<s>[INST] A Nasty Elliptic Integral I am trying to evaluate:
$$\int_{-\infty}^{\infty}\frac{dx}{\left|1+\alpha x^{2}\right|},\textrm{ }\alpha\in\mathbb{C}\backslash(-\infty,0]$$
It's simple to see that it is convergent for such $\alpha$—but that's probably the only simple thing about it! I've been lost in trying to solve this one for several days, now. Performing a change of variables yields:
$$\int_{0}^{\infty}\frac{\sqrt{q}dx}{\sqrt{x}\sqrt{x^{2}+px+q}}$$
where $p=\frac{\cos\theta}{r}$ and $q=\frac{1}{r^{2}}$, where $\alpha=re^{i\theta}$.
Performing yet more changes of variables and integrating by parts yields (assuming I didn't screw up somewhere along the way):
$$\frac{2}{r}+\frac{2}{r}\int_{\frac{p}{2}}^{\infty}\frac{x\sqrt{x-\frac{p}{2}}}{\left(x^{2}-\Delta^{2}\right)^{3/2}}dx$$
where $\Delta=\frac{i}{2r}\sqrt{4-\cos^{2}\theta}$. This version, Mathematica is able to compute, giving the formula: 
$$\int_{a}^{\infty}\frac{x\sqrt{x-a}}{\left(x^{2}-b^{2}\right)^{3/2}}dx=\frac{\textrm{sgn}\left(\textrm{arg}\left(-b^{-2}\right)\right)}{\left(a^{2}-b^{2}\right)^{1/4}}K\left(\frac{1}{2}-\frac{a}{2\sqrt{a^{2}-b^{2}}}\right)$$ 
where $K$ is the complete elliptic integral of the first kind. However, this formula is only valid for $a,b\in\mathbb{C}$ satisfying $\textrm{Im}\left(a\right)=0$, $\textrm{Re}\left(a\right)>0$, $\textrm{Re}\left(b^{2}\right)<0$, and satisfying either: “$\textrm{Re}\left(a\right)>\textrm{Re}\left(b\right)$ and $a>\textrm{Re}\left(b\right)$” OR “$b\notin\mathbb{R}$”. 
All of these conditions are satisfied for my integral, except for the $\textrm{Re}\left(a\right)>0$ condition, which makes no sense. $a=\frac{p}{2}=\frac{\textrm{Re}\left(\alpha\right)}{\left|\alpha\right|^{2}}$, and the initial integral is valid even for $\alpha$ with $a\leq0$, as long as $\textrm{Im}\left(\alpha\right)\neq0$.
So: any ideas for how to evaluate:
$$\int_{-\infty}^{\infty}\frac{dx}{\left|1+\alpha x^{2}\right|}?$$
Thanks!
 [/INST] In this answer I use a variable substitution which I cannot find in the already published answers.
Say that $\alpha \neq 0$ and $\alpha = \varrho e^{i\theta}, \, -\pi <\theta< \pi$. Then $|1+\alpha x^2| = \sqrt{\varrho^2x^4 +2\varrho\cos \theta x^2+1}$ and
\begin{gather*}
I = \int_{-\infty}^{\infty}\dfrac{dx}{|1+\alpha x^2|} = 2\int_{0}^{\infty}\dfrac{dx}{\sqrt{\varrho^2x^4 +2\varrho\cos \theta x^2+1}} =\dfrac{2}{\sqrt{\varrho}} \int_{0}^{\infty}\dfrac{dx}{\sqrt{x^4 +2\cos \theta x^2+1}} = \\[2ex]
\dfrac{4}{\sqrt{\varrho}} \int_{0}^{1}\dfrac{dx}{\sqrt{x^4 +2\cos \theta x^2+1}} = \dfrac{4}{\sqrt{\varrho}} \int_{0}^{1}\dfrac{dx}{\sqrt{x^4+2x^2+1-4x^2\sin^2\frac{\theta}{2}}} = \\[2ex]
 \dfrac{4}{\sqrt{\varrho}} \int_{0}^{1}\dfrac{dx}{(x^2+1)\sqrt{1-\frac{4x^2}{(x^2+1)^2}\sin^2\frac{\theta}{2}}}.\tag{1}
\end{gather*}
For $0<x<1$ we put $y = \dfrac{2x}{x^2+1}, 0<y<1$.
Then
\begin{equation*}
y(x^2+1)=2x\tag{2}
\end{equation*}
and
\begin{equation*}
x= \dfrac{1-\sqrt{1-y^2}}{y}.\tag {3}
\end{equation*}
From (2) we get
\begin{equation*}
(x^2+1)dy + 2xydx=2dx \Leftrightarrow dx= \dfrac{x^2+1}{2(1-xy)}dy = \dfrac{x^2+1}{2\sqrt{1-y^2}}dy
\end{equation*}
where we have used (3) in the last step. Finally we use that in (1). Thus
\begin{equation*}
I =  \dfrac{2}{\sqrt{\varrho}} \int_{0}^{1}\dfrac{dy}{\sqrt{1-y^2}\sqrt{1-y^2\sin^2\frac{\theta}{2}}} = \dfrac{2}{\sqrt{|\alpha|}}K\left(\sin^2\frac{\theta}{2}\right).
\end{equation*}
</s>