ME401-1 2 2-LaplaceTransform PDF
ME401-1 2 2-LaplaceTransform PDF
ME401-1 2 2-LaplaceTransform PDF
Laplace transform
The Laplace transform is a widely used integral transform with many applications in physics and engineering.
Denoted , it is a linear operator of a function f(t) with a real argument t (t ≥ 0) that transforms it to a
function F(s) with a complex argument s. This transformation is essentially bijective for the majority of practical
uses; the respective pairs of f(t) and F(s) are matched in tables. The Laplace transform has the useful property that
many relationships and operations over the originals f(t) correspond to simpler relationships and operations over the
images F(s).[1] It is named after Pierre-Simon Laplace, who introduced the transform in his work on probability
theory.
The Laplace transform is related to the Fourier transform, but whereas the Fourier transform expresses a function or
signal as a series of modes of vibration (frequencies), the Laplace transform resolves a function into its moments.
Like the Fourier transform, the Laplace transform is used for solving differential and integral equations. In physics
and engineering it is used for analysis of linear time-invariant systems such as electrical circuits, harmonic
oscillators, optical devices, and mechanical systems. In such analyses, the Laplace transform is often interpreted as a
transformation from the time-domain, in which inputs and outputs are functions of time, to the frequency-domain,
where the same inputs and outputs are functions of complex angular frequency, in radians per unit time. Given a
simple mathematical or functional description of an input or output to a system, the Laplace transform provides an
alternative functional description that often simplifies the process of analyzing the behavior of the system, or in
synthesizing a new system based on a set of specifications.
History
The Laplace transform is named after mathematician and astronomer Pierre-Simon Laplace, who used a similar
transform (now called z transform) in his work on probability theory. The current widespread use of the transform
came about soon after World War II although it had been used in the 19th century by Abel, Lerch, Heaviside and
Bromwich. The older history of similar transforms is as follows. From 1744, Leonhard Euler investigated integrals
of the form
as solutions of differential equations but did not pursue the matter very far.[2] Joseph Louis Lagrange was an admirer
of Euler and, in his work on integrating probability density functions, investigated expressions of the form
which some modern historians have interpreted within modern Laplace transform theory.[3][4]Wikipedia:Please
clarify
These types of integrals seem first to have attracted Laplace's attention in 1782 where he was following in the spirit
of Euler in using the integrals themselves as solutions of equations.[5] However, in 1785, Laplace took the critical
step forward when, rather than just looking for a solution in the form of an integral, he started to apply the transforms
in the sense that was later to become popular. He used an integral of the form:
akin to a Mellin transform, to transform the whole of a difference equation, in order to look for solutions of the
transformed equation. He then went on to apply the Laplace transform in the same way and started to derive some of
its properties, beginning to appreciate its potential power.[6]
Laplace also recognised that Joseph Fourier's method of Fourier series for solving the diffusion equation could only
apply to a limited region of space as the solutions were periodic. In 1809, Laplace applied his transform to find
Laplace transform 2
Formal definition
The Laplace transform of a function f(t), defined for all real numbers t ≥ 0, is the function F(s), defined by:
An important special case is where μ is a probability measure or, even more specifically, the Dirac delta function. In
operational calculus, the Laplace transform of a measure is often treated as though the measure came from a
distribution function f. In that case, to avoid potential confusion, one often writes
This limit emphasizes that any point mass located at 0 is entirely captured by the Laplace transform. Although with
the Lebesgue integral, it is not necessary to take such a limit, it does appear more naturally in connection with the
Laplace–Stieltjes transform.
Probability theory
In pure and applied probability, the Laplace transform is defined as an expected value. If X is a random variable with
probability density function f, then the Laplace transform of f is given by the expectation
By abuse of language, this is referred to as the Laplace transform of the random variable X itself. Replacing s by −t
gives the moment generating function of X. The Laplace transform has applications throughout probability theory,
including first passage times of stochastic processes such as Markov chains, and renewal theory.
Of particular use is the ability to recover the probability distribution function of a random variable X by means of the
Laplace transform as follows
Laplace transform 3
where γ is a real number so that the contour path of integration is in the region of convergence of F(s). An alternative
formula for the inverse Laplace transform is given by Post's inversion formula.
Region of convergence
If f is a locally integrable function (or more generally a Borel measure locally of bounded variation), then the
Laplace transform F(s) of f converges provided that the limit
exists (as a proper Lebesgue integral). The Laplace transform is usually understood as conditionally convergent,
meaning that it converges in the former instead of the latter sense.
The set of values for which F(s) converges absolutely is either of the form Re(s) > a or else Re(s) ≥ a, where a is an
extended real constant, −∞ ≤ a ≤ ∞. (This follows from the dominated convergence theorem.) The constant a is
known as the abscissa of absolute convergence, and depends on the growth behavior of f(t).[9] Analogously, the
two-sided transform converges absolutely in a strip of the form a < Re(s) < b, and possibly including the lines Re(s)
= a or Re(s) = b.[10] The subset of values of s for which the Laplace transform converges absolutely is called the
region of absolute convergence or the domain of absolute convergence. In the two-sided case, it is sometimes called
the strip of absolute convergence. The Laplace transform is analytic in the region of absolute convergence.
Similarly, the set of values for which F(s) converges (conditionally or absolutely) is known as the region of
conditional convergence, or simply the region of convergence (ROC). If the Laplace transform converges
(conditionally) at s = s0, then it automatically converges for all s with Re(s) > Re(s0). Therefore the region of
convergence is a half-plane of the form Re(s) > a, possibly including some points of the boundary line Re(s) = a. In
the region of convergence Re(s) > Re(s0), the Laplace transform of f can be expressed by integrating by parts as the
integral
Laplace transform 4
That is, in the region of convergence F(s) can effectively be expressed as the absolutely convergent Laplace
transform of some other function. In particular, it is analytic.
A variety of theorems, in the form of Paley–Wiener theorems, exist concerning the relationship between the decay
properties of f and the properties of the Laplace transform within the region of convergence.
In engineering applications, a function corresponding to a linear time-invariant (LTI) system is stable if every
bounded input produces a bounded output. This is equivalent to the absolute convergence of the Laplace transform
of the impulse response function in the region Re(s) ≥ 0. As a result, LTI systems are stable provided the poles of the
Laplace transform of the impulse response function have negative real part.
Time scaling
Frequency shifting
Complex
conjugation
Cross-correlation
Relation to moments
The quantities
are the moments of the function f. Note by repeated differentiation under the integral, .
This is of special significance in probability theory, where the moments of a random variable X are given by the
expectation values . Then the relation holds:
Laplace transform 6
yielding
where fn is the nth derivative of f, can then be established with an inductive argument.
or
For example,
Laplace–Stieltjes transform
The (unilateral) Laplace–Stieltjes transform of a function g : R → R is defined by the Lebesgue–Stieltjes integral
then the Laplace–Stieltjes transform of g and the Laplace transform of f coincide. In general, the Laplace–Stieltjes
transform is the Laplace transform of the Stieltjes measure associated to g. So in practice, the only distinction
between the two transforms is that the Laplace transform is thought of as operating on the density function of the
measure, whereas the Laplace–Stieltjes transform is thought of as operating on its cumulative distribution
function.[13]
Fourier transform
The continuous Fourier transform is equivalent to evaluating the bilateral Laplace transform with imaginary
argument s = iω or s = 2πfi :
This definition of the Fourier transform requires a prefactor of 1/2π on the reverse Fourier transform. This
relationship between the Laplace and Fourier transforms is often used to determine the frequency spectrum of a
signal or dynamical system.
The above relation is valid as stated if and only if the region of convergence (ROC) of F(s) contains the imaginary
axis, σ = 0. For example, the function f(t) = cos(ω0t) has a Laplace transform F(s) = s/(s2 + ω02) whose ROC is Re(s)
> 0. As s = iω is a pole of F(s), substituting s = iω in F(s) does not yield the Fourier transform of f(t)u(t), which is
proportional to the Dirac delta-function δ(ω-ω0).
However, a relation of the form
holds under much weaker conditions. For instance, this holds for the above example provided that the limit is
understood as a weak limit of measures (see vague topology). General conditions relating the limit of the Laplace
transform of a function on the boundary to the Fourier transform take the form of Paley-Wiener theorems.
Laplace transform 8
Mellin transform
The Mellin transform and its inverse are related to the two-sided Laplace transform by a simple change of variables.
If in the Mellin transform
Z-transform
The unilateral or one-sided Z-transform is simply the Laplace transform of an ideally sampled signal with the
substitution of
where T = 1/fs is the sampling period (in units of time e.g., seconds) and fs is the sampling rate (in samples per
second or hertz)
Let
This is precisely the definition of the unilateral Z-transform of the discrete function x[n]
The similarity between the Z and Laplace transforms is expanded upon in the theory of time scale calculus.
Laplace transform 9
Borel transform
The integral form of the Borel transform
is a special case of the Laplace transform for f an entire function of exponential type, meaning that
for some constants A and B. The generalized Borel transform allows a different weighting function to be used, rather
than the exponential function, to transform functions not of exponential type. Nachbin's theorem gives necessary and
sufficient conditions for the Borel transform to be well defined.
Fundamental relationships
Since an ordinary Laplace transform can be written as a special case of a two-sided transform, and since the
two-sided transform can be written as the sum of two one-sided transforms, the theory of the Laplace-, Fourier-,
Mellin-, and Z-transforms are at bottom the same subject. However, a different point of view and different
characteristic problems are associated with each of these four major integral transforms.
• The Laplace transform of a multiple of a function is that multiple times the Laplace transformation of that
function.
Using this linearity, and various trigonometric, hyperbolic, and complex number (etc.) properties and/or identities,
some Laplace transforms can be obtained from others quicker than by using the definition directly.
The unilateral Laplace transform takes as input a function whose time domain is the non-negative reals, which is
why all of the time domain functions in the table below are multiples of the Heaviside step function, u(t). The entries
of the table that involve a time delay τ are required to be causal (meaning that τ > 0). A causal system is a system
where the impulse response h(t) is zero for all time t prior to t = 0. In general, the region of convergence for causal
systems is not the same as that of anticausal systems.
nth power with frequency shift Re(s) > −α Integrate unit step,
apply frequency shift
Explanatory notes:
• u(t) represents the Heaviside step function. • t, a real number, typically represents time,
• represents the Dirac delta function. although it can represent any independent dimension.
• Γ(z) represents the Gamma function. • s is the complex angular frequency, and Re(s) is its real part.
• γ is the Euler–Mascheroni constant. • α, β, τ, and ω are real numbers.
• n is an integer.
Laplace transform 11
Note that the resistor is exactly the same in the time domain and the s-Domain. The sources are put in if there are
initial conditions on the circuit elements. For example, if a capacitor has an initial voltage across it, or if the inductor
has an initial current through it, the sources inserted in the s-Domain account for that.
The equivalents for current and voltage sources are simply derived from the transformations in the table above.
where λ is the decay constant. The Laplace transform can be used to solve this equation.
Rearranging the equation to one side, we have
where
and
Solving, we find
Finally, we take the inverse Laplace transform to find the general solution
where C is the capacitance (in farads) of the capacitor, i = i(t) is the electric current (in amperes) through the
capacitor as a function of time, and v = v(t) is the voltage (in volts) across the terminals of the capacitor, also as a
function of time.
Taking the Laplace transform of this equation, we obtain
where
and
The definition of the complex impedance Z (in ohms) is the ratio of the complex voltage V divided by the complex
current I while holding the initial state Vo at zero:
The impulse response is simply the inverse Laplace transform of this transfer function:
To evaluate this inverse transform, we begin by expanding H(s) using the method of partial fraction expansion:
The unknown constants P and R are the residues located at the corresponding poles of the transfer function. Each
residue represents the relative contribution of that singularity to the transfer function's overall shape. By the residue
theorem, the inverse Laplace transform depends only upon the poles and their residues. To find the residue P, we
multiply both sides of the equation by s + α to get
Then by letting s = −α, the contribution from R vanishes and all that is left is
Note that
and so the substitution of R and P into the expanded expression for H(s) gives
Finally, using the linearity property and the known transform for exponential decay (see Item #3 in the Table of
Laplace Transforms, above), we can take the inverse Laplace transform of H(s) to obtain:
is
we find the inverse transform by first adding and subtracting the same constant α to the numerator:
Finally, using the Laplace transforms for sine and cosine (see the table, above), we have
We are now able to take the inverse Laplace transform of our terms:
Notes
[2] , ,
[16] Mathematical Handbook of Formulas and Tables (3rd edition), S. Lipschutz, M.R. Spiegel, J. Liu, Schuam's Outline Series, p.183, 2009,
ISBN 978-0-07-154855-7 - provides the case for real q.
[17] http:/ / mathworld. wolfram. com/ LaplaceTransform. html - Wolfram Mathword provides case for complex q
[18] On the interpretation of continuum flux observations from thermal radio sources: I. Continuum spectra and brightness contours, M Salem
and MJ Seaton, Monthly Notices of the Royal Astronomical Society (MNRAS), Vol. 167, p. 493-510 (1974) (http:/ / adsabs. harvard. edu/
cgi-bin/ nph-data_query?bibcode=1974MNRAS. 167. . 493S& link_type=ARTICLE& db_key=AST& high=) II. Three-dimensional models,
M Salem, MNRAS Vol. 167, p. 511-516 (1974) (http:/ / adsabs. harvard. edu/ cgi-bin/ nph-data_query?bibcode=1974MNRAS. 167. . 511S&
link_type=ARTICLE& db_key=AST& high=)
Laplace transform 16
References
Modern
• Arendt, Wolfgang; Batty, Charles J.K.; Hieber, Matthias; Neubrander, Frank (2002), Vector-Valued Laplace
Transforms and Cauchy Problems, Birkhäuser Basel, ISBN 3-7643-6549-8.
• Bracewell, Ronald N. (1978), The Fourier Transform and its Applications (2nd ed.), McGraw-Hill Kogakusha,
ISBN 0-07-007013-X
• Bracewell, R. N. (2000), The Fourier Transform and Its Applications (3rd ed.), Boston: McGraw-Hill,
ISBN 0-07-116043-4.
• Davies, Brian (2002), Integral transforms and their applications (Third ed.), New York: Springer,
ISBN 0-387-95314-0.
• Feller, William (1971), An introduction to probability theory and its applications. Vol. II., Second edition, New
York: John Wiley & Sons, MR 0270403 (http://www.ams.org/mathscinet-getitem?mr=0270403).
• Korn, G. A.; Korn, T. M. (1967), Mathematical Handbook for Scientists and Engineers (2nd ed.), McGraw-Hill
Companies, ISBN 0-07-035370-0.
• Polyanin, A. D.; Manzhirov, A. V. (1998), Handbook of Integral Equations, Boca Raton: CRC Press,
ISBN 0-8493-2876-4.
• Schwartz, Laurent (1952), "Transformation de Laplace des distributions" (in French), Comm. Sém. Math. Univ.
Lund [Medd. Lunds Univ. Mat. Sem.] 1952: 196–206, MR 0052555 (http://www.ams.org/
mathscinet-getitem?mr=0052555).
• Siebert, William McC. (1986), Circuits, Signals, and Systems, Cambridge, Massachusetts: MIT Press,
ISBN 0-262-19229-2.
• Widder, David Vernon (1941), The Laplace Transform, Princeton Mathematical Series, v. 6, Princeton University
Press, MR 0005923 (http://www.ams.org/mathscinet-getitem?mr=0005923).
• Widder, David Vernon (1945), "What is the Laplace transform?", The American Mathematical Monthly (The
American Mathematical Monthly) 52 (8): 419–425, doi: 10.2307/2305640 (http://dx.doi.org/10.2307/
2305640), ISSN 0002-9890 (http://www.worldcat.org/issn/0002-9890), JSTOR 2305640 (http://www.jstor.
org/stable/2305640), MR 0013447 (http://www.ams.org/mathscinet-getitem?mr=0013447).
• Williams, J. (1973), Laplace Transforms, Problem Solvers, 10, George Allen & Unwin, ISBN 0-04-512021-8
Historical
• Deakin, M. A. B. (1981), "The development of the Laplace transform", Archive for the History of the Exact
Sciences 25 (4): 343–390, doi: 10.1007/BF01395660 (http://dx.doi.org/10.1007/BF01395660)
• Deakin, M. A. B. (1982), "The development of the Laplace transform", Archive for the History of the Exact
Sciences 26: 351–381, doi: 10.1007/BF00418754 (http://dx.doi.org/10.1007/BF00418754)
• Euler, L. (1744), "De constructione aequationum", Opera omnia, 1st series 22: 150–161.
• Euler, L. (1753), "Methodus aequationes differentiales", Opera omnia, 1st series 22: 181–213.
• Euler, L. (1769), "Institutiones calculi integralis, Volume 2", Opera omnia, 1st series 12, Chapters 3–5.
• Grattan-Guinness, I (1997), "Laplace's integral solutions to partial differential equations", in Gillispie, C. C.,
Pierre Simon Laplace 1749–1827: A Life in Exact Science, Princeton: Princeton University Press,
ISBN 0-691-01185-0.
• Lagrange, J. L. (1773), Mémoire sur l'utilité de la méthode, Œuvres de Lagrange, 2, pp. 171–234.
Laplace transform 17
External links
• Hazewinkel, Michiel, ed. (2001), "Laplace transform" (http://www.encyclopediaofmath.org/index.
php?title=p/l057540), Encyclopedia of Mathematics, Springer, ISBN 978-1-55608-010-4
• Online Computation (http://wims.unice.fr/wims/wims.cgi?lang=en&+module=tool/analysis/fourierlaplace.
en) of the transform or inverse transform, wims.unice.fr
• Tables of Integral Transforms (http://eqworld.ipmnet.ru/en/auxiliary/aux-inttrans.htm) at EqWorld: The
World of Mathematical Equations.
• Weisstein, Eric W., " Laplace Transform (http://mathworld.wolfram.com/LaplaceTransform.html)" from
MathWorld.
• Laplace Transform Module by John H. Mathews (http://math.fullerton.edu/mathews/c2003/
LaplaceTransformMod.html)
• Good explanations of the initial and final value theorems (http://fourier.eng.hmc.edu/e102/lectures/
Laplace_Transform/)
• Laplace Transforms (http://www.mathpages.com/home/kmath508/kmath508.htm) at MathPages
• Computational Knowledge Engine (http://www.wolframalpha.com/input/?i=laplace+transform+example)
allows to easily calculate Laplace Transforms and its inverse Transform.
Article Sources and Contributors 18
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