How do we know if an antiderivative has a closed form?

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For all I know, there are integrals which are not possible to solve - an example I was told is$$\int{\frac{\sin (x)}{x}}\,dx.$$ How to identify whether it has a closed form antiderivative or not? Is there a method?

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The only general algorithm is the Risch algorithm. This is, in general, infeasible to apply by hand. Therefore the only way to identify whether an anti-derivative has a symbolic representation expressible in terms of elementary functions is to become familiar with a huge repertoire of tricks, identities, and techniques.

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If you know a bunch of integrals that don't have symbolic representation in terms of elementrary functions, then for a given integral you can inspect and try to see if there is a symbolic substitution that transforms a related-looking "impossible" integral into yours. If so, then you know you can't find a symbolic representation in terms of elementary functions for your integral either. Otherwise I agree, it takes computations that are too complicated by hand in general to decide.