Laplace Transformation

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Brief History

The Laplace Transform is named after the French mathematician and astronomer Pierre-Simon Laplace (1749--1827). However, he did not actually invent what we now call the Laplace transform. Indeed, Laplace himself, a notoriously vain and selfish person in spite of his scientific genius, was careful to credit Leonhard Euler (1707--1783) with the basic formula. Well before the work of Laplace, however, mathematical genius Leonhard Euler had studied differential equations. One of his many noteworthy contributions in this field was the idea of transforming a function X(x) into a new function z via the equation

$z = \int e^{ax}\, X(x)\,{\text d} x ,$
which looks fairly similar to the modern Laplace transform, only with an indefinite rather than a definite integral. In a 1753 paper (entitled Methodus aequationes differentiales altiorum graduum integrandi ulterius promota -- it’s a good thing mathematicians don’t use Latin any more…), Euler used methods based on this transform to give a systematic method of solving second order linear differential equations. Later in his career, he further clarified the method and introduced the definite integral form
$y(u) = \int_a^b e^{K(u)\, Q(x)}\, P(x)\,{\text d} x .$
In particular, this expression appeared in Euler’s 1768 Institutiones Calculi Integralis, vol. II, where he used it to solve the equation
$L\, \frac{{\text d}^2 y(u)}{{\text d} u^2} + M\, \frac{{\text d} y(u)}{{\text d}u} =+ N\,y(u) = U(u) ,$
if
$U(u) = R(a)\, e^{K(u)\, Q(a)} .$

However, Euler did not pursue this topic very far. Joseph Louis Lagrange (1736--1813), born as Giuseppe Lodovico Lagrangia in Turin, Italy, who succeded Euler (since Leonhard returned to Russia) as the director of mathematics at the Prussian Academy of Sciences in Berlin, began to study integrals in the form $$\int_0^{\infty} f(t)\,e^{-at}\,\mathrm{d}t$$ in connection with his work on integrating probability density functions. Laplace was the next person to seriously work on this topic, and took a critical step forward by applying the idea of a "transformation" rather than just looking for a solution in the form of an integral. He looked for solutions with the following equation: $$\int x^{s}\,\phi (x)\,\mathrm{d}x = F(s) .$$ In 1809, Laplace extended his transform to find solutions that diffused indefinitely -- giving us our popular Laplace transformation. Laplace appeared to have quickly understood the importance of his discovery, as he went on to use Laplace transforms numerous times in his later work and generalize his integrals to create Fourier and Mellin transforms as well. So while Laplace may not have invented his transforms, he certainly deserves credit for producing a systematic body of theory that went far beyond anything created by his predecessors.

Although the results had been published for at least 70 years, the transformation was not given a true physical and mathematical meaning until Oliver Heaviside (1850--1925) came up with completely new ideas on his own in the 1880s. His predecessors used (what we call now the Laplace) integral as an anlytical tool and never even tried to establish the inverse Laplace transform---without this tool the theory is not complete at all. Oliver Heaviside did not actually use (and most likely was unfamiliar with) the Laplace integral in his derivations because it was not needed in his pioneering work in establishing the operator methods.

Let us pause explanations of Heaviside's achievements and focus on his biography and historical circumstances that surrounded his science breakthrough. Oliver Heaviside was born on May 18, 1850 in Camden Town, London, England. He caught scarlet fever when he was a young child and this affected his hearing. This was to have a major effect on his life, making his childhood unhappy, with relations between himself and other children difficult. However, his school results were rather good, and in 1865 he was placed fifth from five hundred pupils. Academic subjects seemed to hold little attraction for Heaviside, however, and at age 16 he left school. Perhaps he was more disillusioned with school than with learning since he continued to study (Oliver was completely self-taught) after leaving school, in particular he learnt Morse code, studied electricity, and studied further languages, in particular Danish and German. He was aiming at a career as a telegrapher, in this he was advised and helped by his uncle Charles Wheatstone (the piece of electrical apparatus known as the Wheatstone bridge is named after him).

In 1868 Heaviside went to Denmark and became a telegrapher. He progressed quickly in his profession and returned to England in 1871 to take up a post in Newcastle upon Tyne in the office of Great Northern Telegraph Company, which dealt with overseas traffic. Heaviside became increasingly deaf but he worked on his own research into electricity. While still working as chief operator in Newcastle he began to publish papers on electricity, the first in 1872, and then the second in 1873, which was of sufficient interest to James Clerk Maxwell (1831--1879) that he mentioned the results in the second edition of his Treatise on Electricity and Magnetism. Despite this hatred of rigour, Heaviside was able to greatly simplify Maxwell's twenty equations with twenty variables, replacing them by four equations with two vector variables (the electric field E and the magnetic field B). Today we call these 'Maxwell's equations' forgetting that they are in fact 'Heaviside's equations.'

Heaviside went on to achieve further advances in knowledge, again receiving less than his just desserts. In a 1887 paper Heaviside gave, for the first time, the conditions necessary to transmit a signal without distortion. In Electromagnetic Theory (1893--1912), he postulated that an electric charge would increase in mass as its velocity increases, an anticipation of an aspect of Einstein’s special theory of relativity. Heaviside was elected a Fellow of the Royal Society in 1891, perhaps the greatest honour he ever received. In 1902 Heaviside predicted that there was a conducting layer in the atmosphere which allowed radio waves to follow the Earth's curvature. This layer in the atmosphere, the Heaviside layer, is named after him. Its existence was proved in 1923 when radio pulses were transmitted vertically upward and the returning pulses from the reflecting layer were received.

On the eve of the twentieth century, new physical ideas required new mathematical tools to utilize these theories. It is not an accident that many new mathematical notations and definitions were introduced by physicists, but not mathematicians. We cannot not to mention the famous Dirac's delta-function as well as Einstein summation abbreviation. The latest example gave us the Internet, including the HTML protocol. Therefore, Heaviside's invention of operational calculus has naturally evolved to quantum mechanics and then as a byproduct, a useful technique for solving initial value problems for differential equations.

The revolutionary idea of Heaviside's operational calculus consisted in establishing the spectral decomposition of the (unbounded) derivative operator $$\texttt{D} = {\text d}/{\text d} t$$ acting in the space of functions on half line $$[0, \infty ) .$$ This means that the operator was replaced by simple multiplication. We will meet this approach in the second part of this tutorial when spectral decomposition will be applied to square matrices.

Due to his research, Heaviside dealt with multi-degree differential equations for electrical systems in 1880s. To solve corresponding initial value problems, Heaviside substituted the derivative operator by a letter p (we use contemporary notation $$\texttt{D}$$ instead), which yields an algebraic equations. After that he quickly solved the algebraic equation and proceeded with a solution to the original differential equations. These kinds of equations (usually with 10 or more derivatives of dependent variable) would usually take days or week for most people to solve. Heaviside was able to solve these kinds of equations within hours. Single-handedly, between 1880--1887, he invented operational calculus -- a new method for solving the differential equations.

Unfortunately, Oliver Heaviside failed to explain how he had derived the solutions to the initial value problems, and as often happens the work of geniuses is not often understood. It took many years for academia to accept his results because of a lack of a rigorous proof for his methods. He replied to this criticism with the famous statement "Mathematics is an experimental science, and definitions do not come first, but later on," claiming that "I do not refuse my dinner simply because I do not understand the process of digestion." As a result, mathematicians did not accept his technique and tried to explain what is going on behind his manipulations. After many years of work, it became clear that Heaviside used the integral transformation

${\cal L} (f) = \int_0^{\infty} f(t)\,e^{-\lambda t} \,{\text d} t ,$
which mathematicians credited to Laplace. However, to determine the inverse Laplace transform it took about 20 years until a group of people came up with the answer. The first publication was made by the English mathematician Thomas John I'Anson Bromwich (1875--1929) who showed that the inverse Laplace transform can be expressed as the principal value contour integral
${\cal L}^{-1} (F) = \frac{1}{2\pi {\bf j}} \, \lim_{\omega \to \infty} \int_{s-{\bf j}\omega}^{s+{\bf j}\omega} F(\lambda )\,e^{\lambda t} \,{\text d} \lambda \qquad ({\bf j}^2 = -1),$
where the integration is done along the vertical line Reλ = s in the complex plane such that s is greater than the real part of all singularities of F(λ) and F(λ) is bounded on the line of integration. This integral is usually referred to as the Bromwich integral. To this day, the Inverse Laplace Transform is the most difficult process to understand when solving differential equations in this method. In this tutorial, we will not use the above formal definition of the inverse Laplace transform; instead, we apply the residue method based on the novel approach by Vladimir Dobrushkin.

Concept Overview

Essentially, we will be doing almost the same thing that Heaviside had done-- we will take a differential equation, subject to the initial conditions

${\it L} (y) \equiv a_n \frac{{\text d}^n y}{{\text d} t^n} + a_{n-1} \frac{{\text d}^{n-1} y}{{\text d} t^{n-1}} + \cdots + a_0 y(t) = f(t) , \qquad y(0) = y_0 , \ \dot{y} (0) = y_1 , \ldots ,\left. \frac{{\text d}^{n-1} y}{{\text d} t^{n-1}} \right\vert_{t=0} = y_{n-1} ,$
use differential operator notation $$\texttt{D} = {\text d}/{\text d} t$$ to create an algebraic equation
$a_n \texttt{D}^n y + a_{n-1} \texttt{D}^{n-1} y + \cdots + a_0 y(t) \equiv \left( a_n \texttt{D}^n + a_{n-1} \texttt{D}^{n-1} + \cdots + a_0 \right) y = f(t) ,$
that can be solved for the Laplace Transform of "y" (our dependent variable), which we will denote by $$y^L (\lambda ) ,$$ apply the Laplace transform to the given initial value problem to reduce our problem to an algebraic equation
$\left( a_n \lambda^n + a_{n-1} \lambda^{n-1} + \cdots + a_0 \right) y^L = f^L + a_n \left( y(0) + \lambda \dot{y} (0) + \cdots + y_{n-1} \right) + \cdots ,$
solve this algebraic equation to represent the Laplace transform of unknown function $$y^L (\lambda )$$ as a ratio of two polynomials in λ:
$y^L (\lambda ) = f^L \, \frac{1}{{\it L} (\lambda )} + \frac{P(\lambda )}{{\it L} (\lambda )} ,$
where $${\it L}(\lambda ) = a_n \lambda^n + a_{n-1} \lambda^{n-1} + \cdots + a_0$$ is the characteristic polynomial for the differential operator $${\it L}(\texttt{D})$$ of order n and P(λ) is the polynomial of degree less than n in λ depending on the initial conditions; finally, we apply the inverse Laplace transform to obtain the required solution. We again will consider Initial Value Problems (IVP) with specified initial conditions that have unique solutions. Thus, our answer will also be unique when using the Laplace Transform method -- we will have no arbitrary constants. Something to note, however, is that this method is ONLY valid for "t" (our independent variable) when "t" is > 0. We will be using a Heaviside function that will allow our answer to maintain these conditions (the Heaviside function will be more well defined in the section labled "Heaviside Function")