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Theorem 1 (Chain Rule). Let U Rn and let V Rm be two open subsets.

Let f : U V and g : V Rp be two functions. If f is differentiable at p and

g is differentiable at q = f (p), then g f : U Rp is differentiable at p, with

derivative:

D(g f )(p) = (D(g)(q))(D(f )(p)).

It is interesting to untwist this result in specific cases. Suppose we are given

f : R R2

and

g : R2 R.

df1

g

g

dx (p)

Df (p) = df

and

Dg(q) = ( (q),

(q)).

2

y

z

dx (p)

So

d(g f )

g

df1

g

df2

= D(g f )(p) = Dg(q)Df (p) =

(q)

(p) +

(q)

(p).

dx

y

dx

z

dx

Example 2. Suppose that f (x) = (x2 , x3 ) and g(y, z) = yz. If we apply the chain

rule, we get

D(g f )(x) = z(2x) + y(3x2 ) = 5x4 .

On the other hand (g f )(x) = x5 , and of course

dx5

= 5x4 .

dx

In general, if f = f (x1 , . . . , xn ) and g = g(y1 , . . . , yn ) then the (i, k) entry of

D(g f )(p), that is

(g f )i

xk

is given by the dot product of the ith row of Dg(q) and the kth column of Df (p),

m

X gi

(g f )i

fj

=

(q)

(p).

xk

y

x

j

k

j=1

If y = f (x) and z = g(y) then we get

m

X zi yj

zi

=

.

xk

yj xk

j=1

We can use the chain rule to prove some of the simple rules for derivatives.

Suppose that we have

f : Rn Rm

and

g : Rn Rm .

a function

a : R2m Rm ,

which sends (~u, ~v ) Rm Rm to the sum ~u+~v . In coordinates (u1 , u2 , . . . , um , v1 , v2 , . . . , vm ),

a(u1 , u2 , . . . , um , v1 , v2 , . . . , vm ) = (u1 + v1 , u2 + v2 , . . . , um + vm ).

1

h : Rn R2m ,

which sends q to (f (q), g(q)). The composition a h : Rn Rm is the function

we want to differentiate, it sends p to f (p) + g(p). The chain rule says that that

the function is differentiable at p and

D(f + g)(p) = Df (p) + Dg(p).

Now suppose that m = 1. Instead of a, consider the function

m : R2 R,

given by m(x, y) = xy. Then m is differentiable, with derivative

Dm(x, y) = (y, x).

So the chain rule says the composition of h and m, namely the function which sends

p to the product f (p)g(p) is differentiable and the derivative satisfies the usual rule

D(f g)(p) = g(p)D(f )(p) + f (p)D(g)(p).

Here is another example of the chain rule, suppose

x = r cos

y = r sin .

Then

f

f x f y

=

+

r

x r

y r

f

f

cos +

sin .

=

x

y

Similarly,

f

f x f y

=

+

x

y

f

f

= r sin +

r cos .

x

y

We can rewrite this as

=

cos

r sin

sin

r cos

x

cos

r sin

sin

r cos

is

r(cos2 + sin2 ) = r.

So if r 6= 0, then we can invert the matrix above and we get

1 r cos sin

x

r

=

r r sin cos

y

If f is differentiable at p, then there is a > 0 such that if kq pk < , then

kf (q) f (p)k < (K + 1)kq pk,

where K is the Frobenius norm of Df (p).

Proof. As f is differentiable at p, there is a constant > 0 such that if kq pk < ,

then

kf (q) f (p) Df (p)(q p)k

< 1.

kq pk

Hence

kf (q) f (p) Df (p)(q p)k < kq pk.

But then

kf (q) f (p)k = kf (q) f (p) Df (p)(q p) + Df (p)(q p)k

kf (q) f (p) Df (p)(q p)k + kDf (p)(q p)k

k(q p)k + Kk(q p)k

= (K + 1)k(q p)k,

Proof of (1). Lets fix some notation. We want the derivative at p. Let q = f (p).

Let p0 be a point in U (which we imagine is close to p). Finally, let q 0 = f (p0 ) (so

if p0 is close to p, then we expect q 0 to be close to q).

The trick is to carefully define an auxiliary function G : V Rp ,

( 0

g(q )g(q)Dg(q)(q 0 q)

if q 0 6= q

0

kq 0 qk

G(q ) =

~0

if q 0 = q.

Then G is continuous at q = f (p), as g is differentiable at q. Now,

(g f )(p0 ) (g f )(p) Dg(q)Df (p)(p0 p)

kp0 pk

0

Dg(q)(f (p ) f (p)) Dg(q)(q 0 q) + g(q 0 ) g(q) Dg(q)Df (p)(p0 p)

=

kp0 pk

f (p0 ) f (p) Df (p)(p0 p) g(q 0 ) g(q) Dg(q)(q 0 q)

= Dg(q)

+

kp0 pk

kp0 pk

f (p0 ) f (p) Df (p)(p0 p)

kf (p0 ) f (p)k

= Dg(q)

+ G(f (p0 ))

.

0

kp pk

kp0 pk

As p0 approaches p, note that

f (p0 ) f (p) Df (p)(p0 p)

,

kp0 pk

and G(p0 ) both approach zero and

kf (p0 ) f (p)k

K + 1.

kp0 pk

So then

,

kp0 pk

approaches zero as well, which is what we want.

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