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Distance functions allow us to talk concretely about limits and convergence of sequences.

Definition 1

Let ( M , d ( x , y ) ) be a metric space and { x i } i = 1 be a sequence of elements in M . We say that { x i } i = 1 converges to x * if and only if for every ε > 0 there is an N such that d ( x i , x * ) < ε for all i > N . In this case we say that x * is the limit of { x i } i = 1 .

A sequence of points {x_i} that approach a limit x^*.  For any circle  (of radius epsilon), eventually all points in the sequence {x_i} will lie within the circle.
A sequence of points { x i } converging to x * .

Definition 2

A sequence { x i } i = 1 is said to be a Cauchy sequence if for any ε > 0 there is an N such that d ( x i , x j ) < ε for every i , j > N .

It can be shown that any convergent sequence is a Cauchy sequence. However, it is possible for a Cauchy sequence to not be convergent!

Suppose that M = ( 0 , 2 ) , i.e., the open interval from 0 to 2 on the real line, and let d ( x , y ) = | x - y | . Consider the sequence defined by x i = 1 i . { x i } is Cauchy since for any ε we can set N such that 1 N < ε 2 , so that | x i - x j | | x i | + | x j | < ε 2 + ε 2 = ε . However, x i 0 , but 0 M , i.e., the sequence converges to something that lives outside of our space.

Suppose that M = C [ - 1 , 1 ] (the set of continuous functions defined on [ - 1 , 1 ] ) and let d 2 denote the L 2 metric. Consider the sequence of functions defined by

f i ( t ) = 0 if t - 1 i i t 2 + 1 2 if - 1 i < t < 1 i 1 if t 1 i .
A depiction of an example function from the sequence.  Starting at negative infinity, the function is all zero until time -1/i.  It then linearly increases, reaching the value of 1 at time 1/i, and then remains 1 to positive infinity.

For j > i we have that

d 2 ( f i , f j ) = ( j - i ) 2 6 j 3 i .

This goes to 0 for j , i sufficiently large. Thus, the sequence { f i } i = 1 is Cauchy, but it converges to a discontinuous function, and thus it is not convergent in M .

Definition 3

A metric space ( M , d ( x , y ) ) is complete if every Cauchy sequence in M is convergent in M .

  • M = [ 0 , 1 ] , d ( x , y ) = | x - y | is complete.
  • ( C [ - 1 , 1 ] , d 2 ) is not complete, but one can check that ( C [ - 1 , 1 ] , d ) is complete. (This space works because using d , the above example is no longer Cauchy.)
  • Q is not complete, but R is.

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Source:  OpenStax, Digital signal processing. OpenStax CNX. Dec 16, 2011 Download for free at http://cnx.org/content/col11172/1.4
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