Integration

cosmos 9th March 2017 at 2:35am
Calculus Measure theory

Area under the curve


Measure-theoretical definition

Integrating a function w.r.t. a measure. Given a Measure space, we can use the characteristic function of a set, to define "simple" functions defined as taking a certain value cic_i for xx that lies in any of a family of {elements AiA_i of the sigma-algebra (which is a subset)}, which are disjoint. The integral of a simple function gg is just the area under the graph, defined as gdμ:=i=1Nciμ(Ai)\int g d\mu :=\sum_{i=1}^N c_i \mu(A_i). Can extend for integral of non-negative Measurable functions ff, as the {Supremum of {the integral of a simple function} over simple functions which lower bound the function ff}