Math2014 Multivariable Calculus and Linear Algebra: ZHANG Haiyu Doris

Math2014 Multivariable calculus and linear algebra
ZHANG Haiyu Doris
The University of Hong Kong

hyzhang@maths.hku.hk
January 12, 2016
ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 1 / 51

Table of Contents
Part I: Multivariable calculus
Chapter 1 Partial Differentiation
Chapter 2 Multiple Integrals
Part II: Linear algebra
Chapter 3 Linear algebra

Reference books
Reference books for Part I (actually, any calculus book is ok)

Thomas’ Calculus (any Edition)
Basic Multivariable Calculus (Authors: Marsden Jerrold E., Weinstein
Alan)
Reference books for Part II (any Linear Algebra book is ok)
Linear Algebra with Applications (any Edition) (Author: Steven J.
Leon)
Elementary Linear Algebra (Author: H. Anton)

Chapter One: Partial Differentiation
1.1 Functions of several variables

1.2 Partial derivatives
1.3 Chain rule of differentiation
1.4 Total differential
1.5 Taylor’s formula
1.6 Relative extrime values
1.7 Lagrange multiplier method
1.8 Numerical methods

2D-rectangular coordinates: for exmaple, w = f (x, y) = x2 + y 2 .

2D-polar coordinates: (r, θ), where r ≥ 0 and 0 ≤ θ < 2π.
Polar coordinates and rectangular coordinates are related by the
equations x = r cos θ and y = r sin θ.
3D-spherical coordinates: (ρ, φ, θ), where ρ ≥ 0, 0 ≤ φ ≤ π,
0 ≤ θ < 2π.
Spherical coordinates and rectangular coordinates are related by the
equations x = ρ sin φ cos θ, y = ρ sin φ sin θ, z = ρ cos φ.
3D-cylindrical coordinates: (r, θ, z), where r ≥ 0 and 0 ≤ θ < 2π,
z ∈ R.
Cylindrical coordinates and rectangular coordinates are related by the
equations x = r cos θ, y = r sin θ, z = z.

Spherical and Cylindrical coordinate systems
Our goal is to find the volume of S.

1.1 Functions of several variables: Continuity
A real valued function w = f (x, y) defined on a region D of the xy−plane

is said to be continuous at a point (x0 , y0 ) ∈ D if
lim f (x, y) = f (x0 , y0 ).

(x,y)→(x0 ,y0 )
If F is continuous at every point in D, it is said to be continous on D.

Example 1
Prove

 √ xy , (x, y) 6= (0, 0)
f (x) = x2 +y 2
0, (x, y) = (0, 0)
is continuous everywhere.

Example 2
Is the function
(
xy
x2 +y 2
, (x, y) 6= (0, 0)
f (x) =
0, (x, y) = (0, 0)
continuous at point (0, 0)?
Remark: In order of the limit in
lim f (x, y) = f (x0 , y0 )

(x,y)→(0,0)
to exist, f (x, y) must approach f (x0 , y0 ) for each and every mode of
approach of (x, y) to (x0 , y0 ).

Tutorial Exercise 1.1
2x−3y
1*. Let f (x, y) = x+y , where x + y 6= 0. Show that
lim f (x, y)
(x,y)→(0,0)
does not exist.

Hint: Consider (x, y) approaches (0, 0) along x−axis and y−axis.
*Questions with star will not be in the test and examination.

Revision:Derivatives
Definition
For a function w = f (x) and a point x in D, if
f (x + ∆x) − f (x) ∆w
f 0 (x) = lim = lim
∆x→0 ∆x ∆x→0 ∆x
exist, we say f (x) is differentiable at point x. We also use the notations
dw
f 0 (x) and to denote derivatives of w = f (x) at x.
dx

Definition
For a function w = f (x, y) and a point (x0 , y0 ) in D, we define the partial
derivatives of f (x, y) at (x0 , y0 ) with respect to x by
f (x0 + ∆x, y0 ) − f (x0 , y0 ) ∆w

fx (x0 , y0 ) = lim = lim
∆x→0 ∆x ∆x→0 ∆x

∂w
We also use the notations to denote partial derivatives of
∂x (x0 ,y0 )
w = f (x, y) at (x0 , y0 ) with respect to x in D. If everypoint in D is
partial differentiable with respect to x, then we have the partial derivative
∂w ∂f
function fx (x, y) (or , , fx ).
∂x ∂x

∂w
Similarly, we can define and fy (x, y).
∂y (x0 ,y0 )

In other words, a partial derivative of a function of several variables is its

derivative with respect to one of those variables, with the others held
constant.
Example 3
Let f (x, y) = x4 + 2x2 y + y 4 . Find fx (x, y), fy (x, y), fx (0, 1), fy (0, 1)
Example 4
Evaluate the partial derivatives of the function u = ln(x + y 2 + z 3 ).
Example 5
Let z = xy (x > 0, x 6= 1). Prove
x ∂z 1 ∂z
+ = 2z.
y ∂x ln x ∂y

In-class exercise
Evaluate the partial derivatives of the follwing:
1. w = x ln(x2 − 2y 3 )
p
2. w = x2 − 3y + z 3

Second order partial derivatives

If fx exists at every point of a region D, then fx is a well-defined function
on D, and we can consider partial derivatives of fx with respect to x and
y. Such partial derivatives, if exist, are called second order partial
derivatives of f , can be denoted as fxx and fxy = (fx )y .
Similarly, we can define fyx = (fy )x and fyy = (fy )y . The partial
derivatives fxy and fyx are usually called mixed seconder order partial
dericatives.
Notation
∂2f ∂2f

∂ ∂f
fxx = , fxy = (fx )y = =
∂x2 ∂y ∂x ∂y∂x
∂2f ∂ ∂f ∂2f
fyy = , fyx = (fy )x = =
∂y 2 ∂x ∂y ∂x∂y

Question
∂2f ? ∂2f
=
∂y∂x ∂x∂y
Definition: C k − function
A function f is said to be a C k function if all the k−th order partial
derivatives of f exist and are continuous in D.
Theorom
∂2f ∂2f
If f is a C 2 function, then = .
∂y∂x ∂x∂y

Example 6
x+y
Calculate all the second order partial derivatives of z = arctan .
1 − xy
Recall
1
(sin x)0 = cos x (arcsin x)0 = √
1 − x2
1
(cos x)0 = − sin x 0
(arccos x) = − √
1 − x2
1
(tan x)0 = 1 + tan2 x 0
(arctan x) =
1 + x2
Example 7
2y ∂2w ∂2w
Let w = . Prove = .
cos x + y ∂y∂x ∂x∂y
Compute all first order partial derivatives of the following:

1. w = x sin(2y − 3z 2 )
Evaluate the 1st and 2nd order partial derivatives of the following:
2. w = ex cos y + x2 + xy − y 2
3. w = ln(x2 + y 2 − z 2 )
4. w = e2x+y sin(x − y)
∂2w ∂2w
For each of the following, verify that = .
∂y∂x ∂x∂y
5. w = x2 p
y − 2y cos xy + y sin x
6. w = ln x2 + y 2
7. w = xy (x > 0)
8. w = x sin2 y + exy
2
9. w = y22xy−x
+sin x+1

If w = f (x1 , ..., xn ) and xj = gj (t1 , ...tk ), for j = 1, ..., n, then w becomes

a composite function of t1 , ...tk by taking composition of functions f and
gj , where j = 1, 2, ..., n. In other words,
w = f (g1 (t1 , ..., tk ), ..., gn (t1 , ..., tk )).
Partial derivatives of w with respect to ti , where i = 1, ..., k are given by

n
∂w X ∂w ∂xj
= × .
∂ti ∂xj ∂ti
j=1

Example 8
x2 ∂z ∂z
If z = y and x = u − 2v, y = 2u + v. Calculate ∂u , ∂v .
Example 9
∂z ∂z
If z = (2x + y)x+2y , calculate ∂x , ∂y .

In-class exercise
∂w ∂w
1. If w = xy + cos(x − 2y), x = s2 t and y = set , compute ∂s and ∂t .
2. Let f (u, v, w) = u2 + vw and u = x + y, v = x2 , w = xy. Compute

fx , fy , fxx , fxy .
3. If f is a differentiable finction of one variable, verify that the function

w = f (2x − 3y) satisfies the equation 3wx + 2wy = 0.


x z
1. Suppose that w = g y, y , where g is a differentiable function. Show
that
∂w ∂w ∂w
x +y +z = 0.
∂x ∂y ∂z
2. Let w = f (u) and u = x2 + y 2 . Show that y ∂w ∂w

∂x = x ∂y .
3. Use the substitution u = x + ct and v = x − ct to reduce the wave

2 2 ∂2w
equation c2 ∂∂xw2 = ∂∂tw2 to the form ∂u∂v = 0.

If w = f (x, y) is a C 1 −function defined near (x0 , y0 ). We caonsider a

neighbouring point (x0 + ∆x, y0 + ∆y). Let
∆w = f (x0 + ∆x, y0 + ∆y) − f (x0 , y0 ).
Example 10
If w = x3 − y 3 + 3xy, calculate ∆w.

If w = f (x, y) is a C 1 −function defined near (x0 , y0 ), then

p
∆w = fx (x0 , y0 )∆x + fy (x0 , y0 )∆y + o( ∆x2 + ∆y 2 ).
When ∆x → 0 and ∆y → 0, we can denote ∆x and ∆y by dx, dy. The

expression
∆w ≈ dw = fx (x0 , y0 )dx + fy (x0 , y0 )dy
is known as the total differential of the function f (x, y) at the point
(x0 , y0 ), it is the linear approximation for ∆w when (x, y) changes from
(x0 , y0 ) to (x0 + ∆x, y0 + ∆y).

Example 11
Calculate the total differential of the function z = exy at the point (2, 1).
Example 12
Calculate the total differential of the function u = x − cos y2 + arctan yz .

Example 13
√
Use the linear aproximation formula to approximate 3.92 + 3.22 .
Example 14
The volume V = πr2 h of a right circular cylinder is to be calculated from
measured values of base radius r and height h. Assume that r is measured
with a relative error of no more than 1.5% and h with a relative error of
no more than 0.5%. Estimate the resulting possible percentage error in the
calculation of V , using the linear approximatin formula.

In-class exercise
p
1. Use total diffenretial to approximate 9(1.95)2 + (8.1)2
2. The mass of a fluid passing through a pipe of radius R and lengh L per
R4
unit time satidfies the equation Q = πP5V L , where V is the viscosity of the
liquid and P is the pressure difference between the two ends of the pipe. It
is known that P , R, V and L are measured with relative error not
exeeding 0.5%, 0.25%, 0.15% and 0.3% respectively. Using total
differnetial ,find the maximum relative error in the calculated value of Q.

Tutorial exercise
1
Use total diffenretial to approximate √
3
(1.9)2 +(2.04)2
Approcimate ∆w by dw at the point (1, −1, 0) for the function
w = x2 ye3z . Hence find the approximation value of w at x = 1.01,
y = −1.03 and z = 0.02.

Revision: one variable case

Let g(t) be a C 3 −function defined on an open interval I containing t0 .
Then for every t ∈ I, we have
g 00 (t0 ) 1 t
Z
0
g(t) = g(t0 ) + g (t0 )(t − t0 ) + 2
(t − t0 ) + (t − τ )2 · g 000 (τ )dτ.
2! 2! t0
This formula is known as the second order Taylor’s formula for functions of
one variable. It is one of the most useful fornulas in mathematics, and may
be established by the fundamental theorem of calculus and intergration by
parts.

Example 15
Use Taylor’s formula to expand f (x) = ex near the point x = 0.

Two variable case

Suppose now that w = f (x, y) is a C 3 −function defined in a domain D of
the xy − plane, and let (x0 , y0 ) be a point in D. For any ∆x and ∆y, we
define
1
∆w = [fx (x0 , y0 ))∆x + fy (x0 , y0 )∆y] + [fxx (x0 , y0 )∆x2 +
2!
1 1
Z
2fxy (x0 , y0 )∆x∆y + fyy (x0 , y0 )∆y 2 ] + (1 − t)2 g 000 (t)dt.
2! 0
This is the second order Taylor’s formula for functions of two variables.

Another form of the second order Taylor’s formula

Suppose now that w = f (x, y) is a C 3 −function defined in a domain D of
the xy − plane, and let (x0 , y0 ) be a point in D. For any ∆x and ∆y, we
define
f (x, y) = f (x0 , y0 ) + [(x − x0 )fx (x0 , y0 ) + (y − y0 )fy (x0 , y0 ))]
1
+ [(x − x0 )2 fxx (x0 , y0 ) + 2(x − x0 )(y − y0 )fxy (x0 , y0 )
2!
+(y − y0 )2 fyy (x0 , y0 )] + Remainder
This is the second order Taylor’s formula for functions of two variables

Example 16
1
Use Taylor’s formula to expand f (x, y) = 1−2x+y near the point (0, 0).
Example 17
Use Taylor’s formula to approximate (1.08)3.96 .
In-class Exercise
1
Find six terms of the Taylor’s expansion for f (x, y) = 1−x+y at (0, 1).

Tutorial Exercise
Use Taylor’s formula to approximate (8.96)2.03 .

Relative extrime values

Let f (x, y) be a function of two independent variables. A point (x0 , y0 ) is
said to be a relative minimum of f (x, y) if f (x, y) ≥ f (x0 , y0 ) for all
(x, y) in some neighbourhood of (x0 , y0 ). Similarly, a point (x0 , y0 ) is said
to be a relative maximum of f (x, y) if f (x, y) ≤ f (x0 , y0 ) for all (x, y) in
some neighbourhood of (x0 , y0 ).

Theorem
Let (x0 , y0 ) is a relative extrime value of f (x, y), then fx (x0 , y0 ) = 0 and
fy (x0 , y0 ) = 0.
Critical Point
A point (x0 , y0 ) satisfying fx (x0 , y0 ) = 0 and fy (x0 , y0 ) = 0 is called a
critical point of f (x, y).

Theorem
Let (x0 , y0 ) be a critical point of f (x, y) and suppose that
A = fxx (x0 , y0 ), B = fxy (x0 , y0 ), C = fyy (x0 , y0 ) and H = AC − B 2 .
1. If H > 0 and A < 0, then f (x0 , y0 ) is a relative maximum.
2. If H > 0 and A > 0, then f (x0 , y0 ) is a relative minimum.
3. If H < 0, then f (x0 , y0 ) is a saddle point.
4. If H = 0, then the ”second order derivative test” is inconclusive.

Example 18
Find the critical points of the function f (x, y) = xy(a − x − y)(a 6= 0) and
determine their nature.
Example 19
Find the critical points of the function f (x, y) = x2 − 2xy 2 + y 4 − y 5 and
Example 20
Find the critical points of the function f (x, y) = x3 + y 3 − 3xy and

In-class exercise
Find the critical points of the following functions and determine their
nature.
1. f (x, y) = x4 + y 4 − 4xy
2. f (x, y) = 6x2 − 2x3 + 3y 2 + 6xy
3. f (x, y) = x2 − 3y 2 + 2y 3 + 4x − 12y + 2

Tutorial exercise
Find the critical points of the following functions and determine their
nature.
1. f (x, y) = 9x3 − 4xy + 13 y 3
2. f (x, y) = x3 + y 3 − 12x − 3y + 20

Constrained optimization problems

In many pratical problems, the extrema to be sought are required to satisfy
certaiin side conditions(constraints). Problems of this type require
treatment diffenrent from those givein in 1.6. As a simple illustration,
consider the deometric problem of finding the point on the plane
2x − 3y + 5z = 19 which is nearest p to the origin. This is equivalent to
minimizing the ”distance function” x2 + y 2 + z 2 subject to the
constraint that x, y, z must also satisfy the equation
g(x, y, z) = 2x − 3y + 5z − 19 = 0.
The method of Lagrange Multiplier is designed to tracke problems of this
type.

Problem
To Maximize or minimize a function f (x, y, z) subject to the constraint
g(x, y, z) = 0.
Lagrange multiplier method

Sippose that f (x, y, z) and g(x, y, z) have continuous partial derivatives.
To find the local maximum and minimum values of f subject to the
constraint g(x, y, z) = 0, find the values of x, y, z and λ taht satisfy the
system of equations:
fx = λgx , fy = λgy , fz = λgz , g = 0.

Example 21
p
Minimize the function f (x, y, z) = x2 + y 2 + z 2 subject to the
constraint g(x, y, z) = 2x − 3y + 5z − 19 = 0
Example 22
Find the maximum and mimimum values of the function
f (x, y, z) = x − 2y + 5z on the sphere x2 + y 2 + z 2 = 36.
Example 23
A standard oil drum has a capacity of 10m3 . Use the method of Lagrange
Multiplier to find the dimensions of the drum that requires the minimal
amount of material to construct.

Example 24
Let f (x, y) = xy + x2 + y 2 − 2x − 2y. Find the absolute minimum values
of f on the region x2 + y 2 ≤ 4
Find extremum subject to more than one constraint:

Example 25
Maximize f (x, y, z) = xyz, subject to g1 (x, y, z) = x + y + z − 40 = 0
and g2 (x, y, z) = x + y − z = 0.

Tutorial exercise
1. Find the rectangle with largest area that can be inscribed in the
ellipse 9x2 + 4y 2 = 36.
2. Using the Lagrange Multiplier method, find the shortest distance from
the point (1, 1, −2) to the plane x − 2y + 5z = 5

Finding a root for functions of one variable: Newton-Raphson Method
f (xn ) f (xn )
f 0 (xn ) = ⇒ xn+1 = xn − 0
xn − xn+1 f (xn )

Example 26
√
Estimate 2 usind Newton-Raphson method.
Example 27
Find the real roots of the cubic equation, arising from an optimization
problem
2x3 − x + 1 = 0.

Solving system of non-linear equations (Newton-Raphson Method):

Consider the system of equations
(
f (x, y) = 0
g(x, y) = 0
where f (x, y), g(x, y) are given functions of x and y. Let (a, b) be a root
of the above system of equations. Suppose that x0 , y0 is an initial
approxination to a, b. Putting
x0 + h = a, y0 + k = b.

Taylor’s formula gives
0 = f (a, b) = f (x0 +h, y0 +k) = f (x0 , y0 )+fx (x0 , y0 )h+fy (x0 , y0 )k +· · ·
0 = g(a, b) = g(x0 +h, y0 +k) = g(x0 , y0 )+gx (x0 , y0 )h+gy (x0 , y0 )k+· · · ,
i.e. (
fx (x0 , y0 )h + fy (x0 , y0 )k = −f (x0 , y0 )
gx (x0 , y0 )h + gy (x0 , y0 )k = −g(x0 , y0 ).
We improve our initial approximaition by puttingx1 = x0 + h, y1 = y0 + k
and we can repeate the process again.

Example 28
Use Newton-Raphson Method with initial point (1, 1) and perform two
iterations to find an approximatino root for the system of equations
(
4x3 − 4xy + 2x + 2y − 1 = 0
−2x2 + 4y + 2x − 1 = 0.
In-class exercise
Use Newton-Raphson Method with initial point (1, −2) to find an
approximatino to the critical point of φ(x, y) = x4 + xy + y 2 + 2y
(perform two iterations).

Tutorial exercise
Solve the system of equations
(
x2 + x − y 2 − 1 = 0
y − sin x2 = 0
with initial guess (0.7, 0.5) and perform two inerations.

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Math2014 Multivariable calculus and linear algebra

ZHANG Haiyu Doris

The University of Hong Kong

January 12, 2016

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 1 / 51

Part I: Multivariable calculus

Chapter 1 Partial Differentiation

Chapter 2 Multiple Integrals

Part II: Linear algebra

Chapter 3 Linear algebra

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 2 / 51

Reference books for Part I (actually, any calculus book is ok)

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 3 / 51

1.1 Functions of several variables

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 4 / 51

2D-rectangular coordinates: for exmaple, w = f (x, y) = x2 + y 2 .

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 5 / 51

Our goal is to find the volume of S.

A real valued function w = f (x, y) defined on a region D of the xy−plane

lim f (x, y) = f (x0 , y0 ).

If F is continuous at every point in D, it is said to be continous on D.

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 7 / 51

continuous at point (0, 0)?

Remark: In order of the limit in

lim f (x, y) = f (x0 , y0 )

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 8 / 51

does not exist.

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ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 10 / 51

f (x0 + ∆x, y0 ) − f (x0 , y0 ) ∆w

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 11 / 51

In other words, a partial derivative of a function of several variables is its

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ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 14 / 51

Second order partial derivatives

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Compute all first order partial derivatives of the following:

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If w = f (x1 , ..., xn ) and xj = gj (t1 , ...tk ), for j = 1, ..., n, then w becomes

w = f (g1 (t1 , ..., tk ), ..., gn (t1 , ..., tk )).

Partial derivatives of w with respect to ti , where i = 1, ..., k are given by

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2. Let f (u, v, w) = u2 + vw and u = x + y, v = x2 , w = xy. Compute

3. If f is a differentiable finction of one variable, verify that the function

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2. Let w = f (u) and u = x2 + y 2 . Show that y ∂w ∂w

3. Use the substitution u = x + ct and v = x − ct to reduce the wave

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 22 / 51

If w = f (x, y) is a C 1 −function defined near (x0 , y0 ). We caonsider a

∆w = f (x0 + ∆x, y0 + ∆y) − f (x0 , y0 ).

ZHANG Haiyu Doris (HKU) Math2014 January 12, 2016 23 / 51

If w = f (x, y) is a C 1 −function defined near (x0 , y0 ), then

When ∆x → 0 and ∆y → 0, we can denote ∆x and ∆y by dx, dy. The

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Revision: one variable case

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