Improper Integrals
Statisticians and physicists routinely add a quantity up across an endless range —
the total probability under a bell curve that never quite touches the axis, the whole dose
delivered by a slowly decaying isotope, the total energy in a fading signal. Each is an
integral running out to infinity, and the make-or-break question is always the same: does the
never-ending sum settle on a finite number, or does it run away without bound?
Here is a question that sounds like a riddle: can a region that never ends have a
finite area? Take the curve y = 1/x^2 and shade everything
under it from x = 1 out to the right — forever. The shaded strip is
infinitely long. It never stops. And yet, as we are about to prove, its total area is exactly
1. Not "roughly one", not "one-ish in the limit of hand-waving" —
exactly one square unit, full stop.
Now shade under y = 1/x instead. The two curves look like siblings:
both slide down toward the axis, both get as close to zero as you like. But this second strip
has infinite area — no amount of paint covers it. Two curves you could barely
tell apart at a glance sit on opposite sides of a razor-thin boundary, and the whole subject of
improper integrals is about locating that boundary precisely.
The
definite integral
\int_a^b f(x)\,dx was built for a finite interval and
a bounded integrand, so questions like these are technically outside its remit.
An improper integral relaxes one of the two assumptions: the interval may run off
to \infty (Type 1), or the integrand may blow up at a
point (Type 2). Either way we give it meaning the only honest way — as a
limit.
The definition: stop short, then let the stop run away
The recipe is the same every time, and it has three moves: replace the bad endpoint by a
letter, integrate as usual, then take the limit. Over an infinite interval,
integrate up to a finite cut-off t — a perfectly ordinary definite
integral — and then let the cut-off run away:
\int_a^{\infty} f(x)\,dx \;=\; \lim_{t \to \infty} \int_a^{t} f(x)\,dx.
Where the integrand has a vertical asymptote at an endpoint — say
f is unbounded near a — creep up to the bad
point from the safe side:
\int_a^{b} f(x)\,dx \;=\; \lim_{t \to a^{+}} \int_t^{b} f(x)\,dx.
If the limit is a finite number, the integral converges to that number. If the
limit is infinite or fails to exist, the integral diverges. A two-sided improper
integral — infinite at both ends, or with a bad point in the middle — is split into pieces, and
every piece must converge on its own; one divergent piece sinks the whole thing.
Notice what the definition refuses to do: it never treats \infty as a
number you can substitute. Every improper integral is an ordinary integral wearing a limit, and
the limit is where all the action is.
The star contrast: 1/x^2 converges, 1/x does not
Let us settle the riddle from the top of the page, both halves, side by side. First the
well-behaved sibling. Replace \infty by t,
integrate, take the limit:
\int_1^{\infty} \frac{dx}{x^2} = \lim_{t \to \infty} \int_1^{t} x^{-2}\,dx = \lim_{t \to \infty} \Big[-\frac{1}{x}\Big]_1^{t} = \lim_{t \to \infty} \left(1 - \frac{1}{t}\right) = 1.
The running total 1 - 1/t is the whole story in one expression: out to
t = 10 you have collected area 0.9; out to
t = 1000, area 0.999. The infinite tail
beyond any cut-off t holds only 1/t of
area — the region thins out fast enough that what remains is always small.
Converges, to exactly 1.
Now the near-identical twin, with one power of x less:
\int_1^{\infty} \frac{dx}{x} = \lim_{t \to \infty} \int_1^{t} \frac{dx}{x} = \lim_{t \to \infty} \Big[\ln x\Big]_1^{t} = \lim_{t \to \infty} \ln t = +\infty.
The running total is \ln t, and the logarithm — famously the laziest
unbounded function in mathematics — still gets everywhere eventually. Want the shaded area to
pass 20? You must integrate out to
t = e^{20} \approx 485{,}000{,}000. Past 100?
Out to e^{100}, a number with 44 digits. It
crawls, but it never stops climbing. Slow divergence is still divergence.
So the boundary between "finite area" and "infinite area" sits somewhere between the exponents
2 and 1. The next card pins it down exactly —
and the answer is razor-thin.
The benchmark: \displaystyle\int_1^{\infty} x^{-p}\,dx
One family settles almost every example you will meet by comparison, so we evaluate it once and
for all. The behaviour turns entirely on whether the exponent p is
bigger than 1.
Step 1 — replace \infty by a finite cut-off
t. By definition the improper integral is the limit of an
ordinary one:
\int_1^{\infty} x^{-p}\,dx = \lim_{t \to \infty} \int_1^{t} x^{-p}\,dx.
Step 2 — antidifferentiate, assuming p \neq 1. The
power rule for integration adds one to the exponent and divides by the new exponent
(1 - p):
\int_1^{t} x^{-p}\,dx = \left[\frac{x^{1-p}}{1-p}\right]_{1}^{t} = \frac{t^{1-p} - 1}{1-p}.
Step 3 — take the limit, and watch the sign of the exponent
1 - p. Everything hinges on what
t^{1-p} does as t \to \infty.
Case p > 1. Then 1 - p < 0,
so t^{1-p} = 1/t^{\,p-1} \to 0. The lone survivor is the
-1:
\lim_{t \to \infty} \frac{t^{1-p} - 1}{1-p} = \frac{0 - 1}{1 - p} = \frac{1}{p - 1}. \qquad \textbf{Converges.}
Case p < 1. Then 1 - p > 0,
so t^{1-p} \to \infty and the whole expression blows up:
\lim_{t \to \infty} \frac{t^{1-p} - 1}{1-p} = +\infty. \qquad \textbf{Diverges.}
Case p = 1. The power rule breaks (it would divide by
1 - p = 0), and the antiderivative is the logarithm instead — the
computation we did in the previous card:
\int_1^{t} \frac{dx}{x} = \big[\ln x\big]_1^{t} = \ln t \;\xrightarrow{\;t \to \infty\;}\; +\infty. \qquad \textbf{Diverges.}
So the integral converges precisely when p > 1 — and not a hair
sooner. p = 1.01 converges (to 100);
p = 1 diverges; p = 0.99 diverges. The
boundary really is razor-thin, and it sits exactly on the borderline exponent.
For the benchmark improper integral over [1, \infty):
-
If p > 1, the integral converges, with value
\displaystyle \int_1^{\infty} x^{-p}\,dx = \frac{1}{p-1}.
-
If p \le 1 (including p = 1, the
logarithm), the integral diverges to +\infty.
-
The companion near the origin flips the inequality:
\displaystyle \int_0^{1} x^{-p}\,dx converges iff
p < 1 — a small power tames the spike, a large one does not.
Spin the curve y = 1/x for x \ge 1 about
the x-axis. The solid it sweeps out — Gabriel's horn — has a
finite volume but an infinite surface area, a clash that
delighted (and unsettled) seventeenth-century mathematicians.
The volume uses the
disk method,
an integrand of 1/x^2 — a p = 2 > 1 case,
so it converges:
V = \pi \int_1^{\infty} \left(\frac{1}{x}\right)^{2} dx = \pi \int_1^{\infty} x^{-2}\,dx = \pi \cdot \frac{1}{2-1} = \pi.
The surface area carries an extra factor of \sqrt{1 + f'(x)^2} \ge 1,
which drags the integrand down toward 1/x — a
p = 1 case, which diverges:
S = 2\pi \int_1^{\infty} \frac{1}{x}\sqrt{1 + \tfrac{1}{x^4}}\,dx \;>\; 2\pi \int_1^{\infty} \frac{dx}{x} = +\infty.
You could fill the horn with \pi cubic units of paint, yet never
have enough to coat its inside. The paradox dissolves once you notice that "coat" assumes a
layer of fixed thickness — which the throat, shrinking forever, cannot accommodate. The
mathematics is innocent; the intuition about paint is the liar. Both halves of the paradox are
the star contrast in disguise: the horn is finite because
1/x^2 converges, and unpaintable because
1/x diverges.
Watch convergence happen
Below is y = x^{-p} on [1, \infty) with the
tail area shaded out to a large cut-off. Slide p and watch the readout:
for p > 1 the area accumulated out to b = 1000
has already settled almost exactly on the limiting value 1/(p-1); for
p \le 1 it just keeps climbing as the cut-off marches right.
Three experiments worth doing. (1) Park the slider at
p = 2 and then at p = 3 — the curves are
nearly indistinguishable to the eye, yet the areas are 1 and
\tfrac12: your eye is a terrible convergence test. (2)
Creep from p = 1.5 down toward p = 1 and watch
the limit 1/(p-1) explode — 2, then
5, then 10 — as you approach the razor-thin
boundary. (3) Sit exactly on p = 1: the area out to
1000 is only \ln 1000 \approx 6.9. It
looks tame — but it is on its way to infinity, at a logarithm's unhurried pace.
Type 2: when the function blows up
The second kind of impropriety hides in plain sight: the interval is finite, but somewhere on it
the integrand shoots off to infinity. Consider
\displaystyle\int_0^1 \frac{dx}{\sqrt{x}}. The interval
[0,1] looks harmless, but as x \to 0^{+} the
integrand 1/\sqrt{x} climbs without bound — the region is an infinitely
tall spike rather than an infinitely long tail. Same medicine: retreat to a safe
starting point t > 0, integrate, then send t
creeping down to the singularity:
\int_0^1 \frac{dx}{\sqrt{x}} = \lim_{t \to 0^{+}} \int_t^1 x^{-1/2}\,dx = \lim_{t \to 0^{+}} \Big[\,2\sqrt{x}\,\Big]_t^1 = \lim_{t \to 0^{+}} \left(2 - 2\sqrt{t}\right) = 2.
An infinitely tall region with area exactly 2. The spike is tall but
thin — near x = 0 the region narrows fast enough that the area
it adds stays under control. Converges.
Now try the same trick on \displaystyle\int_0^1 \frac{dx}{x}, and catch
the divergence properly rather than waving at it:
\int_0^1 \frac{dx}{x} = \lim_{t \to 0^{+}} \int_t^1 \frac{dx}{x} = \lim_{t \to 0^{+}} \Big[\ln x\Big]_t^1 = \lim_{t \to 0^{+}} \left(0 - \ln t\right) = +\infty.
As t \to 0^{+}, \ln t \to -\infty, so
-\ln t \to +\infty. Diverges — and note the verdict came
from an honest limit computation, not from "it looks infinite". In general
\int_0^1 x^{-p}\,dx converges exactly when
p < 1: the inequality from the tail test, flipped. Small powers
tame the spike at zero but fail at infinity; large powers tame the tail but fail at zero. And poor
1/x, sitting exactly on the boundary, fails at both ends — too
fat at infinity, too tall at zero.
These three catch even strong students:
-
\infty is not a number — you must take a limit.
Writing \big[-1/x\big]_1^{\infty} = 0 - (-1) = 1 happens to give the
right answer here, but only as shorthand for the limit; treating it as arithmetic will betray
you. Try "plugging in" on \int_0^{\infty} \cos x\,dx: you would write
\sin \infty, which is meaningless. The honest version,
\lim_{t\to\infty} \sin t, fails to exist — the running total
oscillates forever between -1 and 1 — so
the integral diverges without ever being infinite. Only the limit can tell you that.
-
A blow-up can hide inside the interval. Compute
\int_{-1}^{1} x^{-2}\,dx on autopilot and you get
\big[-1/x\big]_{-1}^{1} = -1 - 1 = -2 — a confidently
negative area for a strictly positive function, which should set off every
alarm you own. The integrand blows up at x = 0, in the middle of the
interval, so the Fundamental Theorem does not apply across it. You must split at the
singularity: \int_{-1}^{0} + \int_{0}^{1}, and each half is a
p = 2 spike integral, which diverges. Verdict:
diverges — the -2 was pure fiction. Before
integrating, always scan the whole interval for points where the integrand is undefined.
-
"The function goes to zero" proves nothing — in either direction.
1/x \to 0 as x \to \infty, yet its
integral diverges: tending to zero is nowhere near enough, it must tend to zero fast
enough. And the converse fails too: a convergent integral does not force the function to
fade away nicely. A function that is zero except for spikes of height 1
at x = 1, 2, 3, \dots, each spike thinner than the last (widths
\tfrac12, \tfrac14, \tfrac18, \dots), has total area at most
1 — the integral converges — yet the function keeps hitting
1 forever and never tends to 0.
Convergence is a statement about accumulated area, not about the function's height.
One improper integral quietly runs modern life:
\int_{-\infty}^{\infty} e^{-x^2}\,dx = \sqrt{\pi}.
The integrand is the bell curve, and this is the Gaussian integral. It converges
with room to spare — e^{-x^2} dies far faster than any power of
x — but there is a famous catch: e^{-x^2} has
no elementary antiderivative. No combination of polynomials, exponentials, logs
and trig functions differentiates to it; the strategy of "find the antiderivative, take the limit"
is simply unavailable.
The escape route is one of the slickest tricks in mathematics. Call the answer
I, and compute I^2 instead — two copies of
the integral multiply into a double integral of e^{-(x^2+y^2)} over the
whole plane. Switch to polar coordinates, and the stubborn x^2 + y^2
collapses into r^2, which does have a friendly antiderivative.
Out pops I^2 = \pi, so I = \sqrt{\pi} — a
circle constant emerging from an integral with no circle in sight.
That \sqrt{\pi} is the reason the normal distribution's formula carries
its mysterious 1/\sqrt{2\pi}: it is exactly the factor needed to make
the total probability — an improper integral over all of (-\infty, \infty) —
equal 1. Every opinion poll margin, every "within two standard
deviations", every medical trial p-value rests on an integral out to infinity converging to
precisely the right number.
See it explained