Math Problem Statement

Let α = R Rd e − 1 2 ||x||2 2 dx. If A ∈ R d×d is a positive-definite matrix and b ∈ R, Find the value of R Rd e − 1 2 (x+b)⊤A(x+b)dx. (Report the answer in terms of α)

Solution

We are given two integrals, and we aim to express the second one in terms of the first one. Let's break it down step by step.

1. First Integral Definition

We are provided with the integral:

α=Rde12x2dx\alpha = \int_{\mathbb{R}^d} e^{-\frac{1}{2} \|x\|^2} \, dx

This represents a Gaussian integral in dd-dimensional space. The result of this integral is known and can be expressed as:

α=(2π)d/2\alpha = (2\pi)^{d/2}

2. The Integral to Evaluate

We are tasked with evaluating the following integral:

I=Rde12(x+b)A(x+b)dxI = \int_{\mathbb{R}^d} e^{-\frac{1}{2}(x+b)^\top A (x+b)} \, dx

where ARd×dA \in \mathbb{R}^{d \times d} is a positive-definite matrix, and bRdb \in \mathbb{R}^d.

3. Change of Variables

To simplify the integral, we can perform a change of variables. Let:

y=x+by = x + b

Thus, dy=dxdy = dx, and the integral becomes:

I=Rde12yAydyI = \int_{\mathbb{R}^d} e^{-\frac{1}{2} y^\top A y} \, dy

This is now in the form of a Gaussian integral but with the matrix AA.

4. Known Result for Gaussian Integrals with Matrices

The general result for Gaussian integrals involving a positive-definite matrix AA is:

Rde12xAxdx=(2π)d/2det(A)\int_{\mathbb{R}^d} e^{-\frac{1}{2} x^\top A x} \, dx = \frac{(2\pi)^{d/2}}{\sqrt{\det(A)}}

Thus, applying this result to our transformed integral:

I=(2π)d/2det(A)I = \frac{(2\pi)^{d/2}}{\sqrt{\det(A)}}

5. Expressing in Terms of α\alpha

We already know that α=(2π)d/2\alpha = (2\pi)^{d/2}, so we can express the result for II in terms of α\alpha as follows:

I=αdet(A)I = \frac{\alpha}{\sqrt{\det(A)}}

Final Answer

The value of the integral is:

αdet(A)\boxed{\frac{\alpha}{\sqrt{\det(A)}}}

Would you like more details on any part of the solution, or do you have further questions?

Here are 5 related questions to expand this topic:

  1. How is the Gaussian integral derived in dd-dimensions?
  2. What are the properties of positive-definite matrices that are relevant to integrals?
  3. How does the determinant of a matrix affect Gaussian integrals?
  4. Can this method be extended to integrals with non-linear exponents?
  5. What is the significance of the change of variables in multidimensional integrals?

Tip: In Gaussian integrals, a positive-definite matrix ensures convergence, allowing the use of known formulas for evaluation.

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Math Problem Analysis

Mathematical Concepts

Gaussian Integrals
Multivariable Calculus
Linear Algebra
Matrix Theory

Formulas

α = ∫Rd e^(-1/2 ||x||^2) dx = (2π)^(d/2)
∫Rd e^(-1/2 x^⊤ A x) dx = (2π)^(d/2) / √det(A)

Theorems

Gaussian Integral Theorem
Positive-Definite Matrix Properties

Suitable Grade Level

Graduate level or advanced undergraduate in mathematics or physics