Chapter 8 Improper Integrals

Definition 0.1. Improper Integrals

Integrals with infinite limits of integration and integrals of functions that become infinite at a point
within the interval of integration are improper integrals.
Example 1. Examples of Improper Integrals
Z ∞
(a) e−x dx is an improper integral because
0

.
Z 2
1
(b) dx is an improper integral because
−1 2x − 3
.
Definition 0.2. Type 1 : Improper Integrals with Infinite Integration Limits
Z t
(a) If f (x) dx exists for every t ≥ a, then
a
Z ∞ Z t
f (x) dx = lim f (x) dx
a t→∞ a

provided that this limit exists (as a finite number).

Z b
(b) If f (x) dx exists for every t ≤ b, then
t
Z b Z b
f (x) dx = lim f (x) dx
−∞ t→−∞ t

provided that this limit exists (as a finite number).

Remark. In the above two cases, if the limit exists and is finite, then we say that the improper
integral is convergent. Otherwise, we say that the improper integral is divergent.
Z a Z ∞
(c) If both f (x) dx and f (x) dx are convergent, then we define
−∞ a
Z ∞ Z a Z ∞
f (x) dx = f (x) dx + f (x) dx
−∞ −∞ a

where a is any real number.

Remark. This improper integral diverges if either of the improper integrals on the right diverges.

1
 Z ∞
Example 2. Evaluate I = e−x dx.
0

Remark. Since e−x > 0, I can be interpreted as the area of the infinite region in the first quadrant
that lies under the curve y = e−x and above the x-axis.
Z 0
Example 3. Find, if possible, I = cos πx dx.
−∞
Z ∞
1
Example 4. Find I = dx.
−∞ 1 + x2
Z ∞
1
Example 5. For which numbers p does the improper integral I = dx converges?
1 xp
Z ∞
x
Example 6. Evaluate I = 2
dx or show that it diverges.
−∞ 1 + x

hZ ∞ Z t i
Exercise 1. f (x)x dx may not equal lim f (x) dx
−∞ t→∞ −t
Z ∞
(a) Show that x dx is divergent.
−∞
Z t
(b) Show that lim x dx = 0.
t→∞ −t
Z ∞ Z t
Remark. This shows that we can’t define f (x)x dx = lim f (x) dx
−∞ t→∞ −t

2
Type 2 : Improper Integrals with Discontinuous Integrands
(a) If f is continuous on [a, b] except for an infinite discontinuity at a, then
Z b Z b
f (x) dx = lim+ f (x) dx
a t→a t

provided that this limit exists (as a finite number).

(b) If f is continuous on [a, b] except for an infinite discontinuity at b, then
Z b Z t
f (x) dx = lim− f (x) dx
a t→b a

provided that this limit exists (as a finite number).

(c) If f is continuous on [a, b] except at c ∈ (a, b), where f has an infinite discontinuity, then
Z b Z c Z b
f (x) dx = f (x) dx + f (x) dx
a a c

provided that both the improper integrals on the right converge. If both converge, then the value
Z b
of the improper integral f (x) dx is the sum of the two values.
a
Remark. For each of the case (a), (b) and (c), the improper integral is convergent if the appropriate
limit or limits exist and are finite. Otherwise, the improper integral is divergent.
Z 1
1
Example 7. Evaluate I = dx.
0 x
Z 1
1
Example 8. Show that I = 2
dx diverges.
−2 x
Z 4
dx
Example 9. Evaluate I = 2/3
if possible.
2 (3 − x)
Z 4
dx
Reading Assignment 1. Investigate the convergence of I = 2
dx
1 (x − 2)
1
Answer. Note that I is an improper integral because f (x) = (x−2)2
has an infinite discontinuity at
x = 2.
Z 2 Z 4
dx dx
∴I= 2
dx + 2
dx
1 (x − 2) 2 (x − 2)
| {z } | {z }
I1 I2
Z c  
−2
 −1
c 1
where I1 = lim (x − 2) dx = lim −(x − 2) dx 1 = lim −1 − = ∞.
c→2− 1 c→2− c→2− c−2
Thus I1 is divergent. This implies that I is also divergent. [We do not have to evaluate I2 .]
Remark.
IF we ignore the fact that the integral is improper, then we are led to the incorrect conclusion that
I = −3/2!!!

3
Tests for Convergence
It is often difficult to determine the convergence of a given improper integral by direct integration.
But, we can gain some information by comparison with integrals of known behavior. The principal
tests for convergence are the direct comparison (or domination) and the limit comparison tests.

Theorem 0.1. Direct Comparison Test (for Type 1 Improper Integrals)

Suppose that f and g are continuous functions with

0 ≤ f (x) ≤ g(x) ∀ x ≥ a.
Z ∞ Z ∞
(i) If g(x) dx converges, then f (x) dx converges.
Za ∞ Z a
∞
(ii) If f (x) dx diverges, then g(x) dx diverges.
a a

Example 10. Use the Direct Comparison Test to test the integrals for convergence.
Z ∞
sin2 x
(a) dx
1 x2
Z ∞
1 + e−x
(b) dx
1 x
Z ∞
1
Reading Assignment 2. Use the Direct Comparison Test to test the integral I = √ dx
2 x2 − 1
for convergence.

Answer.
√ √ 1 1
(a) For x ≥ 2, we have 0 < x2 − 1 ≤ x2 so that 0 < x2 − 1 ≤ x2 = x. Thus, 0 < ≤ √ .
x x2 − 1
Z ∞
1
(b) dx = · · · = ∞, so I1 is divergent.
2 x
So by the Direct Comparison Test, I is also divergent.

4
Theorem 0.2. Limit Comparison Test
Suppose that f and g are positive functions
Z ∞ that areZintegrable over every finite interval [a, b] and that
∞
f (x)
lim = L, 0 < L < ∞. Then f (x) dx and g(x) dx BOTH converge or BOTH diverge.
x→∞ g(x) a a

Remark.
Z ∞ Z ∞
f (x)
(a) If lim = 0 and g(x) dx converges, then f (x) dx converges.
x→∞ g(x) a a
Z ∞ Z ∞
f (x)
(b) If lim = ∞ and g(x) dx diverges, then f (x) dx diverges.
x→∞ g(x) a a

Example 11. Use the Limit Comparison Test to test the integrals for convergence.
Z ∞
3
(a) I = x
dx
1 e +x
Z ∞
x2 − 1
(b) J = √ dx
2 x6 + 16
Z ∞
2
Reading Assignment 3. Use the Limit Comparison Test to test the integral I = x
dx for
1 e +3
convergence.

Answer.
2 2 2
For LARGE x, g(x) = ex +3
≈ ex +0
= ex
= f (x).
Then
2
ex + 3
 
f (x) ex 3
(a) lim = lim 2 = lim = lim 1 + x = 1, a positive finite limit!
x→∞ g(x) x→∞ x
e +3
x→∞ ex x→∞ e
Z ∞
1
(b) I1 = f (x) dx = · · · = 2 , so I1 is convergent.
2 e
Therefore, by the Limit Comparison Test, I is also convergent.

5
Some Applications of Improper Integrals

Exercise 2. Find the area below y = 0, above y = ln x, and to the right of x = 0.

Answer. 1

Exercise 3. Density Function

A probability density function for the continuous random variable X is a function f defined on
(−∞, ∞) with the properties
Z ∞
(i) f (x) ≥ 0, for all x (ii) f (x)dx = 1.
−∞

Z b
The probability that the random variable X takes on a value between a and b is f (x)dx.
a
The mean or expectation of X is defined by
Z ∞
µ = E(X) = xf (x)dx.
−∞

The probability density function for the life X, in hours, of an electronic component in a calculator is
given by
k
(
, x ≥ 800
f (x) = x2
0 , x < 800.

(a) Find k.
(b) Find the probability that the component will last at least 1200 hours.

Answer. k = 800, 2/3

Exercise 4. The length of time T (in hours) between malfunctions of a computer system is an
exponentially distributed random variable with density function

f (t) = ke−kt , t ≥ 0

where k is a positive constant.

(a) Find µ = E(X) in terms of k.
(b) If the average length of time between successive malfunctions is 20 hours, find the probability
that the system, having just have a malfunction corrected, will operate without malfunction for
at least 12 hours.

Answer. µ = 1/k, e−12/20