The Weierstrass approximation theorem states that for any continuous function f on a closed bounded interval, there exists a sequence of polynomials on the same interval converging uniformly to f. I'll node the proof here. This is termed a "uniform approximation".


The theorem is incredibly useful for dealing with limits concerning continuous functions - as the approximation is uniform, it gives us much more information about limiting processes. Here's a simple application. Suppose that, for a given closed bounded interval from a to b and a given continuous function f from the interval to ℝ, we have that for every n:




We want to show that f=0. Now we can construct a sequence pn of polynomials converging uniformly to f. Since f is bounded, fpn converges uniformly to f2. Hence:


ab(f(x))2dx=lim∫abf(x)pndx=0, and thus f=0 as required. This is called the moments problem.

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