Sunday 14 April 2013

calculus - How to evaluate the integral $int_0^{2pi} thetaexp(xcos(theta) + ysin(theta))) dtheta$

I found five other related integrals whose proofs I am studying now A, B, C, D, and E



$$\int^{2\pi}_0e^{\cos \theta}\cos(a\theta -\sin \theta)\,d \theta = \frac{2\pi}{a!}$$
$$\int_0^{2\pi} \exp(\cos(\theta)) \cos(\theta + \sin(\theta)) = 0$$
$$ \int_0^{2\pi} \exp(\alpha \cos(\theta))\cos(\sin(\theta)) = 2\pi I_0(\sqrt{1 - \alpha^2})$$
$$\int_0^{2\pi} \exp(x\cos(\theta) + y\sin(\theta))) = 2\pi I_0(\sqrt{x^2 + y^2})$$
$$ \int_0^\dfrac{\pi}{2}\beta^\alpha\exp\left(-\beta\cos(\theta)\right)d\theta = \dfrac{1}{2}\beta^\alpha\pi\left(J_0(\beta)-L_0(\beta)\right)$$



I was also able to find a very general statement in Gradshteyn as entry number 3.338.
$$\int_{-\pi}^{\pi} \frac{\exp{\frac{a + b\sin x + c \cos x}{1 + p \sin x + q \cos x}}}{1 + p \sin x + q \cos x} dx = \frac{2\pi e^{-\alpha}I_0(\beta)}{\sqrt{1 - p^2 - q^2}}$$ $$\textrm{where } \alpha = \frac{bp + cq -a}{1 - p^2 - q^2},\; \beta = \sqrt{\alpha^2 - \frac{a^2 - b^2 - c^2}{1 - p^2 - q^2}}$$




But the simplest approach of using integration by parts to reduce my problem to one of these does not work.



Background Here's some background into why I am interested in this integral, let $v = [x, y] \in \mathbb{R}^2$ and $r = [\cos(\theta), \sin(\theta)] \in \mathbb{R}^2$, Consider the value of $$\underset{\theta \tilde{} \textrm{Hill}}{E}[\exp(v^Tr)]$$ This is the expected value of exponential of the projection of a random vector chosen using the Hill distribution, where the "Hill" is an unnormalized distribution that linearly increases from $0$ at $-\pi$ to $1$ at $0$ and then decreases linearly from $0 \textrm{ to } \pi$. Discarding normalizing factor of Hill, This expectation will become:



$$ \int_{-\pi}^{0} (\theta + \pi)\exp(x\cos\theta + y\sin\theta) d\theta + \int_{0}^{\pi} (\pi - \theta) \exp(x\cos\theta + y\sin\theta) d\theta $$



Now, there are simplifying unnormalized distributions I could assume in my model, instead of Hill, such as Uniform from 0 to $2\pi$, or $\exp(\cos(\theta))$ both of these distribution allow analytical calculation of the above expectation just based on the identities written below, but I want to know which distributions I can compute this expectation for (Can I do this for Hill?) I will guess that I can only do it for distributions that have some finite decomposition in terms of spherical harmonics. Unfortunately, my knowledge is lacking in complex analysis and spherical harmonics so I can't quickly assess my options.

No comments:

Post a Comment

real analysis - How to find $lim_{hrightarrow 0}frac{sin(ha)}{h}$

How to find $\lim_{h\rightarrow 0}\frac{\sin(ha)}{h}$ without lhopital rule? I know when I use lhopital I easy get $$ \lim_{h\rightarrow 0}...