Chapter 2: Mathematical Preliminaries

1 Sets Union: A B = {x : x A or x B } Intersection: A B = {x : x A and x B } Belonging: a A (a is an element of the set A) Cartesian product: A B = {(a, b) : a A, and b B } Metric Spaces: (X, d)
(i) (ii) (iii)

Basic notation:

X is a set. d is a function, called distance, d : X X R+ satisfying d(x, y ) = 0 if and only if x = y . d(x, y ) = d(y, x). d(x, z ) d(x, y ) + d(y, z ).

Notice that, d(x, x) = 0 d(x, y ) + d(y, x) = 2d(x, y ). Thus d(x, y ) 0 x, y X . Example 1 : Let X be any set (perhaps the set of lawn mowers in Clemson). Dene d as follows: d(x, x) = 0 d(x, y ) = 1 if x =y

2.1

Basic Topology in Rn

We consider the Euclidean space Rn , consistent of n-tuples of vectors of the following form: x1 x2 x= . xn Neighborhood or open ball: A neighborhood of a point p A Rn is the set Br (p) dened as follows: Br (p) = {x Rn : x p < r}. Open set: A set A Rn is said to be open if for every p A one can nd a neighborhood Br (p) A. Bounded set: A set A Rn is bounded if there exists a real number M > 0 such that x <M x A. Compact set: A set A Rn is compact if it is closed and bounded. Convex set: A set A Rn is convex if, whenever x, y A, x1 + (1 )x2 , also belongs to A. 01

Sequences

Denition 1 : A sequence of vectors x0, x1 , x2 , in a metric space (X, d), denoted {xn } is said to converge if there is a point x0 X such that d(xn, x0 ) < We say that xn x0 as n . Careful: x0 must be an element of X ! Example 2 : Let X1 = R, d(x, y ) = |x y |, and consider the sequence {xn } = {1, 1.4, 1.41, 1.414, } then and since | 2 x(n)| < f or n N if n N

2 R we conclude that xn is convergent in (X1, d).

Example 3 : Let X2 = Q, (rational numbers), and consider the sequence of the previous example. In this case 2 Q, and thus xn is not convergent in (X2, d). Denition 2 : A sequence {xn } is said to be a Cauchy sequence if for every real > 0 there is an integer N such that d(xn , xm) < , provided that n, m N . Every convergent sequence is a Cauchy sequence. The converse is, however, not true. Example 4 : Let X = (0, 1) and let d(x, y ) =| x y |. Consider the sequence {xn } = 1/n. We have 1 1 1 1 2 | + < , where N = min(n, m) n m n m N Thus {xn } is a Cauchy sequence since d(xn , xm) < , provided that n, m > 2/. It is not, however, convergent in X since lim 1/n = 0, and 0 X . d(xn , xm) =|
n

Denition 3 : A metric space (X, d) is called complete if and only if every Cauchy sequence converges (to a point of X ).
3

Dierentiability

Denition 4 : A function f : R R is said to be dierentiable at x if f is dened in an open interval (a, b) R and f (x) = lim exists. The limit f (x) is called the derivative of f at x. The function f is said to be dierentiable if it is dierentiable at each x in its domain. Denition 5 : A function f : Rn Rm is said to be dierentiable at a point x if f is dened in an open set D Rn containing x and the limit f (x + h) f (x) f (x)h lim =0 h0 h f (x + h) f (x) h0 h

exists. f (x) is called the dierential or the total derivative of f at x, to distinguish it from the partial derivatives that we discuss next. In the following discussion we denote by fi , 1 i m the components of the function f , and by {e1 , e2 , , en } the standard basis in Rn : Denition 6 : Consider a function f : Rn Rm and let D be an open set in Rn. For x D Rn and 1 i m, 1 j n we dene fi = Dj fi xj fi (x + ej ) fi (x) = 0, 0 lim R

provided that the limit exists. The functions Dj fi (or

fi xj )

are called the partial derivatives of f .

Remarks: Dierentiability of a function, is not implied by the existence of the partial derivatives of the function. For example, the function f : R2 R x1 x2 f (x1 , x2 ) = 2 2 4 x1 + x2
4

is not continuous at (0, 0) and so it is not dierentiable. However, both f and x exist at every point in R2 . 2

f x1

Remarks: If f is known to be dierentiable at a point x, then the partial derivatives exist at x, and f (x) is given by the Jacobian matrix or Jacobian transformation [f (x)]: f f1 1 x1 xn . . . [f (x)] = . . . . fm fm x1 xn Denition 7 : A function f : Rn Rm is said to be continuously dierenfi tiable at a point x0 if the partial derivatives x , 1 i m, 1 j n exist j n and are continuous at x0. A function f : R Rm is said to be continuously dierentiable on a set D Rn , if it is continuously dierentiable at every point of D. Summary: Given a function f : Rn Rm with continuous partial derivatives, we shall use f (x) or Df (x) to represent both the Jacobian matrix and the total derivative of f at x. If f : Rn R, then the Jacobian matrix is the row vector f f f f (x) = , ,, . x1 x2 xn This vector is called the gradient of f because it identies the direction of steepest ascent of f . We will frequently denote this vector by either f x i.e. f (x) = or f (x)

f f f f = , ,, . x x1 x2 xn

Contraction Mapping

Denition 8 : Let (X, d) be a metric space, and let S X . A mapping f : S S is said to be a contraction on S if there exists a number < 1 such that d(f (x), f (y )) d(x, y ) (1) for any two points x, y S . It is an straightforward exercise that every contraction is continuous (in fact, uniformly continuous) on X . Theorem 1 : (Contraction Mapping Principle) Let S be a closed subset of the complete metric space (X, d). Every contraction mapping f : S S has one and only one x S such that f (x) = x. Proof : Let x0 be an arbitrary point in S , and denote x1 = f (x0 ), x2 = f (x1 ), , xn+1 = f (xn). d(xn+1, xn ) = d(f (xn ), f (xn1 ) d(xn , xn1) and then, by induction d(xn+1, xn ) nd(x1 , x0). (3) (2)

Now suppose m > n > N . Then, by successive applications of the triangle inequality we obtain
m

d(xn , xm)
i=n+1 n

d(xi , xi1 )

( + n+1 + + m1 ) d(x1 , x0 ) d(xn , xm) n (1 + 1 + + mn1) d(x1 , x0).

(4)

The series (1 + x + x2 + ) converges to 1/(1 x), for all x < 1. Therefore, noticing that all the summands in equation (4) are positive, we have: 1 + + + mn1 1 (1 )

n d(xn , xm) d(x1 , x0) (1 ) dening

n (1 ) d(x1 , x0 )

= , we have that d(xn , xm) n, m > N.

Thus {xn} is a Cauchy sequence and since (X, d) is complete, {xn} has a limit, lim (xn ) = x X . Now, since f is a contraction, f is continuous. It n follows that f (x) = lim f (xn ) = lim (xn+1) = x.
n n

Moreover, we have seen that xn S X, n, and since S is closed it follows that x S . This proves existence of a xed point. To prove uniqueness assume that x and y are two dierent xed points. We have f (x) = x, by (5) d(f (x), f (y )) = d(x, y ) d(x, y ) d(x, y ) (6) (7) f (y ) = y (5)

because f is a contraction and given that < 1, we conclude that d(x, y ) = 0, and so x = y .

Solution of Dierential Equations

Theorem 2 : (Local Existence and Uniqueness) Consider the nonlinear differential equation x = f (x, t), x(t0 ) = x0 (8) and assume that f (x, t) is piecewise continuous in t and satises f (x1 , t) f (x2 , t) L x1 x2 x1 , x2 B = {x Rn : x x0 r}, t [t0, t1 ]. Thus, there exist some > 0 such that (8) has a unique solution in [t0 , t0 + ]. Proof (sketch): if x(t) is a solution of (8), then
t

x(t) = x0 +
t0

f [x( ), ] d

(9)

which is of the form x(t) = (F x)(t) (10) i.e. the solution of (8) is a xed point of the mapping F . Dene the sets X and the S X as follows: X = C [t0 , t0 + ] (X set of all continuous functions on [t0 , t0 + ]) where x
c

t[t0 ,t0 + ]

max

x(t)
c

(11)

S = {x X : x x0

r }.

Note: S X is closed and X with the norm (11) is a complete metric space. We now show that F is a contraction on S .
t

(F x1 )(t) (F x2 )(t)

=
t0 t

[ f (x1( ), ) f (x2 ( ), ) ] d f (x1 ( ), ) f (x2 ( ), )

t0 t

t0

L x1 ( ) x2( ) d
t c t0

L x1 x2

 . L , we conclude that F is a contraction. This implies Choosing < 1 and L that there is a unique solution of the nonlinear equation (8) in S . F x1 F x2
c

L x1 x2

x1 x2

f or