The saddle point method

Brad Klingenberg
Complex Variables

April, 2006
Asymptotic Analysis
• Approximate the asymptotic behavior
of integrals
• Example: approximating n! for large n
• Example: integrals such as
Z ∞ Z
enϕ(x)dx and enϕ(z)dz.
−∞ C
Example: Stirling’s approximation
• Approximate n! for large n
• Use the Gamma function,
Z ∞
z−1 −t
Γ(z) = t e dt
0
Example: Stirling’s approximation
• Approximate n! for large n
• Use the Gamma function,
Z ∞
z−1 −t
Γ(z) = t e dt
0

Recall for n ∈ N,

Γ(n + 1) = nΓ(n) = . . . = n!Γ(1) = n!

Example: Stirling’s approximation
Then
Z ∞
n −t
n! = Γ(n + 1) = t e dt.
0

Introduce the change of variables t = nz.

Z ∞
n! = (nz)n e−nz dz
0
Z ∞
n+1
= ... = n exp(n [ln(z) − z])dz.
0
Example: Stirling’s approximation
• ln(z) − z < 0 for z ∈ (0, ∞)
• ln(z) − z has maximum at z = 1

−0.5 ln(z) − z

−1

−1.5

−2

−2.5

−3
0 1 2 3 4
z
Example: Stirling’s approximation
• ln(z) − z largest at z = 1
• exp(n [ln(z) − z]) largest at z = 1
• As n becomes large, the difference is
more extreme
• Expect dominant contribution from
z=1
Example: Stirling’s approximation

1
n=1
0.8 n=5
n = 75
0.6

0.4

0.2

0
0 1 2 3 4 5

Rescaled integrand for n = 1, 5, 75.

Example: Stirling’s approximation
Taylor expand integrand about z = 1, letting
g(z) = ln(z) − z ,
Z ∞
n! = nn+1 exp(n [ln(z) − z])dz
0
Z  1+ǫ 
1
≈ n n+1
exp n g(1) + (z − 1)2 g ′′ (1) dz
1−ǫ 2
Z ∞   
1
≈ n n+1
exp n g(1) + (z − 1)2 g ′′ (1) dz
0 2
Z ∞  2 q
s
n+1 −n
= n e exp n ds = nn+1 e−n 2π
−1 2 n

with s = z − 1.
Example: Stirling’s approximation
The approximation to the integrand is
very accurate!
−9
x 10 n( ln(z) − z )
2.5
2
n( −1 − (z−1) /2 )
2

1.5

0.5

0
0 0.5 1 1.5 2
z

Integrand approximation for n = 20.

Generalization: Laplace’s Method
Consider integrals of the form
Z
enϕ(x)dx

Approximate as n → ∞.
What have we learned from the example?
Generalization: Laplace’s Method
Stirling’s approximation provides a strategy:
• Find the point x0 where ϕ(x) attains its maximum
• Expand enϕ(x) in a neighborhood of x0
• Argue
Z x0 +ǫ Z
nϕ(x) nϕ(x)
e dx ≈ e dx
x0 −ǫ R

by the exponential decay of the integrand.

Generalization: Laplace’s Method
It can be shown that for a < x0 < b,

Z s
b
nϕ(x) nϕ(x0 ) 2π
e dx ≈ e
a n|ϕ′′(x0)|

If x0 is an endpoint, then
Z b r
π
enϕ(x)dx ≈ enϕ(x0)
a 2n|ϕ′′(x0)|
Example 6.2.15
Consider
n  
X n
I(n) = k!n−k
k
k=0

Notice
Z ∞ Z ∞
−nx k −k−1 −t k
e x dx = n e t dt
0 0
−1−k −k−1
= Γ(k − 1)n = k!n
where t = nx.
Example 6.2.15

n   Z ∞
X n
I(n) = n e−nx xk dx
k 0
k=0
Z ∞ n   !
−nx
X n k
= e n x dx
0 k
k=0
Z ∞
−nx n
= e n(1 + x) dx
0
Z ∞
= n exp(n [ln(1 + x) − x])dx
0
| {z }
ϕ(x)
Example 6.2.15
Then ϕ(x) = ln(1 + x) − x,
′ 1
ϕ (x) = −1
1+x
such that x0 = 0 (an endpoint).

ϕ(0) = ln(1) − 0 = 0
 
′′
 −1 
|ϕ (0)| =   = | − 1| = 1.
(1 + 0)2 
Example 6.2.15
So using Laplace’s method,
n
X n  
−k
I(n) = k!n
k
k=0
r
nϕ(x0 ) π
≈ ne
2n|ϕ′′(x0)|
r r
π nπ
= n =
2n 2
Extending to the complex plane
Now consider
Z Z
enϕ(z)dz = enReϕ(z)eniImϕ(z)dz
C C

where ϕ(z) is an analytic function on C.

Extending to the complex plane
Now consider
Z Z
enϕ(z)dz = enReϕ(z)eniImϕ(z)dz
C C

where ϕ(z) is an analytic function on C.

The strategy for Reϕ is analogous to the
real case. What about Imϕ?

Get rid of it!

Extending to the complex plane
Deform the contour C to C ′ so that Imϕ
′
is constant on C . Then
Z Z
nϕ(z) niImϕ(z0 ) nReϕ(z)
e dz = e e dz
C C′

Laplace method applies!

But how do you find C ′ ?

 ′
Finding C
Require

ϕ(z) = u(x, y) + iv(x, y)

= u(x, y) + iv(x0, y0)

where z0 = x0 + iy0 and ϕ′(z0 ) = 0.

The dominant contribution will come from
z0!
Steepest descent
For v(x, y) = v(x0, y0),

∇v = (∂v/∂x, ∂v/∂y)
= (−∂u/∂y, ∂u/∂x)

The direction tangent to this curve is

(∂u/∂x, ∂u/∂y) = ∇u
- the steepest descent in u!
Example
Consider the asymptotics of

Z
1 1 −z t
= t e dt
Γ(z) 2πi C
Example

The Hankel contour from the notes.

Example

Z
1 1 −z t
= t e dt
Γ(z) 2πi C
Z
1
= exp(t − z ln(t))dt
2πi C
Z
1
= z
exp(z [s − ln(s)])ds
2πiz C | {z }
ϕ(s)

where t = sz.
Example
• Note that
′ 1
ϕ (s) = 1 −
s
such that ϕ′(1) = 0.
• If we deform C to pass through z = 1
and hold Imϕ(z) constant then the
dominant contribution will be around
z = 1.
Example

Plots of Reϕ(z) and Imϕ(z).

Example

• We want to hold Imϕ(z) constant

• What are the directions of steepest

descent from z = 1?
Example

Level curves for Imϕ(z).

Example

Close-up of Reg(z).
Example
• Vary ϕ(z) only in the imaginary
direction
• Let z = 1 + iv, then

ϕ(v) = 1 + iv − ln(1 + iv)

v 2 iv 3
= 1− + + ...
2 3
v2
≈ 1−
2
Example
v2
Letting g(v) = 1 − 2,
ǫZ
1 1
≈ exp(zg(v))dv
Γ(z) 2πz z−1 −ǫ
Z ∞  2

1 z v
≈ e exp −z dv
2πz z−1 −∞ 2
r
1 z 2π

e z
pz
= z−1
e = z 2π
2πz z
A generalization
It can be shown that to leading order,
Z r
nϕ(z) iθ nϕ(z0 ) π
e dz ≈ e e ′′ (z )|
C k|ϕ 0

where
α π α 3π
θ=− + , − +
2 2 2 2
is the direction of steepest descent, and
′′ ′′ iα
ϕ (z0 ) = |ϕ (z0 )|e .
Conclusions
Laplace’s method is
• General
• Accurate
• Intuitive
• Extended to the complex plane