Saturday, 21 May 2016

calculus - Integrating a 2D Gaussian over a linear strip



How do I show that



ex22σ2(erf(2d2x2σ)+erf(2d+2x2σ))22πσdx=erf(d2σ)?
Mathematica couldn't do it, though I've verified this numerically. The following argument shows that these are equal, but I want to show this analytically, i.e. using direct integration methods.





(Let



P(x,y)=12πσ2exp(x2+y22σ2),



which is clearly spherically symmetric. I want to integrate this function over the region



R={|xy|d(x,y)R2}
which is just a diagonal linear strip of width d.




(a) I could evaluate



x+2dx2dP(x,y)dxdy=ex22σ2(erf(2d2x2σ)+erf(2d+2x2σ))22πσdx



(b) or I could note the spherical symmetry of P(x,y), rotate my region R to the y-axis, and get



ddP(x,y)dxdy=erf(d2σ).)




Answer



Direct x-integration is not possible. However, expressing the erf functions by (direct) indefinite integrals does the job, after exchanging integration orders:



Noticeerf(2d±2x2σ)=2e(2d±x)22σ2πσdd
Hence we can write
ex22σ2(erf(2d2x2σ)+erf(2d+2x2σ))22πσdx=ddex22σ2(2e(2d+x)22σ2πσ+2e(2dx)22σ2πσ)22πσdx=2ed2/(2σ2)2πσdd=erf(d2σ)



Done.


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