Step 1: {Rewrite the given integral}
The problem is to find the anti-derivative of \( \sqrt{1 + \sin 2x} \). Using the trigonometric identity:
\[
\sin 2x = 2\sin x \cos x,
\]
we rewrite \( \sqrt{1 + \sin 2x} \) as:
\[
\sqrt{1 + 2\sin x \cos x}.
\]
Step 2: {Simplify using the double-angle formula}
The expression \( 1 + 2\sin x \cos x \) can be written as:
\[
1 + \sin 2x = (\sin x + \cos x)^2.
\]
Thus:
\[
\sqrt{1 + \sin 2x} = |\sin x + \cos x|.
\]
Step 3: {Evaluate the integral}
For \( x \in \left[ 0, \frac{\pi}{4} \right] \), both \( \sin x \) and \( \cos x \) are positive, so:
\[
\sqrt{1 + \sin 2x} = \sin x + \cos x.
\]
The anti-derivative is:
\[
\int (\sin x + \cos x) \, dx = -\cos x + \sin x + C.
\]
Conclusion: The anti-derivative of \( \sqrt{1 + \sin 2x} \) is \( -\cos x + \sin x \).