Saturday, 10 September 2016

integration - How to calculate this double integral? (solution known)



This question is related to determining the one-sided spectral density function G(ω) of a 2D random field which is given by:



G(ω1,ω2)=(2σπ)200exp((2τ1θ1)2+(2τ2θ2)2)cos(ω1τ1)cos(ω2τ2) dτ1dτ2



Fenton and Griffiths (2008) in 'Risk Assessment in Geotechnical Engineering' give the analytical result as:
G(ω1,ω2)=σ2θ1θ22π[1+(θ1ω12)2+(θ2ω22)2]3/2




However I have been unable to obtain this result myself. I have also tried integration in Wolfram Mathematica which failed as well.



Does anyone know how to perform this integral or formulate it in such a way that Wolfram Mathematica can solve it? I want to verify the solution given by Fenton and Griffiths (2008).


Answer



Hint. One may start with the classic result
0eλxdx=1λ,Re(λ)>0, giving with λ:=1+ia and by differentiating
0errcos(ar)dr=1a2(1+a2)2,aR. Then, by a standard change of variable from cartesian coordinates to polar coordinates, one gets
G(ω1,ω2)=(2π)200exp((2τ1θ1)2+(2τ2θ2)2)cos(ω1τ1)cos(ω2τ2)dτ1dτ2=θ1θ2π200exp(x2+y2)cos(w1x)cos(w2y)dxdy=θ1θ2π2π/200rercos(w1rcosθ)cos(w2rsinθ)drdθ=θ1θ22π2π/200rer(cos[(w1cosθ+w2sinθ)r]+cos[(w1cosθw2sinθ)r])drdθ=θ1θ22π2π/20(1(w1cosθ+w2sinθ)2(1+(w1cosθ+w2sinθ)2)2+1(w1cosθw2sinθ)2(1+(w1cosθw2sinθ)2)2)dθ=θ1θ22π2π(1+w21+w22)3/2 where we have obtained the latter integral by a tangent half-angle substitution and where we have set
w1:=θ1ω12,w1:=θ2ω22.


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