
d
x
=
2
π
a
0
+
∫
−
π
π
∑
n
=
1
∞
a
n
cos
(
n
x
)
d
x
+
∫
−
π
π
∑
n
=
1
∞
b
n
sin
(
n
x
)
d
x
\int_{-\pi}^{\pi} f(x)dx = 2\pi a_0 + \int_{-\pi}^{\pi} \sum_{n=1}^{\infty} a_n \cos(nx) dx + \int_{-\pi}^{\pi} \sum_{n=1}^{\infty} b_n \sin(nx)dx
∫−ππf(x)dx=2πa0+∫−ππn=1∑∞ancos(nx)dx+∫−ππn=1∑∞bnsin(nx)dx
根据三角函数的正交性:
∫
−
π
π
f
(
x
)
d
x
=
2
π
a
0
→
a
0
2
=
1
π
∫
−
π
π
f
(
x
)
d
x
\int_{-\pi}^{\pi} f(x)dx = 2\pi a_0 \rightarrow \frac{a_0}{2} = \frac{1}{\pi}\int_{-\pi}^{\pi} f(x)dx
∫−ππf(x)dx=2πa0→2a0=π1∫−ππf(x)dx
求
a
n
a_n
an:等式左右两边同时乘以
cos
(
m
x
)
\cos(mx)
cos(mx) 再对
−
π
-\pi
−π 到
π
\pi
π 求积分:
∫
−
π
π
f
(
x
)
cos
(
m
x
)
d
x
=
∫
−
π
π
a
0
2
cos
(
m
x
)
d
x
+
∫
−
π
π
∑
n
=
1
∞
a
n
cos
(
n
x
)
cos
(
m
x
)
d
x
+
∫
−
π
π
∑
n
=
1
∞
b
n
sin
(
n
x
)
cos
(
m
x
)
d
x
\int_{-\pi}^{\pi} f(x) \cos(mx)dx = \int_{-\pi}^{\pi} \frac{a_0}{2}\cos(mx)dx + \int_{-\pi}^{\pi} \sum_{n=1}^{\infty} a_n \cos(nx) \cos(mx) dx + \int_{-\pi}^{\pi} \sum_{n=1}^{\infty} b_n \sin(nx) \cos(mx) dx
∫−ππf(x)cos(mx)dx=∫−ππ2a0cos(mx)dx+∫−ππn=1∑∞ancos(nx)cos(mx)dx+∫−ππn=1∑∞bnsin(nx)cos(mx)dx
根据三角函数的正交性:
∫
−
π
π
f
(
x
)
cos
(
m
x
)
d
x
=
∫
−
π
π
∑
n
=
1
∞
a
n
cos
(
n
x
)
cos
(
m
x
)
d
x
\int_{-\pi}^{\pi} f(x) \cos(mx)dx = \int_{-\pi}^{\pi} \sum_{n=1}^{\infty} a_n \cos(nx) \cos(mx) dx
∫−ππf(x)cos(mx)dx=∫−ππ∑n=1∞ancos(nx)cos(mx)dx
仅当
n
=
m
n=m
n=m 时:
∫
−
π
π
f
(
x
)
cos
(
m
x
)
d
x
=
∫
−
π
π
a
n
cos
(
n
x
)
cos
(
n
x
)
d
x
=
a
n
∫
−
π
π
cos
2
(
n
x
)
d
x
=
a
n
π
\int_{-\pi}^{\pi} f(x) \cos(mx)dx = \int_{-\pi}^{\pi} a_n \cos(nx) \cos(nx) dx = a_n \int_{-\pi}^{\pi}\cos^2(nx)dx = a_n \pi
∫−ππf(x)cos(mx)dx=∫−ππancos(nx)cos(nx)dx=an∫−ππcos2(nx)dx=anπ
因此:
a
n
=
1
π
∫
−
π
π
f
(
x
)
cos
(
n
x
)
d
x
a_n = \frac{1}{\pi}\int_{-\pi}^{\pi} f(x) \cos(nx)dx
an=π1∫−ππf(x)cos(nx)dx
求
b
n
b_n
bn:等式左右两边同时乘以
sin
(
m
x
)
\sin(mx)
sin(mx) 再对
−
π
-\pi
−π 到
π
\pi
π 求积分:
b
n
=
1
π
∫
−
π
π
f
(
x
)
sin
(
n
x
)
d
x
b_n = \frac{1}{\pi}\int_{-\pi}^{\pi} f(x) \sin(nx)dx
bn=π1∫−ππf(x)sin(nx)dx
周期为 2 L L L 的函数展开为傅里叶级数
函数
f
(
t
)
f(t)
f(t) 的周期为 2
L
L
L,利用换元的方法:
x
=
π
L
t
t
=
L
π
f
(
t
)
=
f
(
L
π
x
)
≜
g
(
x
)
x = \frac{\pi}{L}t \\ t = \frac{L}{\pi} \\ f(t) = f(\frac{L}{\pi}x) \triangleq g(x)
x=Lπtt=πLf(t)=f(πLx)≜g(x)
函数
g
(
x
)
g(x)
g(x) 即为周期 2
π
\pi
π 的函数。因此:
f
(
t
)
=
a
0
2
+
∑
n
=
1
∞
[
a
n
cos
(
n
π
L
t
)
+
b
n
sin
(
n
π
L
t
)
]
a
0
=
1
L
∫
−
L
L
f
(
t
)
d
t
a
n
=
1
L
∫
−
L
L
f
(
t
)
cos
(
n
π
L
t
)
d
t
b
n
=
1
L
∫
−
L
L
f
(
t
)
sin
(
n
π
L
t
)
d
t
f(t) = \frac{a_0}{2} + \sum_{n=1}^{\infty} [a_n \cos(\frac{n\pi}{L}t) + b_n \sin(\frac{n\pi}{L}t)] \\ a_0 = \frac{1}{L}\int_{-L}^{L} f(t)dt \\ a_n = \frac{1}{L}\int_{-L}^{L} f(t) \cos(\frac{n\pi}{L}t)dt \\ b_n = \frac{1}{L}\int_{-L}^{L} f(t) \sin(\frac{n\pi}{L}t)dt
f(t)=2a0+n=1∑∞[ancos(Lnπt)+bnsin(Lnπt)]a0=L1∫−LLf(t)dtan=L1∫−LLf(t)cos(Lnπt)dtbn=L1∫−LLf(t)sin(Lnπt)dt
通常来说,
t
t
t 从 0 开始,周期为
T
=
2
L
T=2L
T=2L,
ω
=
π
L
=
2
π
T
\omega = \frac{\pi}{L} = \frac{2\pi}{T}
ω=Lπ=T2π:
f
(
t
)
=
a
0
2
+
∑
n
=
1
∞
[
a
n
cos
(
n
ω
t
)
+
b
n
sin
(
n
ω
t
)
]
a
0
=
2
T
∫
0
T
f
(
t
)
d
t
a
n
=
2
T
∫
0
T
f
(
t
)
cos
(
n
ω
t
)
d
t
b
n
=
2
T
∫
0
T
f
(
t
)
sin
(
n
ω
t
)
d
t
(1)
f(t) = \frac{a_0}{2} + \sum_{n=1}^{\infty} [a_n \cos(n \omega t) + b_n \sin(n \omega t)] \\ a_0 = \frac{2}{T}\int_{0}^{T} f(t)dt \\ a_n = \frac{2}{T}\int_{0}^{T} f(t) \cos(n \omega t)dt \\ b_n = \frac{2}{T}\int_{0}^{T} f(t) \sin(n \omega t)dt \\ \tag{1}
f(t)=2a0+n=1∑∞[ancos(nωt)+bnsin(nωt)]a0=T2∫0Tf(t)dtan=T2∫0Tf(t)cos(nωt)dtbn=T2∫0Tf(t)sin(nωt)dt(1)
傅里叶级数的复数形式
欧拉公式: e i θ = cos θ + i sin θ e^{i\theta} = \cos{\theta} + i \sin{\theta} eiθ=cosθ+isinθ
由此引申 2 个推导:
cos
θ
=
1
2
(
e
i
θ
+
e
−
i
θ
)
sin
θ
=
−
1
2
i
(
e
i
θ
−
e
−
i
θ
)
\cos{\theta} = \frac{1}{2} (e^{i\theta} + e^{-i\theta}) \\ \sin{\theta} = -\frac{1}{2}i (e^{i\theta} - e^{-i\theta})
cosθ=21(eiθ+e−iθ)sinθ=−21i(eiθ−e−iθ)
将其带入公式
(
1
)
(1)
(1):
f
(
t
)
=
a
0
2
+
∑
n
=
1
∞
[
a
n
e
i
n
ω
t
+
e
−
i
n
ω
t
2
+
b
n
−
i
(
e
i
n
ω
t
+
e
−
i
n
ω
t
)
2
]
=
a
0
2
+
∑
n
=
1
∞
e
i
n
ω
t
a
n
−
i
b
n
2
+
∑
n
=
1
∞
e
−
i
n
ω
t
a
n
+
i
b
n
2
=
a
0
2
+
∑
n
=
1
∞
e
i
n
ω
t
a
n
−
i
b
n
2
+
∑
n
=
−
∞
−
1
e
i
n
ω
t
a
−
n
+
i
b
−
n
2
=
∑
n
=
−
∞
∞
c
n
e
i
n
ω
t
f(t) = \frac{a_0}{2} + \sum_{n=1}^{\infty} [a_n \frac{e^{in\omega t} + e^{-in\omega t}}{2} + b_n \frac{-i(e^{in\omega t} + e^{-in\omega t})}{2}] \\ = \frac{a_0}{2} + \sum_{n=1}^{\infty} e^{in\omega t} \frac{a_n - ib_n}{2} + \sum_{n=1}^{\infty} e^{-in\omega t} \frac{a_n + ib_n}{2} \\ = \frac{a_0}{2} + \sum_{n=1}^{\infty} e^{in\omega t} \frac{a_n - ib_n}{2} + \sum_{n=-\infty}^{-1} e^{in\omega t} \frac{a_{-n} + ib_{-n}}{2} \\ = \sum_{n=-\infty}^{\infty}c_n e^{in\omega t}
f(t)=2a0+n=1∑∞[an2einωt+e−inωt+bn2−i(einωt+e−inωt)]=2a0+n=1∑∞einωt2an−ibn+n=1∑∞e−inωt2an+ibn=2a0+n=1∑∞einωt2an−ibn+n=−∞∑−1einωt2a−n+ib−n=n=−∞∑∞cneinωt
其中,
c
n
=
a
0
2
,
w
h
e
r
e
n
=
0
c
n
=
a
n
−
i
b
n
2
,
w
h
e
r
e
n
>
0
c
n
=
a
−
n
+
i
b
−
n
2
,
w
h
e
r
e
n
<
0
c_n = \frac{a_0}{2}, where \ n = 0 \\ c_n = \frac{a_n - ib_n}{2}, where \ n > 0 \\ c_n = \frac{a_{-n} + ib_{-n}}{2}, where \ n < 0
cn=2a0,where n=0cn=2an−ibn,where n>0cn=2a−n+ib−n,where n<0
即:
c
n
=
a
0
2
=
1
T
∫
0
T
f
(
t
)
d
t
,
w
h
e
r
e
n
=
0
c
n
=
a
n
−
i
b
n
2
=
1
T
∫
0
T
f
(
t
)
e
−
i
n
ω
t
d
t
,
w
h
e
r
e
n
>
0
c
n
=
a
−
n
+
i
b
−
n
2
=
1
T
∫
0
T
f
(
t
)
e
−
i
n
ω
t
d
t
,
w
h
e
r
e
n
<
0
c_n = \frac{a_0}{2} = \frac{1}{T}\int_{0}^{T} f(t)dt, where \ n = 0 \\ c_n = \frac{a_n - ib_n}{2} = \frac{1}{T}\int_{0}^{T} f(t)e^{-in\omega t}dt, where \ n > 0 \\ c_n = \frac{a_{-n} + ib_{-n}}{2} = \frac{1}{T}\int_{0}^{T} f(t)e^{-in\omega t}dt, where \ n < 0
cn=2a0=T1∫0Tf(t)dt,where n=0cn=2an−ibn=T1∫0Tf(t)e−inωtdt,where n>0cn=2a−n+ib−n=T1∫0Tf(t)e−inωtdt,where n<0
因此:
f
(
t
)
=
∑
n
=
−
∞
∞
c
n
e
i
n
ω
t
w
h
e
r
e
c
n
=
1
T
∫
0
T
f
(
t
)
e
−
i
n
ω
t
d
t
(2)
\textcolor{red}{ f(t) = \sum_{n=-\infty}^{\infty}c_n e^{in\omega t}\\\ where\ c_n =\frac{1}{T}\int_{0}^{T} f(t)e^{-in\omega t}dt } \tag{2}
f(t)=n=−∞∑∞cneinωt where cn=T1∫0Tf(t)e−inωtdt(2)
傅里叶变换
为了表示的方便,在这里,定义 ω 0 = 2 π T \omega _0 = \frac{2\pi}{T} ω0=T2π,而 ω \omega ω 表示连续的角频率。
上面的公式
(
2
)
(2)
(2) 可以写成:
f
(
t
)
=
∑
n
=
−
∞
∞
ω
0
2
π
∫
−
T
2
T
2
f
(
t
)
e
−
i
n
ω
0
t
d
t
e
i
n
ω
0
t
(3)
f(t) = \sum_{n=-\infty}^{\infty}\frac{\omega _0}{2\pi}\int_{-\frac{T}{2}}^{\frac{T}{2}} f(t)e^{-in\omega _0t}dt e^{in\omega _0t} \tag{3}
f(t)=n=−∞∑∞2πω0∫−2T2Tf(t)e−inω0tdteinω0t(3)
当一个函数为非周期函数时:
T
→
∞
T \rightarrow \infty
T→∞,则:
∫
−
T
2
T
2
d
t
→
∫
−
∞
∞
d
t
n
ω
0
→
ω
∑
n
=
−
∞
∞
ω
0
→
∫
−
∞
∞
d
ω
\int_{-\frac{T}{2}}^{\frac{T}{2}}dt \rightarrow \int_{-\infty}^{\infty}dt \\ n\omega _0 \rightarrow \omega \\ \sum_{n=-\infty}^{\infty} \omega _0 \rightarrow \int_{-\infty}^{\infty}d\omega
∫−2T2Tdt→∫−∞∞dtnω0→ωn=−∞∑∞ω0→∫−∞∞dω
因此,非周期函数的傅里叶级数可以写成:
f
(
t
)
=
1
2
π
∫
−
∞
∞
∫
−
∞
∞
f
(
t
)
e
−
i
ω
t
d
t
e
i
ω
t
d
ω
f(t) = \frac{1}{2\pi}\int_{-\infty}^{\infty}\textcolor{red}{\int_{-\infty}^{\infty} f(t)e^{-i\omega t}dt} e^{i\omega t}d\omega
f(t)=2π1∫−∞∞∫−∞∞f(t)e−iωtdteiωtdω
其中,红色部分就称为傅里叶变换:
F
(
ω
)
=
∫
−
∞
∞
f
(
t
)
e
−
i
ω
t
d
t
(4)
F(\omega) = \int_{-\infty}^{\infty} f(t)e^{-i\omega t}dt \tag{4}
F(ω)=∫−∞∞f(t)e−iωtdt(4)
剩下的就是傅里叶逆变换:
f
(
t
)
=
1
2
π
∫
−
∞
∞
F
(
ω
)
e
i
ω
t
d
ω
f(t) = \frac{1}{2\pi}\int_{-\infty}^{\infty} F(\omega) e^{i\omega t}d\omega
f(t)=2π1∫−∞∞F(ω)eiωtdω
离散傅里叶变换 (DFT)
对于一个长度为 N 的序列
x
[
n
]
x[n]
x[n],其可以理解成周期为 N,公式
(
3
)
(3)
(3) 可以表示成:
X
[
k
]
=
∑
n
=
0
N
−
1
x
[
n
]
e
−
i
n
2
π
N
k
X[k] =\sum_{n=0}^{N-1} x[n] e^{-in\frac{2\pi}{N}k}
X[k]=n=0∑N−1x[n]e−inN2πk
其中,
k
=
0
,
1
,
2
,
.
.
.
,
N
−
1
k = 0,1,2,...,N-1
k=0,1,2,...,N−1。