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---
title: "Hermite polynomials"
firstLetter: "H"
publishDate: 2021-09-08
categories:
- Mathematics
- Statistics
date: 2021-09-08T17:00:42+02:00
draft: false
markup: pandoc
---
# Hermite polynomials
The **Hermite polynomials** are a set of functions
that appear in physics and statistics,
although slightly different definitions are used in those fields.
## Physicists' definition
The **Hermite equation** is an eigenvalue problem for $n$,
and the Hermite polynomials $H_n(x)$ are its eigenfunctions $u(x)$,
subject to the boundary condition that $u$ grows at most polynomially,
in which case the eigenvalues $n$ are non-negative integers:
$$\begin{aligned}
\boxed{
u'' - 2 x u' + 2 n u = 0
}
\end{aligned}$$
The $n$th-order Hermite polynomial $H_n(x)$
is therefore as follows, according to physicists:
$$\begin{aligned}
H_n(x)
&= (-1)^n \exp\!(x^2) \dv[n]{x} \exp\!(- x^2)
\\
&= \Big( 2 x - \dv{x} \Big)^n 1
\end{aligned}$$
This form is known as a *Rodrigues' formula*.
The first handful of Hermite polynomials are:
$$\begin{gathered}
H_0(x) = 1
\qquad \quad
H_1(x) = 2 x
\qquad \quad
H_2(x) = 4 x^2 - 2
\\
H_3(x) = 8 x^3 - 12 x
\qquad \quad
H_4(x) = 16 x^4 - 48 x^2 + 12
\end{gathered}$$
And then more $H_n$ can be computed quickly
using the following recurrence relation:
$$\begin{aligned}
\boxed{
H_{n + 1}(x) = 2 x H_n(x) - 2n H_{n-1}(x)
}
\end{aligned}$$
They (almost) form an *Appell sequence*,
meaning their derivatives are like so:
$$\begin{aligned}
\boxed{
\dv[k]{x} H_n(x)
= 2^k \frac{n!}{(n - k)!} H_{n - k}(x)
}
\end{aligned}$$
Importantly, all $H_n$ are orthogonal with respect to the weight function $w(x) \equiv \exp\!(- x^2)$:
$$\begin{aligned}
\boxed{
\braket{H_n}{w H_m}
\equiv \int_{-\infty}^\infty H_n(x) \: H_m(x) \: w(x) \dd{x}
= \sqrt{\pi} 2^n n! \: \delta_{nm}
}
\end{aligned}$$
Where $\delta_{nm}$ is the Kronecker delta.
Finally, they form a basis in the [Hilbert space](/know/concept/hilbert-space/)
of all functions $f(x)$ for which $\braket{f}{w f}$ is finite.
This means that every such $f$ can be expanded in $H_n$:
$$\begin{aligned}
\boxed{
f(x)
= \sum_{n = 0}^\infty a_n H_n(x)
= \sum_{n = 0}^\infty \frac{\braket{H_n}{w f}}{\braket{H_n}{w H_n}} H_n(x)
}
\end{aligned}$$
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