1

I am studying Stochastic calculus, and occasionally we need to compute an integral (from -infinity to +infinity) for some complex distribution. In this case, it was

Dist. being integrated

with the answer on the right. This is the code I put into Matlab (and I have the symbolic math toolbox), which Matlab simply cannot process:

>> syms x t
>> f = exp(1+2*x)*(1/((2*pi*t)^0.5))*exp(-(x^2)/(2*t))
>> int(f,-inf,inf)

ans =

-((2^(1/2)*pi^(1/2)*exp(2*t + 1)*limit(erf((2^(1/2)*((x*1i)/t - 2i))/(2*(-1/t)^(1/2))), x, -Inf)*1i)/(2*(-1/t)^(1/2)) - (2^(1/2)*pi^(1/2)*exp(2*t + 1)*limit(erf((2^(1/2)*((x*1i)/t - 2i))/(2*(-1/t)^(1/2))), x, Inf)*1i)/(2*(-1/t)^(1/2)))/(2*pi*t)^(1/2)

This answer at the end looks like nonsense, while Wolfram (via their free tool), gives me the answer that the picture above has. Am I missing something fundamental about doing such integrations in Matlab that the basic Mathworks pages don't cover? Where am I proceeding incorrectly?

halfer
  • 19,824
  • 17
  • 99
  • 186
Coolio2654
  • 1,589
  • 3
  • 21
  • 46

2 Answers2

2

In order to explain what is happening, we need some theory:

Symbolic systems such as Matlab or Mathematica calculate integrals symbolically by the Risch algorithm (yes, there is a method to mechanically calculate integrals, just like derivatives).

However, the Risch algorithms works differently than using derivation rules. Strictly spoken, it is not an algorithm but a semi-algorithm. This is, it is not deterministic one (as algorithms are).

This (semi) algorithm makes a series of transformations on the input expression (the one to be integrated), and in a specific point, it requires to ask if the transformed expression is equals to zero, because if it were zero, it cannot continue (the input is not integrable using a finite set of terms).

The problem (and the reason of the "semi-algoritmicity") is that, the (apparently simple) equation:

E = 0

Is indecidable (it is also called the constant problem). It means that there cannot exist a formal method to solve the constant problem, for any expression E. Of course, we know to solve the constant problem for specific forms of the expression E (i.e. polynomials), but it is impossible to solve the problem for the general case.

It also means that the Risch algorithm cannot be perfect (being able to solve any integral -integrable in finite terms-). In other words, the Risch algorithm will be as powerful as our ability to solve the constant problem for as many forms of the expression E as we can, but losing any hope of solving for the general case.

Different symbolic systems have similar, but different methods to try to solve equations (and therefore the constant problem), it explains why some of them can "solve" different sets of integrals than others.

And generalizing, because no symbolic system will never be able to solve the constant problem for the general case, it will neither be able to solve any integral (integrable in finite terms).

Laurence R. Ugalde
  • 182
  • 2
  • 11
  • 2 years later, even though I have given up on Matlab professionally because of such conundrums, I appreciate the algorithmic information you just gave. Thanks for the interesting info! – Coolio2654 Nov 13 '19 at 04:53
0

The second parameter of int() needs to be the variable you're integrating over (which looks like t in this case):

syms x t
f = exp(1+2*x)*(1/((2*pi*t)^0.5))*exp(-(x^2)/(2*t))
int(f,'t',-inf,inf) % <- integrate over t
frslm
  • 2,969
  • 3
  • 13
  • 26
  • Doing this, I get another nonesense answer, ans = piecewise(x in Dom::ImageSet(x*1i, x, R_) & ~in(x^2, 'real'), exp(2*x + 1)*(Inf - limit(t^(1/2)*(x^2/t)^(1/2) - t^(1/2)*erfc((x^2/(2*t))^(1/2))*(x^2/t)^(1/2) + .... (the output is too long to post in this comment) What is going wrong here then? – Coolio2654 Nov 10 '17 at 22:56