Hi, nerd blog! (This is a post that I wrote a long time ago and then never published. I figured it would be nice to publish it on March 14th.)
Today, we’re interested in the Gaussian integral
![\[f(C) := \int_{-\infty}^\infty e^{-Cx^2} {\rm d} x\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-096cdf537e620c218a57694e9aca2bf4_l3.png "Rendered by QuickLaTeX.com")
. This integral of course has lots of very serious practical applications, as it arises naturally in the study of the Gaussian/normal distribution. But, more importantly, it’s a lot of fun to play with and is simply beautiful. We’ll see a bit about what it makes it so pretty below. We start by simply trying to figure out the value of this thing, which isn’t super easy.
By a change of variables, we immediately see that 
is proportional to 
. But, what is the constant of proportionality? It’s actually nicer to ask a slightly different question: what is the unique value of 
such that 
. A quick numerical computation shows that 
. E.g., here’s some Mathematica code to find this value:
.
This constant 
is so important for this blog post that it is worth giving it a name. So, I looked through the Greek alphabet for a nice letter that doesn’t get used much and chose the obscure lowercase letter 
—spelled pi in English, and pronounced like “pie”. In other words, by definition 
. (If this implicit definition bothers you, we can equivalently just define 
. But, I find the implicit definition to be more elegant.)
So, we have this brand new mysterious constant . What should we do with it? It is of course natural to try to find different expressions for it (though our integral expression can already be used to compute it to quite high precision). A first idea is to apply the change of variables 
to obtain
![\[1 = 2\int_{0}^{\infty} e^{-\pi x^2}{\rm d} x = \pi^{-1/2} \int_0^{\infty} e^{-u}/u^{1/2} {\rm d} u\; .\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-f10d9cf7ba99c79b8b6410cfbffbcb0d_l3.png "Rendered by QuickLaTeX.com")
![\[\pi =\Big( \int_0^\infty e^{-u}/u^{1/2} {\rm d} u\Big)^2\; ,\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-a70346615d75d7bd8aad3e871d66f99c_l3.png "Rendered by QuickLaTeX.com")
, i.e., 
. (Recalling that 
for integer 
, one might interpret this as saying that 
is “the factorial of 
.”)
This mysterious identity will play a key role later. We could, of course, find other identities involving this new constant . But, I thought instead I’d jump ahead to a rather obscure fact about the relationship between and a circle.
Our constant’s relationship with circles
In my opinion, the Gaussian distribution is far more interesting in dimensions larger than one. In particular, consider the distribution on 
given by the probability density function
![\[\Pr[\mathbf{x}] = e^{-\pi \|\mathbf{x}\|^2}\; .\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-cbeee2e0bc6e4a6f5288818cb4aa2a7a_l3.png "Rendered by QuickLaTeX.com")
![\[\int_{\mathbb{R}^n}e^{-\pi \|\mathbf{x}\|^2} {\rm d} \mathbf{x} = \int_{-\infty}^{\infty} \cdots \int_{-\infty}^{\infty} e^{-\pi x_1^2 -\cdots - \pi x_n^2} {\rm d}x_1 \ldots {\rm d} x_n = 1\; ,\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-8c88f8ef8350b5bf5e3924147dbed5de_l3.png "Rendered by QuickLaTeX.com")
In fact, up to scaling, this distribution is the unique continuous radial product distribution—i.e., the unique distribution such that ![\Pr[\mathbf{x}]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-17a91f072153c1ba54d02a280dccc979_l3.png "Rendered by QuickLaTeX.com")
can be written both as a function only of the norm of 
, ![\Pr[\mathbf{x}] = f^*(\|\mathbf{x}\|)](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-2c1674e9adcb304d86d51e6e3e89bd93_l3.png "Rendered by QuickLaTeX.com")
for some continuous function 
, and as a product of functions of its coordinates, ![\Pr[\mathbf{x}] = f_1(x_1)\cdots f_n(x_n)](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-724a32e8712eb42c68f40510a4461d33_l3.png "Rendered by QuickLaTeX.com")
. This makes the Gaussian a uniquely powerful tool for reducing complicated multi-dimensional problems to one-dimensional problems.
For example, suppose that for some strange reason we wish to know the circumference of a circle with radius one. (If we were less civilized mathematicians, we might instead set the diameter to be equal to 
, so that the radius would be .) We can try to write this as some kind of path integral or something—and suffer quite a bit in the process—or we can use the following beautiful trick. We can write
![\[1 = \int_{\mathbb{R}^2} e^{-\pi \|x\|^2} {\rm d} x = \int_0^\infty e^{-\pi r^2} \sigma_r {\rm d} r= \sigma_1 \int_0^\infty e^{-\pi r^2} r {\rm d} r\;,\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-7d71e3575dad757294955cdf449254fa_l3.png "Rendered by QuickLaTeX.com")
where
is the circumference of a circle of with radius 
. (The only facts that we have used here are our definition of together with the fact that 
.) Fortunately, the last integral is easy to compute as ![\[\int_0^\infty e^{-\pi r^2} r {\rm d} r = \frac{1}{2\pi} \cdot \int_0^\infty e^{-u} {\rm d} u = \frac{1}{2\pi} \;.\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-f7b0b0433407f63b0c9f6682c331ab63_l3.png "Rendered by QuickLaTeX.com")
!
So, surprisingly, our mysterious constant is actually intimately related with the circumference of a circle. (If we were less civilized mathematicians, we might even have simply defined to be the circumference of a circle with radius .)
What’s so special about two dimensions? Surface area of n-spheres.
But, why stop in dimension 
? This same one neat trick is just as useful in higher dimensions. E.g., what is the surface area 
of a unit sphere in dimensions? (Conventionally, we write the -sphere as 
because it as an 
-dimensional object that happens to be embedded in -dimensional space. This is why I write 
for its surface area.) Well, we have
![\[1 = \int_{-\mathbb{R}^n} e^{-\pi \|x\|^2} {\rm d} x = \int_0^\infty e^{-\pi r^2} \sigma^{(n-1)}_r {\rm d} r= \sigma^{(n-1)}_1 \int_0^\infty e^{-\pi r^2} r^{n-1} {\rm d} r\; .\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-f260e2a2d6410051fb74cc87df3c7792_l3.png "Rendered by QuickLaTeX.com")
.) This integral is a bit less pretty, but using the same approach, we see that ![\[\int_0^\infty e^{-\pi r^2} r^{n-1} {\rm d} r = \frac{1}{2\pi^{n/2}} \cdot \int_0^{\infty} e^{-u} u^{n/2-1} {\rm d} u = \frac{\Gamma(n/2)}{2\pi^{n/2}}\; ,\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-65c828363c086f1b820b730be79a4c39_l3.png "Rendered by QuickLaTeX.com")
dimensions is exactly 
.
If the Gamma function intimidates you, that’s fine. (It certainly intimidates me.) We can go a bit further by remembering that for integers 
, 
, while 
. (Both of these identities follow from the relation 
, which follows from integration by parts, together with the values 
and 
.)
Then, we see that the surface area of the unit sphere in dimensions is
![\[\sigma_1^{(n-1)} = \begin{cases}\pi^{n/2} \cdot \frac{2}{(n/2-1)!} &n\text{ even}\\\pi^{(n-1)/2} \cdot \frac{2^n \cdot ((n-1)/2)!}{(n-1)!} &n\text{ odd}.\end{cases}\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-7093395acfb9701717087f97c5b73145_l3.png "Rendered by QuickLaTeX.com")
dimensions rapidly approaches 
as 
. (I.e., “-dimensional unit spheres are tiny.”) We also see the rather strange fact that is a rational multiple of 
.
We can also plug in low values of to see what we get. E.g., I have heard that some people are interested in the case when 
and 
. Plugging in, one sees that the circumference of a circle with radius one is 
(which, ok, we already saw before), and that the surface area of a sphere with radius one is 
. But, we can easily go farther: the surface area in four dimensions is 
, and in five dimensions, it is 
.
And, we can of course find the volume of the unit -ball by computing a simple integral
![\[V^{(n)} = \int_0^{1}\sigma_r^{(n)} {\rm} d r = \sigma_1^{(n)} \cdot \int_0^{1} r^{n-1} {\rm d} r = \sigma_1^{(n)}/n \; .\]](http://www.solipsistslog.com/wp-content/ql-cache/quicklatex.com-08b8932dcb424209e24a111106e869b2_l3.png "Rendered by QuickLaTeX.com")
In short, I think this mysterious constant is rather nice. Perhaps it will find other applications.
