Orthogonal polynomials

We start with
Definition 1. A sequence of polynomials {pn (x)}
n=0 with degree[pn (x)] = n for each n is
called orthogonal with respect to the weight function w(x) on the interval (a, b) with a < b if
(
Z b
0, m 6= n
w(x)pm (x)pn (x) dx = hn mn with mn :=
1, m = n.
a
The weight function w(x) should be continuous and positive on (a, b) such that the moments
Z b
n :=
w(x) xn dx, n = 0, 1, 2, . . .
a

exist. Then the integral

hf, gi :=

w(x)f (x)g(x) dx
a

denotes an inner product of the polynomials f and g. The interval (a, b) is called the interval
of orthogonality. This interval needs not to be finite.
If hn = 1 for each n {0, 1, 2, . . .} the sequence of polynomials is called orthonormal, and if
pn (x) = kn xn + lower order terms

with kn = 1

for each n {0, 1, 2, . . .} the polynomials are called monic.

Example. As an example we take w(x) = 1 and (a, b) = (0, 1). Using the Gram-Schmidt
process the orthogonal polynomials can be constructed as follows. Start with the sequence
{1, x, x2 , . . .}. Choose p0 (x) = 1. Then we have
hx, 1i
1
hx, p0 (x)i
p0 (x) = x
=x ,
hp0 (x), p0 (x)i
h1, 1i
2

p1 (x) = x
since

h1, 1i =

dx = 1

and hx, 1i =

1
x dx = .
2

Further we have
hx2 , p0 (x)i
hx2 , p1 (x)i
p0 (x)
p1 (x)
hp0 (x), p0 (x)i
hp1 (x), p1 (x)i

hx2 , x 12 i
hx2 , 1i
1
1
1
1
2
2
= x

x
=x x
= x2 x + ,
1
1
h1, 1i
2
3
2
6
hx 2 , x 2 i

p2 (x) = x2

since

Z
2

hx , 1i =
0

1
x dx = ,
3

and

Z
hx

1
2,

1
2i

=
0

1
x
2

Z
2

hx , x
2

1
2i

=
0

Z
dx =
0
1
2

1
1 1
1
x x
dx = =
2
4 6
12
2

1
x x+
4
2

dx =

1 1 1
1
+ = .
3 2 4
12

The polynomials p0 (x) = 1, p1 (x) = x and p2 (x) = x2 x + 16 are the first three monic
orthogonal polynomials on the interval (0, 1) with respect to the weight function w(x) = 1.
1

Repeating this process we obtain

3
3
1
9
2
1
p3 (x) = x3 x2 + x , p4 (x) = x4 2x3 + x2 x + ,
2
5
20
7
7
70
5
20
5
5
1
p5 (x) = x5 x4 + x3 x2 + x
,
2
9
6
42
252
and so on.

The orthonormal polynomials would be q0 (x) = p0 (x)/ h0 = 1,

p2 (x)
1
2
=6 5 x x+
,
q1 (x) = p1 (x)/ h1 = 2 3(x 1/2), q2 (x) =
6
h2

p3 (x)
3 2 3
1
3
q3 (x) =
= 20 7 x x + x
,
2
5
20
h3
etcetera.
All sequences of orthogonal polynomials satisfy a three term recurrence relation:
Theorem 1. A sequence of orthogonal polynomials {pn (x)}
n=0 satisfies
pn+1 (x) = (An x + Bn )pn (x) + Cn pn1 (x),

n = 1, 2, 3, . . . ,

where
An =

kn+1
,
kn

n = 0, 1, 2, . . .

and

Cn =

An
hn

,
An1 hn1

n = 1, 2, 3, . . . .

Proof. Since degree [pn (x)] = n for each n {0, 1, 2, . . .} the sequence of orthogonal polynomials {pn (x)}
n=0 is linearly independent. Let An = kn+1 /kn . Then pn+1 (x) An xpn (x) is a
polynomial of degree n. Hence
pn+1 (x) An xpn (x) =

n
X

ck pk (x).

k=0

The orthogonality property now gives

hpn+1 (x) An xpn (x), pk (x)i =

n
X

cm hpm (x), pk (x)i = ck hpk (x), pk (x)i = ck hk .

m=0

This implies
hk ck = hpn+1 (x) An xpn (x), pk (x)i
= hpn+1 (x), pk (x)i An hxpn (x), pk (x)i = An hpn (x), xpk (x)i.
For k < n 1 we have degree [xpk (x)] < n which implies that hpn (x), xpk (x)i = 0. Hence:
ck = 0 for k < n 1. This proves that the polynomials satisfy the three term recurrence
relation
pn+1 (x) An xpn (x) = cn pn (x) + cn1 pn1 (x), n = 1, 2, 3, . . . .
Further we have
hn1 cn1 = An hpn (x), xpn1 (x)i = An
This proves the theorem.
2

kn1
hn
kn

cn1 =

An
hn

.
An1 hn1

Note that the three term recurrence relation for a sequence of monic (kn = 1) orthogonal
polynomials {pn (x)}
n=0 has the form
pn+1 (x) = xpn (x) + Bn pn (x) + Cn pn1 (x) with Cn =

hn
,
hn1

n = 1, 2, 3, . . . .

A consequence of the three term recurrence relation is

Theorem 2. A sequence of orthogonal polynomials {pn (x)}
n=0 satisfies
n
X
pk (x)pk (y)

hk

k=0

and

n
X
{pk (x)}2
k=0

hk

kn
pn+1 (x)pn (y) pn+1 (y)pn (x)

,
hn kn+1
xy

n = 0, 1, 2, . . .

(1)

kn
p0n+1 (x)pn (x) pn+1 (x)p0n (x) ,
hn kn+1

n = 0, 1, 2, . . . .

(2)

Formula (1) is called the Christoffel-Darboux formula and (2) its confluent form.
Proof. The three term recurrence relation implies that
pn+1 (x)pn (y) = (An x + Bn )pn (x)pn (y) + Cn pn1 (x)pn (y)
and
pn+1 (y)pn (x) = (An y + Bn )pn (y)pn (x) + Cn pn1 (y)pn (x).
Subtraction gives
pn+1 (x)pn (y) pn+1 (y)pn (x) = An (x y)pn (x)pn (y) + Cn [pn1 (x)pn (y) pn1 (y)pn (x)] .
This leads to the telescoping sum
n
n
X
X
pk (x)pk (y)
pk+1 (x)pk (y) pk+1 (y)pk (x)
(x y)
=
hk
Ak hk
k=1

k=1

n
X
pk (x)pk1 (y) pk (y)pk1 (x)
k=1

Ak1 hk1

pn+1 (x)pn (y) pn+1 (y)pn (x) k02 (x y)

.
An hn
h0

This implies that

(x y)

n
X
pk (x)pk (y)
k=0

hk

pn+1 (x)pn (y) pn+1 (y)pn (x)

An hn

kn
(pn+1 (x)pn (y) pn+1 (y)pn (x)) ,
hn kn+1

which proves (1). The confluent form (2) then follows by taking the limit y x:
pn+1 (x)pn (y) pn+1 (y)pn (x)
yx
xy
pn (x) (pn+1 (x) pn+1 (y)) pn+1 (x) (pn (x) pn (y))
= lim
yx
xy
0
0
= pn (x)pn+1 (x) pn+1 (x)pn (x).
lim

Zeros
Theorem 3. If {pn (x)}
n=0 is a sequence of orthogonal polynomials on the interval (a, b) with
respect to the weight function w(x), then the polynomial pn (x) has exactly n real simple zeros
in the interval (a, b).
Proof. Since degree[pn (x)] = n the polynomial has at most n real zeros. Suppose that pn (x)
has m n distinct real zeros x1 , x2 , . . . , xm in (a, b) of odd order (or multiplicity). Then the
polynomial
pn (x)(x x1 )(x x2 ) (x xm )
does not change sign on the interval (a, b). This implies that
Z b
w(x)pn (x)(x x1 )(x x2 ) (x xm ) dx 6= 0.
a

By orthogonality this integral equals zero if m < n. Hence: m = n, which implies that pn (x)
has n distinct real zeros of odd order in (a, b). This proves that all n zeros are distinct and
simple (have order or multiplicity equal to one).
Theorem 4. If {pn (x)}
n=0 is a sequence of orthogonal polynomials on the interval (a, b) with
respect to the weight function w(x), then the zeros of pn (x) and pn+1 (x) separate each other.
Proof. This follows from the confluent form (2) of the Christoffel-Darboux formula. Note
that
Z b
hn =
w(x) {pn (x)}2 dx > 0, n = 0, 1, 2, . . . .
a

This implies that

n
0
X
kn
{pk (x)}2
0
pn+1 (x)pn (x) pn+1 (x)pn (x) =
> 0.
hn kn+1
hk
k=0

Hence

kn 0
pn+1 (x)pn (x) pn+1 (x)p0n (x) > 0.
kn+1

Now suppose that xn,k and xn,k+1 are two consecutive zeros of pn (x) with xn,k < xn,k+1 .
Since all n zeros of pn (x) are real and simple p0n (xn,k ) and p0n (xn,k+1 ) should have opposite
signs. Hence we have
pn (xn,k ) = 0 = pn (xn,k+1 )

and p0n (xn,k ) p0n (xn,k+1 ) < 0.

This implies that pn+1 (xn,k ) pn+1 (xn,k+1 ) should be negative too. Then the continuity of
pn+1 (x) implies that there should be at least one zero of pn+1 (x) between xn,k and xn,k+1 .
However, this holds for each two consecutive zeros of pn (x). This proves the theorem.
Moreover, if {xn,k }nk=1 and {xn+1,k }n+1
k=1 denote the consecutive zeros of pn (x) and pn+1 (x)
respectively, then we have
a < xn+1,1 < xn,1 < xn+1,2 < xn,2 < < xn+1,n < xn,n < xn+1,n+1 < b.

Gauss quadrature
If f is a continuous function on (a, b) and x1 < x2 < < xn are n distinct points in (a, b),
then there exists exactly one polynomial P with degree n 1 such that P (xi ) = f (xi ) for
all i = 1, 2, . . . , n. This polynomial P can easily be found by using Lagrange interpolation as
follows. Define
p(x) = (x x1 )(x x2 ) (x xn )
and consider
P (x) =

n
X
i=1

X
p(x)
(x x1 ) (x xi1 )(x xi+1 ) (x xn )
f (xi )
=
f (xi )
.
0
(x xi )p (xi )
(xi x1 ) (xi xi1 )(xi xi+1 ) (xi xn )
i=1

Let {pn (x)}

n=0 be a sequence of orthogonal polynomials on the interval (a, b) with respect to
the weight function w(x). Then for x1 < x2 < < xn we take the n distinct real zeros of the
polynomial pn (x). If f is a polynomial of degree 2n 1, then f (x) P (x) is a polynomial
of degree 2n 1 with at least the zeros x1 < x2 < < xn . Now we define
f (x) = P (x) + r(x)pn (x),
where r(x) is a polynomial of degree n 1. This can also be written as
f (x) =

n
X

f (xi )

i=1

This implies that

Z b
Z
n
X
w(x)f (x) dx =
f (xi )
a

i=1

pn (x)
+ r(x)pn (x).
(x xi )p0n (xi )

w(x)pn (x)
dx +
(x xi )p0n (xi )

Z
a

w(x)r(x)pn (x) dx.

Since degree[r(x)] n 1 the orthogonality property implies that the latter integral equals
zero. This implies that
Z b
Z b
n
X
w(x)pn (x)
dx, i = 1, 2, . . . , n.
w(x)f (x) dx =
n,i f (xi ) with n,i :=
0
a
a (x xi )pn (xi )
i=1

This is the Gauss quadrature formula. This gives the value of the integral in the case that f is a
polynomial of degree 2n1 if the value of f (xi ) is known for the n zeros x1 < x2 < < xn
of the polynomial pn (x).
If f is not a polynomial of degree 2n 1 this leads to an approximation of the integral:
Z b
Z b
n
X
w(x)pn (x)
n,i f (xi ) with n,i :=
w(x)f (x) dx
dx, i = 1, 2, . . . , n.
(x
xi )p0n (xi )
a
a
i=1

The coefficients {n,i }ni=1 are called Christoffel numbers. Note that these numbers do not
depend on the function f . These Christoffel numbers are all positive. This can be shown as
follows. We have
Z b
pn (x)
n,i =
w(x)`n,i (x) dx with `n,i (x) :=
, i = 1, 2, . . . , n.
(x xi )p0n (xi )
a
5

Then `2n,i (x) `n,i (x) is a polynomial of degree 2n 2 which vanishes at the zeros {xn,k }nk=1
of pn (x). Hence
`2n,i (x) `n,i (x) = pn (x)q(x) for some polynomial q of degree n 2.
This implies that

Z
a

w(x) `2n,i (x) `n,i (x) dx =

Z
a

w(x)pn (x)q(x) dx = 0

by orthogonality. Hence we have

Z b
Z b
n,i =
w(x)`n,i (x) dx =
w(x) {`n,i (x)}2 dx > 0.
a

Now we can also prove

Theorem 5. Let {pn (x)}
n=0 be a sequence of orthogonal polynomials on the interval (a, b)
with respect to the weight function w(x) and let m < n. Then we have: between any two zeros
of pm (x) there is at least one zero of pn (x).
Proof. Suppose that xm,k and xm,k+1 are two consecutive zeros of pm (x) and that there is no
zero of pn (x) in (xm,k , xm,k+1 ). Then consider the polynomial
g(x) =

pm (x)
.
(x xm,k )(x xm,k+1 )

Then we have
g(x)pm (x) 0

for x
/ (xm,k , xm,k+1 ).

Now the Gauss quadrature formula gives

Z b
n
X
w(x)g(x)pm (x) dx =
n,i g(xn,i )pm (xn,i ),
a

i=1

{xn,i }ni=1

where
are the zeros of pn (x). Since there are no zeros of pn (x) in (xm,k , xm,k+1 )
we conclude that g(xn,i )pm (xn,i ) 0 for all i = 1, 2, . . . , n. Further we have n,i > 0 for all
i = 1, 2, . . . , n which implies that the sum at the right-hand side cannot vanish. However, the
integral at the left-hand side is zero by orthogonality. This contradiction proves that there
should be at least one zero of pn (x) between the two consecutive zeros of pm (x).

0.2

0.4

0.6

0.8

The polynomials q2 (x), q3 (x) and q4 (x)

6

Classical orthogonal polynomials

The classical orthogonal polynomials are named after Hermite, Laguerre and Jacobi:

name

pn (x)

w(x)

Hermite

Hn (x)

ex

(, )

Laguerre

Ln (x)

ex x

(0, )

(1 x) (1 + x)

(1, 1)

(1, 1)

Jacobi
Legendre

()

(,)

Pn

(x)

Pn (x)

(a, b)

The Hermite polynomials are orthogonal on the interval (, ) with respect to the normal
2
distribution w(x) = ex , the Laguerre polynomials are orthogonal on the interval (0, ) with
respect to the gamma distribution w(x) = ex x and the Jacobi polynomials are orthogonal
on the interval (1, 1) with respect to the beta distribution w(x) = (1 x) (1 + x) .
The Legendre polynomials form a special case ( = = 0) of the Jacobi polynomials.
These classical orthogonal polynomials satisfy an orthogonality relation, a three term recurrence relation, a second order linear differential equation and a so-called Rodrigues formula.
Moreover, for each family of classical orthogonal polynomials we have a generating function.
In the sequel we will often use the Kronecker delta which is defined by
(
0, m 6= n
mn :=
1, m = n
for m, n {0, 1, 2, . . .} and the notation
D=

d
dx

(3)

for the differentiation operator. Then we have Leibniz rule

n
X
n
D [f (x)g(x)] =
Dk f (x)Dnk g(x),
k
n

n = 0, 1, 2, . . .

(4)

k=0

which is a generalization of the product rule. The proof is by mathematical induction and by
use of Pascals triangle identity

n
n
n+1
+
=
, k = 1, 2, . . . , n.
k
k1
k

Hermite
The Hermite polynomials are orthogonal on the interval (, ) with respect to the normal
2
distribution w(x) = ex . They can be defined by means of their Rodrigues formula:
Hn (x) =

(1)n n
2
2
D w(x) = (1)n ex Dn ex ,
w(x)

n = 0, 1, 2, . . . ,

(5)

where the differentiation operator D is defined by (3). Since Dn+1 = D Dn , we obtain

Dn+1 w(x) = D [Dn w(x)] = (1)n D [w(x)Hn (x)] = (1)n w0 (x)Hn (x) + w(x)Hn0 (x)

= (1)n+1 w(x) 2xHn (x) Hn0 (x) , n = 0, 1, 2, . . . ,

which implies that
Hn+1 (x) = 2xHn (x) Hn0 (x),

n = 0, 1, 2, . . . .

(6)

The definition (5) implies that H0 (x) = 1. Then (6) implies by induction that Hn (x) is a
polynomial of degree n. Further we have that H2n (x) is even and H2n+1 (x) is odd and that
the leading coefficient of the polynomial Hn (x) equals kn = 2n .
The Hermite polynomials satisfy the orthogonality relation
Z
1
2

ex Hm (x)Hn (x) dx = 2n n! mn , m, n {0, 1, 2, . . .}.

To prove this we use the definition (5) to obtain
Z
Z
x2
n
e Hm (x)Hn (x) dx = (1)

(7)

Hm (x)Dn ex dx.

Now we use integration by parts n times to conclude that the integral vanishes for m < n.
For m = n we have using integration by parts
Z
Z
Z
2
2
2
ex Hn (x)Hn (x) dx = (1)n
Hn (x)Dn ex dx =
Dn Hn (x) ex dx

2
= kn n!
ex dx = 2n n! .

This proves the orthogonality relation (7).

In order to find the three term recurrence relation we start with
2

w(x) = ex

w0 (x) = 2xw(x).

Then we have by using Leibniz rule (4)

Dn+1 w(x) = Dn w0 (x) = Dn [2xw(x)] = 2xDn w(x) 2nDn1 w(x),
which implies that
Hn+1 (x) = 2xHn (x) 2nHn1 (x),
8

n = 1, 2, 3, . . . .

(8)

Combining (6) and (8) we find that

Hn0 (x) = 2nHn1 (x),

n = 1, 2, 3, . . . .

(9)

Differentiation of (6) gives

0
Hn+1
(x) = 2xHn0 (x) + 2Hn (x) Hn00 (x),

n = 0, 1, 2, . . . .

Now we use (9) to conclude that

2(n + 1)Hn (x) = 2xHn0 (x) + 2Hn (x) Hn00 (x),

n = 0, 1, 2, . . . ,

which implies that Hn (x) satisfies the second order linear differential equation
y 00 (x) 2xy 0 (x) + 2ny(x) = 0,

n {0, 1, 2, . . .}.

Finally we will prove the generating function

e

2xtt2

X
Hn (x)
n=0

We start with

n!

tn .

(10)

f (t) = e(xt) = ex e2xtt .

The Taylor series for f (t) is
f (t) =

X
f (n) (0)
n=0

n!

tn

with, by using the substitution x t = u,

n

d (xt)2
d
2
2
(n)
n
u2
f (0) =
e
= (1)
e
= (1)n Dn ex = ex Hn (x)
n
n
dt
du
t=0
u=x
for n = 0, 1, 2, . . .. Hence we have
2

ex e2xtt = e(xt) = f (t) =

X
f (n) (0)
n=0

This proves the generating function (10).

n!

tn = ex

X
Hn (x)
n=0

n!

tn .

Laguerre
The Laguerre polynomials are orthogonal on the interval (0, ) with respect to the gamma
distribution w(x) = ex x . They can be defined by means of their Rodrigues formula:
L()
n (x) =

1 1
1 x n x n+
Dn [w(x) xn ] =
e x D e x
,
n! w(x)
n!

n = 0, 1, 2, . . . .

(11)

By using Leibniz rule (4) we have

n
X

n
n x n+
D e x
=
Dk ex Dnk xn+
k
k=0
n
X
n
=
(1)k ex (n + )(n + 1) ( + k + 1)x+k
k
k=0

n
X
x
k n (n + + 1) k
x .
= e x
(1)
k (k + + 1)
k=0

Hence we have
L()
n (x)

k
n
X
k n+ x
=
(1)
,
n k k!

n = 0, 1, 2, . . . ,

(12)

k=0

where

n+
(n + + 1)
(k + + 1)nk
=
=
,
nk
(n k)! (k + + 1)
(n k)!

k = 0, 1, 2, . . . , n.

()

This proves that Ln (x) is a polynomial of degree n. Since

(1)k ( + 1)n
( + 1)n (n)k
k n+
(1)
=
=
,
nk
(n k)! ( + 1)k
n!
( + 1)k

k = 0, 1, 2, . . . , n

we also have for n = 0, 1, 2, . . .

L()
n (x)

n
( + 1)n X (n)k xk
n+
n
=
=
;x .
1 F1
n!
( + 1)k k!
n
+1

(13)

k=0

Note that we have

L()
n (0)

n+
( + 1)n
=
=
,
n
n!

n = 0, 1, 2, . . .

()

and that the leading coefficient of the polynomial Ln (x) equals

kn =
Further we have

(1)n
,
n!

n = 0, 1, 2, . . . .

k1
n
n
X
d X
x
k n+ x
k n+
(1)
=
(1)
dx
n k k!
n k (k 1)!
k=0
k=1

k
n1
X
n+
x
(+1)
= Ln1 (x), n = 1, 2, 3, . . . .
=
(1)k1
n k 1 k!

d ()
L (x) =
dx n

k=0

10

(14)

Now we can prove the orthogonality relation

Z
(n + + 1)
()
ex x L()
mn ,
m (x)Ln (x) dx =
n!
0

> 1

(15)

for m, n {0, 1, 2, . . .}. First of all, the integral converges if the moments
Z
n =
ex xn+ dx
0

exists for all n {0, 1, 2, . . .}. This leads to the condition > 1. Note that n = (n++1).
Now we use (11) to obtain
Z
Z

1
x ()
()
n x n+
e x Lm (x)Ln (x) dx =
L()
e x
dx.
m (x)D
n! 0
0
We apply integration by parts to obtain
Z
Z

()
n x n+
n
Lm (x)D e x
dx = (1)
0

x n+
Dn L()
dx
m (x)e x

which equals zero for m < n. For m = n we find

Z
Z
x n+
Dn L()
(x)e
x
dx
=
k
n!
ex xn+ dx = (1)n (n + + 1).
n
n
0

This proves the orthogonality relation (15).

The Laguerre polynomials can also be defined by their generating function

xt
1
n
(1 t)
exp
=
L()
n (x)t .
1t

(16)

n=0

The proof is straightforward. Start with (13) and change the order of summation to obtain

n
L()
=
n (x)t

n=0

X
( + 1)n
n=0
X

n!

tn

n
X
X
X
(n)k xk
( + 1)n (1)k xk tn
=
( + 1)k k!
( + 1)k k! (n k)!
k=0

k=0 n=k

(xt)k X ( + k + 1)n n
t
k! n!
k!
n!
n=0
k=0 n=0
k=0

k
X
X
(xt)
1
xt k
k1
1
=
(1 t)
= (1 t)

.
k!
k!
1t

( + 1)n+k
( + 1)k

(1)k xk tn+k

k=0

k=0

This proves (16).

If we define
1

F (x, t) := (1 t)

xt
,
exp
1t

then we easily obtain

xt
2
F (x, t) = t(1 t)
exp
x
1t
11

(1 t)

F (x, t) + tF (x, t) = 0
x

and

x(1 t) xt
xt
( + 1)(1 t)2 + (1 t)1
exp

(1 t)2
1t

x
xt
=
+1
(1 t)2 exp
,
1t
1t

F (x, t) =
t

which implies that

(1 t)2

F (x, t) + [x ( + 1)(1 t)] F (x, t) = 0.

t

The first relation leads to

X
X
d ()
n
n
(1 t)
L (x)t + t
L()
n (x)t = 0
dx n
n=0

n=0

or equivalently

X
X
X
d ()
d ()
n+1
Ln (x)tn
Ln (x)tn+1 +
L()
= 0.
n (x)t
dx
dx

n=0

n=0

n=0

Hence we have
d ()
d ()
Ln+1 (x)
L (x) + L()
n (x) = 0,
dx
dx n

n = 0, 1, 2, . . .

(17)

or equivalently, by using (14),

d ()
(+1)
L (x) = L()
(x),
n (x) Ln
dx n

n = 0, 1, 2, . . . .

The second relation leads to

2

(1 t)

n1
nL()
n (x)t

+ [x ( + 1)(1 t)]

n=1

n
L()
n (x)t = 0

n=0

or equivalently

n1
nL()
2
n (x)t

n=1

n
nL()
n (x)t +

n=1

+x

X
n=0

n
L()
n (x)t ( + 1)

n+1
nL()
n (x)t

n=1

n
L()
n (x)t + ( + 1)

n=0

n+1
L()
= 0.
n (x)t

n=0

Equating the coefficients of equal powers of t we obtain the three term recurrence relation
()

()

(n + 1)Ln+1 (x) + (x 2n 1)L()

n (x) + (n + )Ln1 (x) = 0,

n = 1, 2, 3, . . . .

Note that this can also be written as

h
i
h
i
()
()
()
()
xL()
(x)
+
(n
+
1)
L
(x)

L
(x)

(n
+
)
L
(x)

L
(x)
= 0,
n
n
n
n+1
n1
12

(18)

n = 1, 2, 3, . . . .

Now we differentiate and use (17) to obtain

x

d ()
()
()
Ln (x) + L()
n (x) (n + 1)Ln (x) + (n + )Ln1 (x) = 0,
dx

n = 1, 2, 3, . . . .

This implies that

x

d ()
()
Ln (x) = nL()
n (x) (n + )Ln1 (x),
dx

n = 1, 2, 3, . . . .

(19)

Now we differentiate (19) and use (17) and (19) to find

x

d ()
d
d ()
d2 ()
Ln (x) +
Ln (x) = n L()
L
(x)
n (x) (n + )
2
dx
dx
dx
dx n1

d ()
d ()
d
= (n + )
L (x)
L
(x) L()
(x)
dx n
dx n1
dx n
d
()
(x)
= (n + )Ln1 (x) L()
dx n
d
d ()
= x L()
(x) nL()
L (x).
n (x)
dx n
dx n
()

This proves that the polynomial Ln (x) satisfies the second order linear differential equation
xy 00 (x) + ( + 1 x)y 0 (x) + ny(x) = 0,

n {0, 1, 2, . . .}.

Finally, we use the generating function (16) to prove the addition formula
L(++1)
(x
n

+ y) =

n
X

()

Lk (x)Lnk (y),

n = 0, 1, 2, . . . .

(20)

k=0

The generating function (16) implies that

Ln(++1) (x

n=0

+ y)t

(x + y)t
= (1 t)
exp
1t

yt
xt
1
1
(1 t)
exp
= (1 t)
exp
1t
1t
n
!

X ()
X
X X ()
()
k
()
m
=
Lk (x)t
Lm (y)t =
Lk (x)Lnk (y) tn .
2

k=0

m=0

This proves (20).

13

n=0

k=0

Jacobi
The Jacobi polynomials are orthogonal on the interval (1, 1) with respect to the beta distribution w(x) = (1 x) (1 + x) . They can be defined by means of their Rodrigues formula:
Pn(,) (x) =
=

(1)n 1
n
2 n
D
w(x)
(1

x
)
2n n! w(x)
h
i
(1)n

n
n+
n+
(1

x)
(1
+
x)
D
(1

x)
(1
+
x)
2n n!

(21)

for n = 0, 1, 2, . . .. By using Leibniz rule (4) we have

n
h
i X
n
Dn (1 x)n+ (1 + x)n+ =
Dk (1 x)n+ Dnk (1 + x)n+
k
k=0
n
X
n
=
(1)k (n + )(n + 1) (n + k + 1)(1 x)n+k
k
k=0

(n + )(n + 1) ( + k + 1)(1 + x)+k

n
X
n+
k n+
(1)
(1 x)n+k (1 + x)+k , n = 0, 1, 2, . . . .
= n!
k
nk
k=0

This implies that

Pn(,) (x)

n
(1)n X
n+
k n+
=
(1)
(1 x)nk (1 + x)k ,
2n
k
nk

n = 0, 1, 2, . . . .

(22)

k=0

(,)

This shows that Pn

(x) is a polynomial of degree n. Note that we have the symmetry

Pn(,) (x) = (1)n Pn(,) (x),

and
Pn(,) (1)

n = 0, 1, 2, . . .

n+
(,)
n n+
=
and Pn
(1) = (1)
,
n
n

(23)
n = 0, 1, 2, . . . .

In order to find a hypergeometric representation we write for x 6= 1

x+1 k
x1 nX n+ n+
(,)
Pn
(x) =
, n = 0, 1, 2, . . . .
n
nk
2
x1
k=0

Now we have for x 6= 1

k X
i
k
x+1 k
k
2
2
= 1+
=
,
i
x1
x1
x1

k = 0, 1, 2, . . . .

i=0

Now we obtain by changing the order of summations for x 6= 1 and n = 0, 1, 2, . . .

n n
i
x 1 nXX n + n +
k
2
Pn(,) (x) =
k
nk
i
2
x1
i=0 k=i
n ni

n+
i+k
2
x 1 nXX n +
.
=
2
i+k
nik
i
x1
i=0 k=0

14

Now we reverse the order in the first sum to find for x 6= 1 and n = 0, 1, 2, . . .

n n

ni
x 1 nXX
n+
n+
ni+k
2
(,)
Pn
(x) =
2
ni+k
ik
ni
x1
i=0 k=0

n X
n
X
n+
n+
ni+k
x1 i
=
ni+k
ik
ni
2
i=0 k=0

n X
n
X
i=0 k=0

(n + + 1)
(n i + k)! (i k + + 1)

x1 i
2

1x i
(i + + 1) i! (n i + + 1)
2

(n + + 1)
(n i + k)!

(i k)! (n i + k + + 1) (n i)! k!
n
(n)i
(n + + 1)(n + + 1) X
n!

i=0

n
X
(i)k (i 1)k
k=0

(n i + + 1)k k!

Since i {0, 1, 2, . . . , n} we have by using the Chu-Vandermonde summation formula

n
X
(i)k (i 1)k
i, i 1
(n + + + 1)i
= 2 F1
;1 =
.
(n i + + 1)k k!
ni++1
(n i + + 1)i
k=0

Hence we have by using (n i + + 1) (n i + + 1)i = (n + + 1)

n
(n + + 1) X (n)i (n + + + 1)i 1 x i
(,)
Pn
(x) =
n!
(i + + 1) i!
2
i=0

n
(n + + 1) X (n)i (n + + + 1)i 1 x i
=
, n = 0, 1, 2, . . . .
n! ( + 1)
( + 1)i i!
2
i=0

This proves the hypergeometric representation

n+
n, n + + + 1 1 x
Pn(,) (x) =
F
;
,
2 1
n
+1
2

n = 0, 1, 2, . . . .

Note that this result also holds for x = 1. In view of the symmetry (23) we also have

n, n + + + 1 1 + x
(,)
n n+
Pn
(x) = (1)
;
, n = 0, 1, 2, . . . .
2 F1
n
+1
2
Note that the hypergeometric representation implies that

d (,)
n + (n)(n + + + 1)
1
Pn
(x) =

dx
n
+1
2

n + 1, n + + + 2 1 x
2 F1
;
+2
2

n+++1 n+
n + 1, n + + + 2 1 x
=
F
;
2 1
2
n1
+2
2
n + + + 1 (+1,+1)
=
Pn1
(x), n = 1, 2, 3, . . . .
2
15

(24)

Another consequence of the hypergeometric representation is that the leading coefficient of

(,)
the polynomial Pn
(x) equals

n + (n)n (n + + + 1)n (1)n

(n + + + 1)n
kn =
=
, n = 0, 1, 2, . . . .
n
( + 1)n n!
2n
2n n!
Now it can be shown that the Jacobi polynomials satisfy the orthogonality relation
Z 1
2++1 (n + + 1) (n + + 1)
(,)
(1 x) (1 + x) Pm
(x)Pn(,) (x) dx =
mn
(2n + + + 1) (n + + + 1) n!
1
for > 1, > 1 and m, n {0, 1, 2, . . .}. This can be shown by using the definition (21)
and integration by parts. The value of the integral in the case m = n can be computed by
using the leading coefficient and then writing the integral in terms of a beta integral:
Z 1
n
o2
(1 x) (1 + x) Pn(,) (x) dx
1

=
=
=
=

Z
h
i
(1)n 1 (,)
n
n+
n+
P
(x)D
(1

x)
(1
+
x)
dx
n
2n n! 1
Z 1
1
Dn Pn(,) (x)(1 x)n+ (1 + x)n+ dx
2n n! 1
Z
(n + + + 1)n 1
(1 x)n+ (1 + x)n+ dx
22n n!
1
Z 1
(2n + + + 1)
(1 x)n+ (1 + x)n+ dx,
(n + + + 1) 22n n! 1

n = 0, 1, 2, . . .

and by using the substitution 1 x = 2t

Z 1
Z 1
n+
n+
(1 x)
(1 + x)
dx =
(2t)n+ (2 2t)n+ 2 dt
1

= 22n+++1

tn+ (1 t)n+ dt = 22n+++1 B(n + + 1, n + + 1)

= 22n+++1
= 22n+++1

(n + + 1)(n + + 1)
(2n + + + 2)
(n + + 1)(n + + 1)
,
(2n + + + 1) (2n + + + 1)

(,)

The Jacobi polynomials Pn

n = 0, 1, 2, . . . .

(x) satisfy the second order linear differential equation

(1 x2 )y 00 (x) + [ ( + + 2)x] y 0 (x) + n(n + + + 1)y(x) = 0,

n = 0, 1, 2, . . . .

A generating function for the Jacobi polynomials is given by

X
2+
=
Pn(,) (x)tn ,

R(1 + R t) (1 + R + t)
n=0

16

R=

1 2xt + t2 .

Legendre
The Legendre polynomials are orthogonal on the interval (1, 1) with respect to the weight
function w(x) = 1. They can be defined by means of their Rodrigues formula:
Pn (x) =

(1)n n

(1)n 1
n
2 n
D
w(x)
(1

x
)
= n
D (1 x2 )n ,
n
2 n! w(x)
2 n!

This is the special case = = 0 of the Jacobi polynomials:

n, n + 1 1 x
(0,0)
Pn (x) = Pn (x) = 2 F1
,
;
2
1

n = 0, 1, 2, . . . .

n = 0, 1, 2, . . . .

(25)

(26)

Further we have
Pn (x) = (1)n Pn (x),

Pn (1) = 1 and Pn (1) = (1)n ,

n = 0, 1, 2, . . . .

The leading coefficient of the polynomial Pn (x) equals

kn =

(n)n (n + 1)n (1)n

(2n)!
= n
,
n
(1)n n!
2
2 (n!)2

The orthogonality relation is

Z 1
Pm (x)Pn (x) dx =
1

2
mn ,
2n + 1

n = 0, 1, 2, . . . .

m, n {0, 1, 2, . . .}.

(27)

This can be shown by using the Rodrigues formula (25) and integration by parts
Z

(1)n
Pm (x)Pn (x) dx = n
2 n!
1

Pm (x)D

2 n

(1 x )

1
dx = n
2 n!

Dn Pm (x) (1 x2 )n dx,

which vanishes for m < n. For m = n we have

Z 1
Z 1
Z
(2n)! 1
n
2 n
2 n
D Pn (x) (1 x ) dx = kn n!
(1 x ) dx = n
(1 x2 )n dx.
2 n! 1
1
1
Finally we have by using the substitution 1 x = 2t for n = 0, 1, 2, . . .
Z 1
Z 1
Z 1
2 n
n
n
(1 x ) dx =
(1 x) (1 + x) dx =
(2t)n (2 2t)n 2 dx
1

= 22n+1 B(n + 1, n + 1) = 22n+1

Hence we have
Z 1
1

{Pn (x)}2 dx =

(n + 1) (n + 1)
22n+1 (n!)2
=
.
(2n + 2)
(2n + 1)!

(2n)! 22n+1 (n!)2

2
=
,
22n (n!)2 (2n + 1)!
2n + 1

This proves the orthogonality relation (27).

17

n = 0, 1, 2, . . . .

In order to find a generating function for the Legendre polynomials we use the hypergeometric
representation (26) to find

X
n
X
X
(n)k (n + 1)k 1 x k n
n
Pn (x)t =
t
(1)k k!
2
n=0
n=0 k=0

X
(n)k (n + 1)k 1 x k n
=
t
k! k!
2
k=0 n=k

X
(n k)k (n + k + 1)k 1 x k n+k
=
t
k! k!
2
k=0 n=0

X
(2k)! x 1 k k X (2k + 1)n n
t
t
=
k! k!
2
n!
n=0
k=0

X
(2k)! x 1
tk (1 t)2k1
=
k! k!
2
k=0

X
(1/2)k
2(x 1)t 1/2
k
2k1
1
=
[2(x 1)t] (1 t)
= (1 t)
1
k!
(1 t)2
k=0

(1 t)2 2(x 1)t

1/2

1
.
= (1 2xt + t2 )1/2 =
1 2xt + t2

This proves the generating function

X
1

=
Pn (x)tn .
1 2xt + t2 n=0

(28)

If we define F (x, t) = (1 2xt + t2 )1/2 , then we have

1
xt
F (x, t) = (1 2xt + t2 )3/2 (2x + 2t) =
.
t
2
(1 2xt + t2 )3/2
This implies that
(1 2xt + t2 )

F (x, t) = (x t)F (x, t).

t

Now we use (28) to obtain

2

(1 2xt + t )

nPn (x)t

n1

= (x t)

n=1

Pn (x)tn .

n=0

This can also be written as

X
X
X
X
X
nPn (x)tn1 2x
nPn (x)tn +
nPn (x)tn+1 = x
Pn (x)tn
Pn (x)tn+1
n=1

n=1

n=1

n=0

n=0

or equivalently

(n + 1)Pn+1 (x)tn x

n=0

(2n + 1)Pn (x)tn +

n=0

(n + 1)Pn (x)tn+1 = 0.

n=0

This leads to P1 (x) = xP0 (x) and the three term recurrence relation
(n + 1)Pn+1 (x) (2n + 1)xPn (x) + nPn1 (x) = 0,
18

n = 1, 2, 3, . . . .

(29)

Chebyshev
For x [1, 1] the Chebyshev polynomials Tn (x) of the first kind and the Chebyshev polynomials Un (x) of the second kind can be defined by
sin(n + 1)
,
sin

Tn (x) = cos(n) and Un (x) =

The orthogonality property is given by

Z 1
Z
2 1/2
(1 x )
Tm (x)Tn (x) dx =
1

x = cos ,

n = 0, 1, 2, . . . .

(30)

cos(m) cos(n) d = 0,

m 6= n

and
Z

2 1/2

(1 x )
1

Um (x)Un (x) dx =

sin(m + 1) sin(n + 1) d = 0,

m 6= n.

Both families of orthogonal polynomials satisfy the three term recurrence relation
Pn+1 (x) = 2xPn (x) Pn1 (x),

n = 1, 2, 3, . . . ,

since we have
Tn+1 (x) + Tn1 (x) = cos(n + 1) + cos(n 1) = 2 cos cos(n) = 2xTn (x)
and
Un+1 (x) + Un1 (x) =

2 cos sin(n + 1)
sin(n + 2) + sin(n)
=
= 2xUn (x).
sin
sin

Note that
T0 (x) = U0 (x) = 1,

T1 (x) = x and U1 (x) = 2x.

We also have
Tn (x) = Un (x) xUn1 (x),

n = 1, 2, 3, . . . ,

since
Un (x) xUn1 (x) =

sin(n + 1) cos sin(n)

sin cos(n)
=
= cos(n) = Tn (x).
sin
sin

In order to find a generating function for the Chebyshev polynomials Tn (x) of the first kind,
we multiply the recurrence relation by tn+1 and take the sum to obtain

Tn+1 (x)t

n+1

= 2x

n=1

Tn (x)t

n+1

n=1

If we define
F (x, t) =

Tn1 (x)tn+1 .

n=1

Tn (x)tn ,

|t| < 1,

n=0

then we have
F (x, t) T1 (x)t T0 (x) = 2xt [F (x, t) T0 (x)] t2 F (x, t).
19

This implies that

(1 2xt + t2 )F (x, t) = T0 (x) + T1 (x)t 2xtT0 (x) = 1 + xt 2xt = 1 xt.
Hence we have the generating function

Tn (x)tn = F (x, t) =

n=0

1 xt
,
1 2xt + t2

|t| < 1.

In the same way we have for the Chebyshev polynomials Un (x) of the second kind:
G(x, t) =

Un (x)tn ,

|t| < 1

n=0

where
(1 2xt + t2 )G(x, t) = U0 (x) + U1 (x)t 2xtU0 (x) = 1 + 2xt 2xt = 1.
Hence we have

1
,
1 2xt + t2

Un (x)tn = G(x, t) =

n=0

|t| < 1.

This can be used, for instance, to prove that

n
X

Tk (x)xnk = Un (x),

n = 0, 1, 2, . . . .

k=0

In fact, we have for |t| < 1

!
n

X
X
X
X
Tk (x)xn tn+k
Tk (x)xnk tn =
Tk (x)xnk tn =
n=0

k=0

k=0 n=0

k=0 n=k

k=0

n=0

Tk (x)tk

(xt)n =

1 xt
1

2
1 2xt + t 1 xt

X
1
=
Un (x)tn .
2
1 2xt + t
n=0

In a similar way we can prove that

n
X

Pk (x)Pnk (x) = Un (x),

n = 0, 1, 2, . . . ,

k=0

where Pn (x) denotes the Legendre polynomial. In fact, we have for |t| < 1
n
!
X

X
X
X
X
n
n
Pk (x)Pnk (x) t =
Pk (x)Pnk (x)t =
Pk (x)Pn (x)tn+k
n=0

k=0

k=0 n=0

k=0 n=k

X
k=0

Pk (x)tk

1
1
Pn (x)tn =

2
1 2xt + t
1 2xt + t2
n=0

X
1
=
Un (x)tn .
1 2xt + t2
n=0

20