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preview about Limits and Continuity, Derivatives, The Chain Rule, More Chain Rule Stuff

preview about Limits and Continuity, Derivatives, The Chain Rule, More Chain Rule Stuff

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ball of radius r centered at x 0 . The closed ball of radius r centered at x 0 is the set

interior point of D if there is an open ball B (a; r) ⊂ D . The collection of all interior

points of D is called the interior of D, and is usually denoted int D. A set U is said to be

open if U = int U.

open ball centered at a meets the domain D. If y ∈ R p is such that for every ε > 0, there

is a δ > 0 so that| f ( x ) − y| < ε whenever 0 < | x − a | < δ , then we say that y is the limit of

f at a. This is written

lim f ( x) = y ,

x →a

Notice that this agrees with our previous definitions in case n = 1 and p =1,2, or 3.

The usual properties of limits are relatively easy to establish:

x →a x →a x →a

lim af ( x ) = a lim f ( x ) .

x →a x →a

where D ⊂ R n . Again this definition will not contradict our previous lower dimensional

7.1

definitions. Specifically, we say that f is continuous at a ∈ D if lim f ( x) = f ( a) . If f is

x →a

Example

ε

and a ∈ R n . Let ε > 0. Now let M = max{| f (e 1 )|,| f ( e2 )|,K,| f (e n )|} and let δ = .

nM

=|( x 1 − a1 ) f ( e1 ) + ( x2 − a2 ) f (e 2 ) +K+ ( x n − an ) f (e n )|

≤ | x1 − a1 || f (e1 )|+ | x 2 − a2 || f ( e 2 )|+K+ | xn − an || f (e n )|

≤ (| x1 − a1 |+ | x2 − a 2 |+ K+ | x n − an |) M

≤ n| x − a | M

<ε

x →a

Another Example

x1 x 2

, for x12 + x 22 ≠ 0

Let f : R → R be defined by

2

f ( x ) = f ( x1 , x2 ) = x12 + x22 .

0, otherwise

, ) . Then for all α ≠ 0, we have

x →( 0 ,0 )

α2 1

f ( x) = f (α ,α ) = 2 = .

α +α 2

2

7.2

Now. let x = α (10

, ) = (α ,0) . It follows that all α ≠ 0, f ( x) = 0 . What does this tell

us? It tells us that for any δ > 0 , there are vectors x with 0 < | x − ( 00

, )| < δ such that

1

f ( x) = and such that f ( x) = 0 . This, of course, means that lim f ( x) does not

2 x →( 0 ,0 )

exist.

7.2 Derivatives

1

lim [ f ( x0 + h) − f ( x 0 ) − L( h)] = 0 .

h→0 | h|

The linear function L is called the derivative of f at x 0 . It is usual to identify the linear

function L with its matrix representation and think of the derivative at a p × n matrix.

Note that in case n = p = 1, the matrix L is simply the 1 × 1 matrix whose sole entry is the

every day grammar school derivative of f .

Now, how do find the derivative of f ? Suppose f has a derivative at x 0 . First, let

h = te j = ( 00

, ,K ,0, t ,0,K,0) . Then

f 1 ( x1 , x 2 ,K, x j + t ,K , xn )

f ( x , x ,K , x + t ,K, x )

f ( x + h) = f ( x1 , x 2 ,K , x j + t ,K, x n ) =

2 1 2 j n

,

M

f p ( x1 , x 2 ,K, x j + t ,K , xn )

and

7.3

0

m11 m12 L m1n 0 m1 j t

m m22 L m2 n M m t

Lh = 21

= 2j ,

M t M

mp 1 m p 2 L m pn M mpj t

0

where x 0 = ( x 1 , x 2 ,K , x n ) , etc.

Now then,

1

[ f (x 0 + h) − f (x0 ) − L(h)]

| h|

f1(x1, x 2 ,K, xj + t,K,x n ) − f1(x1,x 2,K, x n ) − m1 j t

1 f2 (x1 , x2,K, x j + t,K, xn ) − f2 (x1 , x 2,K, xn ) − m2 j t

=

t M

f (x , x ,K, x + t,K,x ) − f (x , x ,K, x ) − m t

p 1 2 j n p 1 2 n pj

− m1 j

t

f (x

2 1 2 , x ,K, x + t,K, x ) − f (x ,x ,K,, x )

− m2 j

j n 2 1 2 n

=

t

M

f p (x1 ,x2 ,K, x j + t,K, xn ) − f p (x1 ,x2 ,K,, xn )

− m

t pj

fi (x1 , x2 ,K,x j + t,K, xn ) − fi (x1,x 2,K,, xn )

lim

t→0 t

d

= f (x , x ,K, s,K, xn )

ds i 1 2 s = xj

This derivative has a name. It is called the partial derivative of f i with respect to the j th

variable. There are many different notations for the partial derivatives of a function

g ( x1 , x 2 ,K , xn ) . The two most common are:

7.4

g , j ( x 1 , x 2 ,K , x n )

∂

g ( x1 , x 2 ,K , xn )

∂x j

1

The requirement that lim [ f ( x0 + h) − f ( x 0 ) − L( h)] = 0 now translates into

h→0 | h|

∂f i

mij = ,

∂x j

Example

3x sin x 2

Let f : R 2 → R 2 be given by f ( x1 . x2 ) = 3 1 2

. Assume f is differentiable

x1 + x 1 x 2

and let’s find the derivative (more precisely, the matrix of the derivative. This matrix will,

m m12

of course, be 2 × 2 : L = 11 . Now

m21 m22

f 2 ( x1 , x2 ) = x 13 + x1 x22

∂f 1

= 3 sin x 2

∂x 1

,

∂f 2

= 3x 1 + x 2

2 2

∂x 1

7.5

and

∂f 1

= 3x 1 cos x 2

∂x 2

.

∂f 2

= 2 x1 x 2

∂x 2

3 sin x 3x 1 cos x 2

L = 2 22 .

3x1 + x 2 2 x 1 x 2

We now know how to find the derivative of f at x if we know the derivative exists;

but how do we know when there is a derivative? The function f is differentiable at x if the

partial derivatives exist and are continuous. It should be noted that it is not sufficient

just for the partial derivatives to exist.

Exercises

a) f ( x, y) = x 2 y 3 b) f ( x, y, z) = x 2 yz + z cos( xy)

x 3 sin( e x1 )

c) g ( x1 , x 2 , x 3 ) = x1 x 2 x 3 + x 2 d) h( x1 , x 2 , x 3 , x 4 ) =

x2 + x 4

1 3 2

2. Find the derivative of the linear function whose matrix is .

−2 7 0

7.6

4. Find the derivative of R (t ) = cos ti + sin tj + t k .

x1 x3 + e x 2

x3 log(x1 + x 22 )

f (x1 , x2, x3 ) = .

x2

x1 x 3 + 5

2

Recall from elementary one dimensional calculus that if a function is differentiable

at a point, it is also continuous there. The same is true here in the more general setting of

x →a h→0

f (a + h) − f (a ) − L (h)

f ( a + h) − f (a ) = | h| − L (h)

| h|

f ( a + h) − f (a ) − L (h)

lim =0

h→0

| h|

7.7

because f is differentiable at a, and lim L( h) = L (0) = 0 because the linear function L is

h→0

h→0 h→0

continuous at a.

Next, let’s see what the celebrated chain rule looks like in higher dimensions. Let

= g ( f (a ) + k ) − g ( f (a )) − M ( k ) + M ( k) − ML( h) .

= g ( f (a ) + k ) − g ( f (a )) − M ( k ) + M ( k − L( h))

Thus,

r(a + h) − r(a ) − ML (h) g( f ( a) + k ) − g( f ( a)) − M( k ) k − L (h )

= + M( )

| h| | h| | h|

Now we are ready to see what happens as | h| → 0 . look at the second term first:

k − L (h ) f ( a + h) − f (a ) − L (h) f (a + h) − f (a ) − L ( h)

lim M( ) = lim M = M (lim )

h→0 | h| h→0 | h| h→0 | h|

= M (0) = 0

Now we need to see what happens to the term

g ( f (a) + k ) − g( f ( a)) − M ( k )

lim .

h→0 | h|

7.8

This is a bit tricky. Note first that because f is differentiable at a , we know that

| k| | f ( a + h) − f (a)|

=

| h| | h|

g ( f (a ) + k ) − g ( f (a )) − M ( k ) | k |

lim ⋅

h→0 | h| | k |

g ( f (a ) + k ) − g ( f (a )) − M ( k ) | k|

= lim =0

h→0 | k| | h|

| k|

since the derivative of g at f ( a) is M, and is well-behaved. Finally at last, we have

| h|

shown that

r (a + h) − r (a) − ML( h)

lim = 0,

h→0 | h|

matrix product, of the derivatives. What could be more pleasing from an esthetic point of

view!

Example

shall find the derivative of r at t = 2 using the Chain Rule. The derivative of f is

7.9

2t

L = 2,

3t

[

M = 6( 2 x1 − x2 ) 2 −3(2 x1 − x 2 ) 2 .]

4

At t = 2 , L = ; and at g ( f (2 )) = g (4 ,9 ) , M = [6 −3]. Thus the derivative of the

12

4

composition is ML = [6 − 3] = [ − 12] = − 12 .

12

Now for fun, let’s find an explicit recipe for r and differentiate:

and so r'( 2) = 3(1)(8 − 12 ) = − 12. It is, of course, very comforting to get the same answer

as before.

There are several different notations for the matrix of the derivative of

Exercises

b)Find the derivative of your answer to part a).

9. Let f ( x, y) = (e ( x + y ) , e ( x− y ) ) and g ( x , y ) = ( x − y 3 , x 2 + y ) .

7.10

a)Find the derivative of f o g at the point (1,-2).

∂r ∂r

10. Suppose r = t 2 cos t and t = x 2 − 3y 2 . Find the partial derivatives and .

∂x ∂y

In the everyday cruel world, we seldom compute the derivative of the

composition of two functions by explicitly multiplying the two derivative matrices.

∂ r1 ∂ r1 ∂ r1

∂ x L

∂ x2 ∂ xn

1

∂ r2 ∂ r2

L

∂ r2

r'( x) = r '( x1 , x 2 ,K , x n ) = ∂ x1 ∂ x2 ∂ xn .

M

∂ r

p ∂ rp ∂ rp

L

∂ x1 ∂ x2 ∂ x n

We can thus find the derivative using the Chain Rule only in the very special case in

7.11

∂ f1 ∂ f1 ∂ f1

∂ x L

∂ x2 ∂ xn

1

∂f ∂ f2 ∂ f2

∂r ∂r ∂r ∂ g ∂g ∂ g 2 L

r'( x) = L = L ∂ x ∂ x2 ∂ xn

∂ x1 ∂ x2 ∂ xn ∂ y1 ∂ y2 ∂ y p M 1

∂ f

p ∂ fp ∂ f p

L

∂ x1 ∂ x2 ∂ x n

∂r ∂ g ∂ f1 ∂ g ∂ f 2 ∂ g ∂ fp

= + + L+ .

∂ x j ∂ y1 ∂ x j ∂ y 2 ∂ x j ∂ yp ∂ xj

Frequently, engineers and other malefactors do not use a different name for the

composition g o f , and simply use the name g to denote both the composition

folks also frequently just use y j to denote the function f j . The Chain Rule given above

∂g ∂ g ∂ y1 ∂ g ∂ y 2 ∂ g ∂ yp

= + +L+ .

∂ x j ∂ y1 ∂ x j ∂ y 2 ∂ x j ∂ yp ∂ xj

Example

∂g ∂g

find the partial derivatives and . We know that

∂r ∂t

7.12

∂ g ∂ g ∂ x ∂ g ∂ y ∂ g ∂z

= + +

∂ s ∂x ∂ s ∂y ∂ s ∂z ∂ s

= 2xy(1) +(x 2 + ez )t3 + ye z (2s)

= 2xy +(x 2 + e z )t 3 + 2syez

Similarly,

∂ g ∂g ∂ x ∂ g ∂y ∂ g ∂ z

= + +

∂ t ∂x ∂ t ∂y ∂ t ∂z ∂ t

= 2xy(1) + (x 2 + ez )3st 2 + yez (6t)

= 2xy + 3(x 2 + ez )st 2 + 6tyez

These notational shortcuts are fine and everyone uses them; you should, however,

be aware that it is a practice sometimes fraught with peril. Suppose, for instance, you

∂g

clear what is meant by the symbol . Meditate on this.

∂z

Exercises

∂g ∂g

11. Suppose g ( x , y ) = f ( x − y , y − s) . Find + .

∂x ∂y

12. Suppose the temperature T at the point ( x , y , z) in space is given by the function

7.13

13. Suppose the temperature T at the point ( x , y , z) in space is given by the function

14. Let r( x , y ) = f ( x ) g ( y ) , and suppose x = t and y = t . Use the Chain Rule to find

dr

.

dt

7.14

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