Change Of Variables Formula

In calculus, integration by substitution, also known as ''u''-substitution, reverse chain rule or change of variables, is a method for evaluating integrals and antiderivatives. It is the counterpart to the chain rule for differentiation, and can loosely be thought of as using the chain rule "backwards".

Substitution for a single variable

Introduction

Before stating the result rigorously, consider a simple case using indefinite integrals.

Compute $\textstyle\int(2x^3+1)^7(x^2)\,dx$.

Set $u=2x^3+1$. This means $\textstyle\frac=6x^2$, or in differential form, $du=6x^2\,dx$. Now

:$\int(2x^3 +1)^7(x^2)\,dx = \frac\int\underbrace_\underbrace_=\frac\int u^\,du=\frac\left(\fracu^\right)+C=\frac(2x^3+1)^+C,$

where $C$ is an arbitrary constant of integration.

This procedure is frequently used, but not all integrals are of a form that permits its use. In any event, the result should be verified by differentiating and comparing to the original integrand.

:\frac\left frac(2x^3+1)^+C\right\frac(2x^3+1)^(6x^2) = (2x^3+1)^7(x^2).

For definite integrals, the limits of integration must also be adjusted, but the procedure is mostly the same.

Definite integrals

Let g: ,brightarrow I be a differentiable function with a continuous derivative, where $I \subset \mathbb$ is an interval. Suppose that $f:I\rightarrow\mathbb$ is a continuous function. Then
:$\int_a^b f(g(x))\cdot g'(x)\, dx = \int_^ f(u)\ du.$

In Leibniz notation, the substitution $u=g(x)$ yields
:$\frac = g'(x).$
Working heuristically with infinitesimals yields the equation
:$du = g'(x)\,dx,$
which suggests the substitution formula above. (This equation may be put on a rigorous foundation by interpreting it as a statement about differential forms.) One may view the method of integration by substitution as a partial justification of Leibniz's notation for integrals and derivatives.

The formula is used to transform one integral into another integral that is easier to compute. Thus, the formula can be read from left to right or from right to left in order to simplify a given integral. When used in the former manner, it is sometimes known as ''u''-substitution or ''w''-substitution in which a new variable is defined to be a function of the original variable found inside the composite function multiplied by the derivative of the inner function. The latter manner is commonly used in trigonometric substitution, replacing the original variable with a trigonometric function of a new variable and the original differential with the differential of the trigonometric function.

Proof

Integration by substitution can be derived from the fundamental theorem of calculus as follows. Let $f$ and $g$ be two functions satisfying the above hypothesis that $f$ is continuous on $I$ and $g'$ is integrable on the closed interval ,b/math>. Then the function $f(g(x))\cdot g'(x)$ is also integrable on ,b/math>. Hence the integrals

:$\int_a^b f(g(x))\cdot g'(x)\ dx$

and

:$\int_^ f(u)\ du$

in fact exist, and it remains to show that they are equal.

Since $f$ is continuous, it has an antiderivative $F$. The composite function $F \circ g$ is then defined. Since $g$ is differentiable, combining the chain rule and the definition of an antiderivative gives

:$(F \circ g)'(x) = F'(g(x)) \cdot g'(x) = f(g(x)) \cdot g'(x).$

Applying the fundamental theorem of calculus twice gives

:$\begin \int_a^b f(g(x)) \cdot g'(x)\ dx &= \int_a^b (F \circ g)'(x)\ dx \\ &= (F \circ g)(b) - (F \circ g)(a) \\ &= F(g(b)) - F(g(a)) \\ &= \int_^ f(u)\ du, \end$

which is the substitution rule.

Examples

Example 1

Consider the integral
:$\int_0^2 x \cos(x^2+1)\ dx.$

Make the substitution $u = x^ + 1$ to obtain $du = 2x\ dx$, meaning $x\ dx = \frac\ du$. Therefore,

:\begin
\int_^ x \cos(x^2+1) \ dx
&= \frac \int_^\cos(u)\ du \\ pt&= \frac(\sin(5)-\sin(1)).
\end

Since the lower limit $x = 0$ was replaced with $u = 1$, and the upper limit $x = 2$ with $2^ + 1 = 5$, a transformation back into terms of $x$ was unnecessary.

Alternatively, one may fully evaluate the indefinite integral ( see below) first then apply the boundary conditions. This becomes especially handy when multiple substitutions are used.

Example 2

For the integral
:$\int_0^1 \sqrt\,dx,$
a variation of the above procedure is needed. The substitution $x = \sin u$ implying $dx = \cos u \,du$ is useful because $\sqrt = \cos(u)$. We thus have

:\begin
\int_0^1 \sqrt\ dx
&= \int_0^ \sqrt \cos(u)\ du \\ pt&= \int_0^ \cos^2u\ du \\ pt&= \left frac + \frac\right0^ \\ pt&= \frac + 0 \\
&= \frac.
\end

The resulting integral can be computed using integration by parts or a double angle formula, $2\cos^ u = 1 + \cos (2u)$, followed by one more substitution. One can also note that the function being integrated is the upper right quarter of a circle with a radius of one, and hence integrating the upper right quarter from zero to one is the geometric equivalent to the area of one quarter of the unit circle, or $\frac\pi 4$.

Antiderivatives

Substitution can be used to determine antiderivatives. One chooses a relation between $x$ and $u$, determines the corresponding relation between $dx$ and $du$ by differentiating, and performs the substitutions. An antiderivative for the substituted function can hopefully be determined; the original substitution between $x$ and $u$ is then undone.

Similar to example 1 above, the following antiderivative can be obtained with this method:

:\begin
\int x \cos(x^2+1) \,dx
&= \frac \int 2x \cos(x^2+1) \,dx \\ pt&= \frac \int\cos u\,du \\ pt&= \frac\sin u + C \\
&= \frac\sin(x^2+1) + C,
\end

where $C$ is an arbitrary constant of integration.

There were no integral boundaries to transform, but in the last step reverting the original substitution $u = x^ + 1$ was necessary. When evaluating definite integrals by substitution, one may calculate the antiderivative fully first, then apply the boundary conditions. In that case, there is no need to transform the boundary terms.

The tangent function can be integrated using substitution by expressing it in terms of the sine and cosine:
:$\int \tan x \,dx = \int \frac \,dx$
Using the substitution $u = \cos x$ gives $du = -\sin x\,dx$ and
:$\begin \int \tan x \,dx &= \int \frac \,dx \\ &= \int -\frac \\ &= -\ln , u, + C \\ &= -\ln , \cos x, + C \\ &= \ln , \sec x, + C. \end$

Substitution for multiple variables

One may also use substitution when integrating functions of several variables.
Here the substitution function needs to be injective and continuously differentiable, and the differentials transform as

:$dv_1 \cdots dv_n = \left, \det(D\varphi)(u_1, \ldots, u_n)\ \, du_1 \cdots du_n,$

where denotes the determinant of the Jacobian matrix of partial derivatives of at the point . This formula expresses the fact that the absolute value of the determinant of a matrix equals the volume of the parallelotope spanned by its columns or rows.

More precisely, the ''change of variables'' formula is stated in the next theorem:

Theorem. Let be an open set in and an injective differentiable function with continuous partial derivatives, the Jacobian of which is nonzero for every in . Then for any real-valued, compactly supported, continuous function , with support contained in ,

:$\int_ f(\mathbf)\, d\mathbf = \int_U f(\varphi(\mathbf)) \left, \det(D\varphi)(\mathbf)\ \,d\mathbf.$

The conditions on the theorem can be weakened in various ways. First, the requirement that be continuously differentiable can be replaced by the weaker assumption that be merely differentiable and have a continuous inverse. This is guaranteed to hold if is continuously differentiable by the inverse function theorem. Alternatively, the requirement that can be eliminated by applying Sard's theorem.

For Lebesgue measurable functions, the theorem can be stated in the following form:

Theorem. Let be a measurable subset of and an injective function, and suppose for every in there exists in such that as (here is little-''o'' notation). Then is measurable, and for any real-valued function defined on ,
:$\int_ f(v)\, dv = \int_U f(\varphi(u)) \left, \det \varphi'(u)\ \,du$
in the sense that if either integral exists (including the possibility of being properly infinite), then so does the other one, and they have the same value.

Another very general version in measure theory is the following:

Theorem. Let be a locally compact Hausdorff space equipped with a finite Radon measure , and let be a σ-compact Hausdorff space with a σ-finite Radon measure . Let be an absolutely continuous function (where the latter means that whenever ). Then there exists a real-valued Borel measurable function on such that for every Lebesgue integrable function , the function is Lebesgue integrable on , and
:$\int_Y f(y)\,d\rho(y) = \int_X (f\circ \varphi)(x)\,w(x)\,d\mu(x).$
Furthermore, it is possible to write
:$w(x) = (g\circ \varphi)(x)$
for some Borel measurable function on .

In geometric measure theory, integration by substitution is used with Lipschitz functions. A bi-Lipschitz function is a Lipschitz function which is injective and whose inverse function is also Lipschitz. By Rademacher's theorem a bi-Lipschitz mapping is differentiable almost everywhere. In particular, the Jacobian determinant of a bi-Lipschitz mapping is well-defined almost everywhere. The following result then holds:

Theorem. Let be an open subset of and be a bi-Lipschitz mapping. Let be measurable. Then
:$\int_U (f\circ \varphi)(x) , \det D\varphi(x), \,dx = \int_ f(x)\,dx$
in the sense that if either integral exists (or is properly infinite), then so does the other one, and they have the same value.

The above theorem was first proposed by Euler when he developed the notion of double integrals in 1769. Although generalized to triple integrals by Lagrange in 1773, and used by Legendre, Laplace, Gauss, and first generalized to variables by Mikhail Ostrogradski in 1836, it resisted a fully rigorous formal proof for a surprisingly long time, and was first satisfactorily resolved 125 years later, by Élie Cartan in a series of papers beginning in the mid-1890s.

Application in probability

Substitution can be used to answer the following important question in probability: given a random variable $X$ with probability density $p_X$ and another random variable $Y$ such that $Y=\phi(X)$ for injective (one-to-one) $\phi$, what is the probability density for $Y$?

It is easiest to answer this question by first answering a slightly different question: what is the probability that $Y$ takes a value in some particular subset $S$? Denote this probability $P(Y \in S)$. Of course, if $Y$ has probability density $p_Y$ then the answer is

:$P(Y \in S) = \int_S p_Y(y)\,dy,$

but this isn't really useful because we don't know $p_Y$; it's what we're trying to find. We can make progress by considering the problem in the variable $X$. $Y$ takes a value in $S$ whenever $X$ takes a value in $\phi^(S)$, so

:$P(Y \in S) = P(X \in \phi^(S)) = \int_ p_X(x)\,dx.$

Changing from variable $x$ to $y$ gives

:$P(Y \in S) = \int_ p_X(x)\,dx = \int_S p_X(\phi^(y)) \left, \frac\\,dy.$

Combining this with our first equation gives

:$\int_S p_Y(y)\,dy = \int_S p_X(\phi^(y)) \left, \frac\\,dy,$

so

:$p_Y(y) = p_X(\phi^(y)) \left, \frac\.$

In the case where $X$ and $Y$ depend on several uncorrelated variables, i.e. $p_X=p_X(x_1, \ldots, x_n)$ and $y=\phi(x)$, $p_Y$ can be found by substitution in several variables discussed above. The result is

:$p_Y(y) = p_X(\phi^(y)) \left, \det D\phi ^(y) \.$

See also

*Probability density function
* Substitution of variables
*Trigonometric substitution
*Weierstrass substitution
*Euler substitution
*Glasser's master theorem
*Pushforward measure

Notes

References

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External links

Integration by substitution
at Encyclopedia of Mathematics

Area formula
at Encyclopedia of Mathematics

{{Integrals

Articles containing proofs
Integral calculus

es:Métodos de integración#Método de integración por sustitución