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8.1

Real -valued functions of several independent real variables are defined much

the same way one would imagine from the single variable case. The domains

are sets of ordered n-tuples of real numbers. Let

Rn = {(x1 , . . . , xn ) | xi R, i = 1, . . . , n}.

We will mostly work on the spaces of n = 2, or 3.

Definition 8.1.1 A real-valued function of n-variables is a function f

on a subset D Rn into R:

f : D R,

f (x1 , . . . , xn ) = w.

x1 , . . ., xn are called the independent variables.

Let D Rn be a subset of Rn . A point P = (p1 , . . . , pn ) is an interior

point of D if there is a positive number > 0 such that the set of points

with

p

B (P ) = {X = (x1 , . . . , xn ) Rn | (p1 x1 )2 + + (pn xn )2 < },

which is called an open ball of radius centered at P , is contained in D.

The set of all interior points of D is denoted by Int(D).

A point P = (p1 , . . . , pn ) is a boundary point of D if every ball centered

at P contains points that lie in D as well as the points that lie outside of

D. The set of all boundary points of D is denoted by (D).

237

238

Chapter 8.

Int(D), and closed if D = Int(D) (D).

A region D is bounded if it is contained in a ball of a fixed radius, and

unbounded if it is not bounded.

Let f : D R be a function on D Rn . The graph of f is the set

{(x1 , . . . , xn , w) Rn+1 | w = f (x1 , . . . , xn ), (x1 , . . . , xn ) D}.

When n = 2, the graph is also called a surface; z = f (x, y). The set of all

points in D whose f -values are constant:

{(x1 , . . . , xn ) D | c = f (x1 , . . . , xn )},

is called a level surface of f . When n = 2, it is called a level curve, and

when n = 3, it is called a level surface. For example, if z = f (x, y) is the

height of a mountain, the level curves c = f (x, y) are contour curves in

the domain D.

The following theories hold for arbitrary dimension n with a proper

adjustment of the number of variables. However, for convenience, we just

do for n = 2 or 3.

Definition 8.1.2 Let z = f (x, y) be a function on a domain D R2 .

(1) A number L is called the limit of f at X0 = (x0 , y0 ) R2 , which is

not necessarily in D, denoted by

lim f (X) = L,

XX0

if, for every number > 0, there exists a corresponding number > 0

such that

|f (X) L| < , for all points X = (x, y) D with 0 < |X X0 | < .

(2) z = f (x, y) is said to be continuous at X0 , if

lim f (X) = f (X0 ) :

XX0

(3) z = f (x, y) is said to be continuous on D, if it is continuous at every

point in D.

239

2

2

Example 8.1.1 Consider f (x, y) = x4xy

2 +y 2 on D = R {(0, 0)}. For X =

(0, y) or X = (x, 0) D, f (X) = 0. Thus we choose L = 0. To show

limXX0 f (X) = 0: For > 0 given, we want to find a > 0 such that

2

p

4xy 2

0

x2 + y 2

x2 + y 2

However, since y 2 x2 + y 2 ,

p

4|x|y 2

4|x| 4 x2 4 x2 + y 2 .

2

2

x +y

p

Thus, if we choose = 4 , then, for any (x, y) with 0 < x2 + y 2 < ,

2

p

4xy 2

= 4|x|y 4 x2 + y 2 < 4 = 4 = .

x2 + y 2 x2 + y 2

4

Hence if define f (0, 0) = 0, then this function is made to be a continuous

function on R2 .

on D = R2 {(0, 0)}. For X0 =

+y 2

(0, 0) 6 D, if we choose X = (x, y) with y = mx, then

f (x, y) =

2m

2mx2

=

,

x2 (1 + m2 )

1 + m2

which depends on the value m. That is, f has no limit at X0 = (0, 0), and

so there is no way to define f (0, 0) to make it continuous at X0 .

Theorem 8.1.1 The general rules of the arithmetics of continuous functions hold: that is, if f and g are continuous at X0 = (x0 , y0 ) and k R,

then so are kf , f g, f g, fg provided g(X0 ) 6= 0. Moreover, if h(z) = w is

continuous function at z0 = f (x0 , y0 ), then so is w = (h f )(x, y) at X0 .

8.2

Partial Derivatives

fixed value y = y0 , z = f (x, y0 ) is a function in x only through x0 whose

graph is the intersection of the graph z = f (x, y) and the vertical plane

y = y0 .

240

Chapter 8.

derivative of f with respect to x at x = x0 :

f (x0 + h, y0 ) f (x0 , y0 )

f

d

z

f (x, y0 )

= lim

h0

dx

h

x (x0 ,y0 )

x (x0 ,y0 )

x=x0

fx (x0 , y0 ) = zx .

z

slope fy (X0 )

slope fx (X0 )

z = f (x0 , y)

z = f (x, y0 )

x0

x

y0

(x0 , y0 )

Similarly for y:

y

(x0 ,y0 )

s y

s

z

fy (x0 , y0 ) = zy

y (x0 ,y0 )

d

f (x0 , y0 + h) f (x0 , y0 )

f (x0 , y)

.

= lim

h0

dy

h

y=y0

fx (x, y) =

2y

y+cos x ,

find fx and fy .

(y + cos x) x

(2y) 2y x

(y + cos x)

2y sin x

=

,

2

(y + cos x)

(y + cos x)2

(y + cos x) y

(2y) 2y y

(y + cos x)

2 cos x

=

.

(y + cos x)2

(y + cos x)2

Example 8.2.2 Let z = f (x, y) satisfy yz ln z = x + y. Find zx and zy .

fy (x, y) =

x y

(yz)

(ln z) =

+

x

x

x x

z

1 z

y

= 10

x z x

z

z

=

.

x

yz 1

Similarly for

z

y .

8.2.

Partial derivatives

241

0, if xy 6= 0,

1, if xy = 0.

fy (0, 0) exist, but f is not continuous at (0, 0).

Example 8.2.3 Let z = f (x, y) =

2f

2f

f

= fxx ,

=

= (fy )x = fyx ,

x2

xy

x y

etc.

derivatives on an open domain D R2 . Then the mixed partial derivatives

are equal:

2f

2f

=

.

xy

yx

Proof: For a fixed point X0 = (x0 , y0 ) D, consider

F (4x, 4y) = f (x0 +4x, y0 +4y)f (x0 +4x, y0 )f (x0 , y0 +4y)+f (x0 , y0 ).

For fixed y0 and 4y, define g(x) = f (x, y0 +4y)f (x, y0 ). Then F (4x, 4y) =

g(x0 +4x)g(x0 ). By the mean value theorem for functions of one variable,

there is a number c [x0 , x0 + 4x] such that

F (4x, 4y) = g(x0 + 4x) g(x0 ) = g 0 (c)4x

= [fx (c, y0 + 4y) fx (c, y0 )]4x.

By the mean value theorem again,

F (4x, 4y) =

Since

2f

yx (c, d)

2f

(c, d)4x4y,

yx

d [y0 , y0 + 4y].

is continuous, we have

2f

1

2f

(x0 , y0 ) =

lim

F (4x, 4y) =

(x0 , y0 ),

yx

xy

(4x,4y)(0,0) 4x4y

where the second equality is obtained similarly from h(y) = f (x0 + 4x, y)

f (x0 , y), and F (4x, 4y) = h(y0 + 4y) h(y0 ).

Example 8.2.4 For f (x, y) = xey + yx2 , one can easily show that

2f

2f

= ey + 2x =

.

yx

xy

242

8.3

Chapter 8.

Differentiability

4y

I = [a, b], the difference quotient 4x

as x changes from x0 I to x0 + 4x

satisfies

4y

= f 0 (x0 ) + , (= f 0 (c), for some c [x0 , x0 + 4x], )

4x

where 0 as 4x 0, or

4y = f 0 (x0 )4x + 4x.

If f 0 (x) is continuous at x0 , then this equation becomes

dy = f 0 (x0 )dx,

as 4x 0,

f 0 (x0 )4x is called the linear approximation of f : that is,

f (x) f (x0 ) + f 0 (x0 )(x x0 ) = L(x),

the right side of which is the equation of the tangent line through (x0 , f (x0 ))

of the graph of f . The error term 4x was computed from the Taylor

polynomial of f .

L(x) = f (x0 ) + f 0 (x0 )(x x0 )

f (x)

4y

f (x0 )

4x

f 0 (x0 )4x

4x

x0

x = x0 + 4x

The above formula can be used for the differentiability of functions with

more than one variables: f : Rn R. However, it is good enough to work

on two variable functions:

Definition 8.3.1 A function z = f (x, y) on D is said to be differentiable

at X0 = (x0 , y0 ) D if fx and fy exist at X0 , and

4z = f (X) f (X0 ) = fx (X0 )4x + fy (X0 )4y + 1 4x + 2 4y,

where 1 , 2 0 as 4x, 4y 0. f is said to be differentiable on D if it is

differentiable at every point of D.

8.3.

Differentiability

243

In fact, for functions with more than one variables, we have the following

theorem:

Theorem 8.3.1 Let z = f (x, y) be a function on an open domain D R2 .

Suppose that fx and fy are defined on D and continuous at X0 = (x0 , y0 )

D. Then the increment 4z = f (X) f (X0 ) of f from X0 to X = (x, y) =

(x0 + 4x, y0 + 4y) D is given by

4z = f (X) f (X0 ) = fx (X0 )4x + fy (X0 )4y + 1 4x + 2 4y,

where 1 , 2 0 as 4x, 4y 0.

Proof: We assume that 4x and 4y are small enough so that a rectangle

T centered at X0 is contained in D. Then 4z = 4z1 + 4z2 where

4z1 = f (x0 + 4x, y0 ) f (x0 , y0 ),

4z2 = f (x0 + 4x, y0 + 4y) f (x0 + 4x, y0 ).

6

f

y (x0

1 4x

02 4x

+ 4x, y0 )4x

6

?

6

dz

f

x (X0 )4x

x0

4x

6

?

6

?

4z

6?

6 4z

?

4z1

y0

x = x0 + 4x

2 4y

f

y (X0 )4y

y0 + 4y

?y = ?

X0

4y

X = (x, y)

4z1 = fx (x0 , y0 )4x + 1 4x,

4z2 = fy (x0 + 4x, y0 )4y + 02 4y

= fy (x0 , y0 )4y + 2 4y, by the continuity of fx and fy ,

which gives the result.

244

Chapter 8.

then z = f (x, y) is differentiable at every point of D.

Corollary 8.3.3 If z = f (x, y) is differentiable on D, then it is continuous.

Definition 8.3.2 If z = f (x, y) is differentiable on D, then the limit of 4z

as 4x, 4y 0 is denoted by

dz = fx (X)dx + fy (X)dy,

which is called the total differential of f .

Corollary 8.3.4 Let z = f (x, y) be a function with continuous fx and fy

on an open domain D R2 . Then the linear approximation of f (X),

X = (x, y) = (x0 + 4x, y0 + 4y), at X0 = (x0 y0 ) is given by

f (X) f (X0 ) + fx (X0 )4x + fy (X0 )4y.

Note that the right side of the above equation is the equation of the

tangent plane of the graph of f at X0 . In fact, the vector (1, 0, fx (X0 ))

is tangent to the curve z = f (x, y0 ) at X0 , and the vector (0, 1, fy (X0 ))

is tangent to the curve z = f (x0 , y) at X0 . Thus, the normal vector n(X0 )

to the graph of f at (x0 , y0 , f (X0 )) is

i j

0 1 fy (X0 )

Thus, if (x, y, w) is a point on the tangent plane spanned by the two vectors,

then X X0 = (x x0 , y y0 , w z0 ) = (4x, 4y, 4w) satisfies

0 = (X X0 ) (fx (X0 ), fy (X0 ), 1)

= (w z0 ) fx (X0 )4x fy (X0 )4y,

or w = f (X0 ) + fx (X0 )(x x0 ) + fy (X0 )(y y0 ).

The error terms in the linear approximation of z = f (x, y) by the value

w on the tangent plane will be given later in Section 8.6.

Example 8.3.1 Compute the functional value of z = f (x, y) = x2 xy +

1 2

2 y + 3 at X = (3.01, 2.02).

By a direct computation,

1

f (3.01, 2.02) = (3.01)2 (3.01)(2.02) + (2.02)2 + 3 = 8.0201.

2

245

Instead, we may take the linear approximation: Choose X0 = (3, 2). Then

f (X0 ) = 8, (4x, 4y) = (0.01, 0.02), and

fx (3, 2) = (2x y)(3,2) = 4,

fy (3, 2) = (x + y)(3,2) = 1,

z = f (3.01, 2.02) w = f (3, 2) + fx (3, 2)4x fy (3, 2)4y

= 8 + 4(0.01) + (1)(0.02) = 8.02.

variables: The total differential represents the linear approximation:

df

8.4

Directional Derivatives

Note that the partial derivatives fx (X0 ) and fy (X0 ), etc, of a function with

more than one variables are the rate of changes of f when X moves along

the lines through X0 and parallel to the coordinate axes. How about the

rate of change of f when X moves in other directions at X0 ?

Let z = f (x, y) be a differentiable function on R R2 and X0 =

(x0 , y0 ) R. Let (t) = (x(t), y(t)), t I = [a, b], be a differentiable

curve in R through X0 = (t0 ) with 0 (t0 ) = (x0 (t0 ), y 0 (t0 )) a unit vector.

Then z = f (t) = f (x(t), y(t)) is a function in t, which is the restriction

of the domain of f along the curve (t).

Theorem 8.4.1 The composite z = f (t) = f (x(t), y(t)) is differentiable

at t0 , and

dx(t0 )

dy(t0 )

dz

(t0 ) = fx (X0 )

+ fy (X0 )

.

dt

dt

dt

Proof: By the differentiability of f , we have

4z = fx (X0 )4x + fy (X0 )4y + 1 4x + 2 4y,

4z

4x

4y

4x

4y

= fx (X0 )

+ fy (X0 )

+ 1

+ 2

,

4t

4t

4t

4t

4t

246

Chapter 8.

and so 1 , 2 0, as 4t 0. Hence

dz

4z

f dx(t0 )

f dy(t0 )

(t0 ) = lim

=

+

.

4t0 4t

dt

x

dt

y

dt

X0

X0

tangent to (t) at X0 = (t0 ) R, and the derivative of (f ) at t0

depends only on u = 0 (t0 ), not on the curve (t) itself: that is, for any

curve (t) in R such that (t0 ) = (t0 ) and 0 (t0 ) = u = 0 (t0 ),

f

dz

f

u1 +

u2 .

(t0 ) =

dt

x X0

y X0

This has several notations:

dz

(t0 ) = fx (X0 )u1 + fy (X0 )u2

dt

= (fx (X0 ), fx (X0 )) (u1 , u2 ) = f (X0 ) u, in vector notation,

u1

= [fx (X0 ) fx (X0 )]

= Df (X0 )0 (t0 ), in matrix notation,

u2

which is called the directional derivative of f at X0 in u direction, also

denoted by dz

dt (t0 ) = Dfu (X0 ) = f (X0 ) u.

This can be done at every point X R, and the first equality is the

total differential:

dz = fx (X)x0 (t)dt + fx (X)y 0 (t)dt = fx (X)dx + fx (X)dy.

In the vector notation,

f (X) = (fx (X), fx (X))

is called the gradient vector of f at X in R2X0 , and in the matrix notation

the 1 2 matrix

Df (X) = [fx (X) fy (X)]

is called the derivative of f at X, and the above equation represents the

chain rule of the derivatives of functions of several variables.

By definition, the directional derivative of f is the rate of change of f

when X moves in u-direction, and it is given as, for any unit vector u,

Dfu (X0 ) = f (X0 ) u = |f (X0 )| cos , = ](f (X0 ), u),

0, when cos = 0 ( = 2 ), or u f (X0 ),

=

8.4.

Directional derivatives

247

C given by an equation f (x, y) = C. If we parameterize this contour curve

as (t) = (x(t), y(t)), t I, then C = f (t) = f (x(t), y(t)), and so, by

differentiating both sides, we get

0 =

dz(t)

= Df0 (t) ((t)) = f ((t)) 0 (t).

dt

Since 0 (t) is tangent to the contour curve C, this means that f ((t)) is always perpendicular (or, normal) to C. That is, the function f increases most

rapidly in f (X) direction at X R at the rate |f (X), stays constant at

the rate 0 in the direction of C (or perpendicular to f (X)), and decreases

most rapidly in in f (X) direction at X R at the rate |f (X)|.

y

6

C = f (x, y)

X = (t)

0 (t)

1 u

j f (X)

- x

directional derivative f in v = (3, 4) direction at X0 = (2, 0) is computed

as follows: The direction of v is the unit vector u = ( 53 , 45 ), and the partial

derivatives are

fx (2, 0) = (ey y sin(xy))|(2,0) = 1,

derivative is

3 4

Dfu (2, 0) = f (2, 0) u = (1, 2) ( , ) = 1.

5 5

f increases most rapidly in (1, 2) direction, and stays constant in (2, 1)

direction. The tangent line to the level curve f (x, y) = 3 at X0 is orthogonal

to f (2, 0) = (1, 2). Thus its equation is

0 = f (2, 0) (x 2, y) = (1, 2) (x 2, y) = x + 2y 2.

248

Chapter 8.

Theorem 8.4.2 Let f and g be differentiable functions on R, and k R,

X R. Let u, v R2X . For notational convention, we use D(f )u (X)

D(f )(u).

(1) D(kf + g)(u) = (kf + g) u = (kf + g) u = (kD(f ) + D(g))(u),

(2) D(f )(ku + v) = kD(f )(u) + D(f )(v),

(3) D(f g)(u) = (f g) u = (f g + gf ) u = (f D(g) + gD(f ))(u),

D(g)

g

(4) D( fg )(u) = ( fg ) u = ( gfgf

) u = ( gD(f )f

)(u).

2

g2

definitions hold except for adding more terms with respect to the number of

variables: for example, if w = f (x, y, z) is a differentiable function of three

variables, then

dw = fx dx + fy dy + fz dz,

f

= (fx , fy , fz ),

D(f )(u) = f u = fx u1 + fy u2 + fz u3 .

8.5

In this section, we consider vector-valued functions of more than one variables: that is, functions of the form F : Rn Rm denoted by

F (x1 , . . . , xn ) = (f1 (x1 , . . . , xn ), . . . , fm (x1 , . . . , xn )), (x1 , . . . , xn ) R Rn ,

where R is an open domain in Rn . F is differentiable if f1 , . . ., fm are

differentiable functions on R: that is, fj s have continuous partial derivatives

on R, and its derivative is defined to be the m n matrix of the partial

derivatives:

f1

f1

x

x1

n

..

DF (X) =

(X).

.

fm

x1

fm

xn

continuous on R.

For simplicity, we consider a function F : R2 R3 , denoted by

F (u, v) = (x(u, v), y(u, v), z(u, v)) U R3 ,

(u, v) R R2 ,

8.5.

249

R, and a differentiable curve (t) = (u(t), v(t)), t I in R R2 . Then

(t) = (F )(t) = F ((t)) = F (u(t), v(t)) = (x((t)), y((t)), z((t)))

= (x(u(t), v(t)), y(u(t), v(t)), z(u(t), v(t)))

is a curve in U. Then the derivatives of the component functions x, y, and

z restricted on the curve (t) are given as

d(x )(t)

dt

d(y )(t)

dt

d(z )(t)

dt

=

=

=

x du(t) x dv(t)

+

u dt

v dt

y du(t) y dv(t)

+

u dt

v dt

z du(t) z dv(t)

+

.

u dt

v dt

d(x)

x x

" du #

u

v

dt

d(y)

y y

dt

0

(t) = D(F )t =

dt = u v

dv

d(z)

dt

z

u

z

v

dt

(t)

= DF(t) Dt .

This shows that DF(t) transforms the tangent vectors 0 (t) at (t) to vector

0 (t) tangent to (t).

Example 8.5.1 Consider the spherical coordinates

F (, ) = (x(, ), y(, ), z(, )), given by, for (, ) (0, 2) (0, ),

x(, ) = sin cos ,

z(, ) = cos .

the tangent vector to (t) = (F )(t) is

x x

" d #

y

y

dt

d

z

dt

sin 0 cos t

0

(t)

cos 0 sin t

sin 0

"

1

0

sin 0 sin t

sin 0 cos t .

250

Chapter 8.

(f F )(u, v0 ) is a function in u only and so the derivative of (f F ) in u is

just the partial derivative and so, by the chain rule Theorem 8.4.1, we have

(f F )

f x f y f z

=

+

+

.

u (u0 ,v0 )

x u y u z u (u0 ,v0 )

Similarly, for fixed u0 , the partial derivative of (f F ) in v is:

f x f y f z

(f F )

=

.

+

+

v (u0 ,v0 )

x v

y v

z v (u0 ,v0 )

These two equations together can be written in the chain rule

h

i

h

i

f

f

f

=

x

y

z

X

F (X)

x

u

y

u

z

u

x

v

y

v

z

v

Example 8.5.2 Let w = f (x, y, z) = x + 2y + z 2 and

F (u, v) = (x(u, v), y(u, v), z(u, v)) = ( uv , u2 + ln v, 2u). Then

D(f F )(u,v) = DfF (u,v) DF(u,v) =

x

w

u

w

v

fx fy fz

1

v

u

y

u

z

u

+ 12u vu2 +

2

v

x

v

y

v

z

v

1

v

= [1 2 4u] 2u

vu2

1

v

then the chain rule holds as:

g1

g1

f1

f1

x

y1

ym

x1

n

..

..

.

.

.

gp

gp

fm

fm

xn

x1

y1

ym

Suppose that z = F (x, y) is a differentiable function and the level curve

C = F (x, y) defines a differentiable function y = g(x). Then we have

C = F (x, y) = F (x, g(x)) is a function in x. By differentiating both sides,

0 = Fx

dx

dy

dg(x)

+ Fy

= Fx + Fy

.

dx

dx

dx

8.5.

251

Thus, if Fy 6= 0, we have

dy

Fx

= ,

dx

Fy

which is called the implicit differentiation.

F (x, y) = x2 + y 2 r2 = 0 defines two funcExample8.5.3 An equation

tions y = r2 x2 and y = r2 x2 . In both cases,

2x + 2y

dy

x

dy

= 0 =

= ,

dx

dx

y

also a differentiable function. Then w = f (x, y, g(x, y)) = F (x, y), which is

the composite of f with (x, y) = (x, y, g(x, y)). Thus

DF

or

Fx Fy

= Df D,

1 0

fx fy fz 0 1

=

gx gy

fx + fz gx fy + fz gy .

=

Example 8.5.4 Let w = f (x, y, z) = x2 + y 2 + z 2 , and z = g(x, y) satisfy

w

z 3 xy + yz + y 3 = 1. Find w

x and y .

Set (x, y) = (x, y, g(x, y)). Then, by implicit differentiation,

z

z

y+y

= 0 =

x

x

z

z

3z 2

x+z+y

+ 3y 2 = 0 =

y

y

z

y

= 2

.

x

3z + y

z

x z 3y 2

=

.

y

3z 2 + y

3z 2

Hence,

wx wy

1 0

fx fy fz 0 1

=

gx gy

2x 2y 2z 0

=

y

3z 2 +y

h

=

2x +

2yz

3z 2 +y

2y +

0

1

xz3y 2

3z 2 +y

2z(xz3y 2 )

3z 2 +y

i

.

252

8.6

Chapter 8.

Taylors Polynomial

R R2 . Let P = (a, b) D R and Q = (x, y) = (a + h, b + k) D,

where h = 4x and k = 4y. Let (t) = (a + th, b + tk), 0 t 1, be the

line segment joining P to Q with 0 (t) = (h, k). Then the derivative of the

function F (t) = f (t) = f (a + th, b + tk) is given, by the chain rule, as

dx

dy

0

F (0) = fx

= [hfx + kfy ](a,b) ,

+ fy

dt

dt (a,b)

dx

dy

dx

dy

00

F (0) = fxx

+ fxy

h + fyx

+ fyy

k

dt

dt (a,b)

dt

dt (a,b)

By the Taylors formula for functions of 1-variable,

F 00 (c)

(1 0)2 , for some c [0, 1],

2!

or f (x, y) = f (a, b) + (fx (a, b)4x + fy (a, b)4y)

1

+ [fxx 4x2 + 2fxy 4x4y + fyy 4y 2 ](a+ch,b+ck) .

2!

F (1) = F (0) + F 0 (0)(1 0) +

The last term is the error term for the linear approximation of f (x, y) by

the tangent plane, discussed in Corollary 8.3.4: If

M = max{|fxx (x, y)|, |fxy (x, y)|, |fyy (x, y)| | (x, y) D},

where D is a rectangle in R centered at (a, b), then

Error2 (Q, P )

M

(|4x| + |4y|)2 .

2

differential operator D = h x

+ k y

so that for a differentiable function f ,

D(f ) = h

+k

(f ) = hfx + kfy ,

x

y

2

2

D (f ) = h

+k

(f ) = h2 fxx + 2hkfxy + k 2 fyy ,

x

y

3

+k

(f ) = h3 fxxx + 3h2 kfxxy + 3hk 2 fxyy + k 3 fyyy ,

D (f ) = h

x

y

..

.

253

F

(n)

(0) =

dn

n

n

F (0) = D (f )(a,b) = h

+k

(f )(a,b) .

dtn

x

y

F (1) = F (0) + F 0 (0)(1 0) +

+

F (n+1) (c)

(1 0)n+1 ,

(n + 1)!

F 00 (0)

F (n) (0)

(1 0)2 + +

(1 0)n

2!

n!

for some c [0, 1],

+

8.7

1 2

[h fxx + 2hkfxy + k 2 fyy ](a,b) +

2!

1 n

1

D (f )(a,b) +

Dn+1 (f )(a+ch,b+ck) .

n!

(n + 1)!

Extreme Values

Most of optimization problems in applications are concerned about the maximization or minimization of certain functions of several variables. When

the function is smooth on the domain, those local extrema usually occur at

some boundary points of the domain, or at the points where the tangent

planes are horizontal, or the derivatives are zero, but not all the time. A

point where the tangent plane is horizontal, but is not a local extremum, is

called a saddle point.

Definition 8.7.1 Let z = f (x, y) be function on a domain R R2 . For

(a, b) R, f (a, b) is a local maximum (or a local minimum) if f (a, b)

(or, ) f (x, y) for all (x, y) R in an open disk centered at (a, b).

Theorem 8.7.1 (First derivative test) If z = f (x, y) has a local extremum at an interior point (a, b) R, and if the first partial derivatives

exist there, then fx (a, b) = 0 = fy (a, b).

Proof: If z = f (x, y) has a local extremum at (a, b) R, then g(x) = f (x, b)

also has a local extremum at x = a. Thus g 0 (a) = fx (a, b) = 0. Similarly,

fy (a, b) = 0.

254

Chapter 8.

f (x, y) if either fx or fy does not exist there, or fx (a, b) = 0 = fy (a, b). For

critical point (a, b) in R, the point (a, b, f (a, b)) on the graph of z = f (x, y)

is called a saddle point if on every open disk at (a, b) there are points (x, y)

where f (a, b) > f (x, y), and points where f (a, b) < f (x, y).

Let (a, b) R be a critical point of f such that fx (a, b) = 0 = fy (a, b),

or D(f ) = [hfx + kfy ](a,b) = 0. Thus, from the Taylors formula,

f (x, y) = f (a, b) +

1 2

[h fxx + 2hkfxy + k 2 fyy ](a,b) + Error3 (Q, P ),

2!

where |Error3 (Q, P )| 0 for sufficiently small (h, k) = (xa, yb). Hence,

f (x, y) f (a, b)

1 2

[h fxx + 2hkfxy + k 2 fyy ](a,b) ,

2!

f (a, b) is maximum if f (x, y) f (a, b) < 0, (x, y) D,

f (a, b) is minimum if f (x, y) f (a, b) > 0, (x, y) D.

The right side is

fxx [f (x, y) f (a, b)]

=

1 2 2

[h fxx + 2hkfxx fxy + k 2 fxx fyy ]

2!

1

2

(hfxx + kfxy )2 + k 2 (fxx fyy fxy

).

2!

2 > 0 and f

f (a, b) is minimum, if fxx fyy fxy

xx > 0 at (a, b),

2 > 0 and

(2) f (x, y) f (a, b) < 0, or f (a, b) is maximum , if fxx fyy fxy

fxx < 0 at (a, b).

2 < 0 at (a, b) since f (x, y)

(3) f (a, b) is a saddle point, if fxx fyy fxy

f (a, b) takes both signs depending on the values of h and k.

2 = 0 at (a, b), since there is a possibility

(4) The test fails if fxx fyy fxy

that f (x, y) f (a, b) = 0.

2 ]

The expression [fxx fyy fxy

(a,b) is called the Hessian of f , which can

be written as the determinant:

fxx fxy

.

Hf (a, b) =

fxy fyy (a,b)

255

fx = y 2x 2 = 0,

fy = x 2y 2 = 0 = x = 2 = y.

fxx = 2 < 0, fyy = 2, fxy = 1,

the Hessian of f at (a, b) = (2, 2) is 3. Thus, f (2, 2) = 8 is the local

maximum.

on the triangular region R = {(x, y) | x 0, y 0, y 9 x}.

(1) On the interior: By solving fx = 2 2x = 0 and fy = 2 2y = 0,

(a, b) = (1, 1) is the only critical point in R with value f (1, 1) = 4.

(2) On the boundary:

(i) At the corner P1 = (0, 0), f (0, 0) = 2, P2 = (0, 9), f (0, 9) = 61, and

P3 = (9, 0), f (9, 0) = 61.

(ii) On y = 0, f (x, 0) = 2 + 2x x2 with x [0, 9]. Thus f 0 (x, 0) =

2 2x = 0 means x = 1. Thus f (1, 0) = 3.

(iii) On x = 0, f (0, x) = 2+2y y 2 with y [0, 9]. Thus f 0 (0, y) = 22y =

0 means y = 1. Thus f (0, 1) = 3.

(iv) On y = 9 x, f (x, 9 x) = 2 + 2x + 2(9 x) x2 (9 x)2 =

61 + 18x 2x2 with y [0, 9]. Thus f 0 (x, 9 x) = 18 4x = 0 means

x = 29 , and so y = 92 . Thus f ( 92 , 92 ) = 41

2 .

Thus, the maximum of f is f (1, 1) = 4, and the minima occur at the corners:

f (0, 9) = 61 = f (9, 0).

8.8

Lagrange Multipliers

w = f (x, y, z) with its domain restricted to some constraint. The following

examples show how to find such extreme values.

Example 8.8.1 Find the point P = (x, y, z) on the plane 2x + y z 5 = 0

closest to the origin.

256

Chapter 8.

enough to minimize w = f (x, y, z) = x2 + y 2 + z 2 subject to the constraint:

2x + y z 5 = 0. Solving this for z, we get z = g(x, y) = 2x + y 5. Thus

our problem is reduced to minimize

w = F (x, y) = f (x, y) = f (x, y, 2x + y 5) = x2 + y 2 + (2x + y 5)2 ,

where (x, y) = (x, y, 2x + y 5). Now, solve Fx = 2x + 2(2x + y 5)2 =

10x + 4y 20 = 0 and Fy = 2y + 2(2x + y 5) = 4x + 4y 10 = 0, to

get x = 35 , y = 65 . By the second derivative test, F ( 53 , 56 ) is the minimum,

since HF ( 53 , 56 ) = 24 > 0 and Fxx = 10 > 0. Since z = 2x + y 5 = 65 ,

P = ( 35 , 56 , 65 ).

R3 , which can be expressed in various ways, and so the functional value

w = f (x, y, z) usually changes in different rate depending on what dependent

variables we choose, as the following example shows one has to specify what

the dependent variables are.

2

2

2

Example 8.8.2 Find w

x of w = f (x, y, z) = x + y + z subject to a

2

2

constraint x + y z = 0.

Solution: (1) If we choose x, y as independent variables and z as a dependent variable, then z = g(x, y) = x2 + y 2 , and so w = f (x, y) =

f (x, y, g(xy)) with (x, y) = (x, y, g(x, y)). Thus

1 0

1 0

h

i

w

w

fx fy fz 0 1 = 2x 2y 2z 0 1

=

x

y

gx gy

2x 2y

2

2

2

2

2x + 4x(x + y ) 2y + 4y(x + y ) .

=

(2) If we choose x, z as

independent variables and y as a dependent variable, then y = h(x, x) = z x2 , and so w = f (x, z) = f (x, h(x, z), z) =

x2 + (z x2 ) + z 2 = z + z 2 . Thus

w

= 0.

x

(3) A geometrical interpretation: The level surface x2 + y 2 z = 0 is

the paraboloid as the following picture. When the x-coordinate of a point P

on the paraboloid varies, while holding y(= 0), as an independent variable,

fixed, P moves along the parabola z = x2 . Thus w as the distance from the

3

2

origin to P changes so that w

x = 2x + 4x + 4xy 6= 0.

8.8.

Lagrange multipliers

257

P

z=

x)

c = x2 + y 2

x2

zy

on the paraboloid varies, while holding z, as an independent variable, fixed,

then P moves along the circle c = x2 + y 2 . Hence the distance w from the

x = 0.

Example 8.8.3 Find the point P = (x, y, z) on the hyperbolic cylinder

x2 z 2 1 = 0 closest to the origin.

Solution: Again, to minimize the distance from the origin to a point P , it

is good enough to minimize w = f (x, y, z) = x2 + y 2 + z 2 subject to the

constraint: g(x, y, z) = x2 z 2 1 = 0.

Note that the constraint g(x, y, z) = 0 describes a level surface S in

3

R . On the other hand, f (x, y, z) = c2 is also a level surface, which is the

sphere of radius c centered at the origin, so that the points on this sphere

are at the same distance from the origin. As the the radius increases, when

the sphere touches the hyperbolic cylinder, the point of contact will be the

closest point on the hyperboloid to the origin. At this contact point, the

two surface will be tangent to each other and so their normal vectors will be

parallel to each other. But those normal vector are just the gradient vectors

since the surfaces are level surface and the gradients are normal to the level

surfaces. Hence, at contact point P , we can write

f (P ) = g(P ), for some R.

In our problem,

f (P ) = (2x, 2y, 2z) = (2x, 0, 2z) = g(P ),

or 2x = 2x, 2y = 0, 2z = 2z.

Since P S, x 6= 0. Thus from the first equation, = 1. Then 2z = 2z

shows z = 0. Hence P = (x, 0, 0) and it has to be P S: i.e., 1 = x2 z 2 =

x2 , or x = 1. Thus, P = (1, 0, 0).

258

Chapter 8.

and (t) = (x(t), y(t), z(t)) : C U a smooth curve in U. If f has a local

extremum at P0 = (t0 ) C relative its values on C, then f (P0 ) C, or

f (P0 ) 0 (t0 ) = 0.

Proof: Note that F (t) = (f )(t) = f (x(t), y(t), z(t)) has local extremum

at t0 means that

d

Ft = f (P0 ) 0 (t0 ) = 0.

dt 0

Suppose that w = f (x, y, z) and g(x, y, z) are differentiable functions on

U , and suppose that w = f (x, y, z) has a local extremum at P0 on the level

surface g(x, y, z) = 0 relative to its values on the surface. Then f takes on

a local extremum at P0 relative to its values on every differentiable curve

through P0 on the surface g(x, y, z) = 0. Therefore, f (P0 ) is orthogonal

to the velocity vector of every curve on the surface through P0 . Since g is

orthogonal to the level surface g(x, y, z) = 0, we must have

f (P0 ) = g(P0 ), for some R.

is called a Lagrange multiplier, and this is called the method of Lagrange multipliers.

Example 8.8.4 Find the extremum values of z = f (x, y) = xy subject to

2

2

C : x8 + y2 = 1.

Solution: For f (x, y) = (y, x) and g(x, y) = ( x4 , y), f (x, y) = g(x, y)

gives

1

1

y = x, x = y = y = 2 y.

4

4

Thus, y = 0 or = 2. However, y 6= 0, otherwise x = 0 = 0 but

(0, 0) 6 C. Thus y 6= 0 and = 2 means x = 2y. Then from the

constraint:

x2 y 2

0=

+

1 = y 2 1 = y = 1, x = 2.

8

2

In fact, f (2, 1) = 2 is the maximum and f (2, 1) = 2 is the minimum.

subject to two constraints: g1 (x, y, z) = 0 and g2 (x, y, z) = 0 with g1

8.8.

Lagrange multipliers

259

g2 . In this case, it can also be found by introducing two Lagrange multipliers 1 and 2 : Find the values x, y, z, 1 , and 2 from the following

equations

f = 1 g1 + 2 g2 ,

g1 (x, y, z) = 0, g2 (x, y, z) = 0.

smooth curve C, and we are looking for points on the curve C where f takes

local extrema relative to its values on the curve. These are the points where

f is orthogonal to C. Since g1 and g2 are both orthogonal to C, f

lies in the plane spanned by g1 and g2 : i.e., f = 1 g1 + 2 g2 for

some 1 and 2 .

g2 = 0

g1

P0

f

- g2

g1 = 0

Example 8.8.5 Find the points closest to the origin subject to two constraints g1 (x, y, z) = x + y + z = 1 and g2 (x, y, z) = x2 + y 2 = 1.

z

x+y+z =1

(1, 0, 0)

(0, 1, 0)

j y

x

x2

y2

=1

want to find extreme values of f (x, y, z) = x2 + y 2 + z 2 on the ellipse, we

260

Chapter 8.

solve

f (x, y, z) = 1 g1 (x, y, z) + 2 g2 (x, y, z)

or (2x, 2y, 2z) = 1 (1, 1, 1) + 2 (2x, 2y, 0),

or 2x = 1 + 22 x, 2y = 1 + 22 y, 2z = 1 .

Thus, (1 2 )x = z and (1 2 )y = z, and so 2 = 1 and z = 0, or 2 6= 1

z

.

and x = y = 1

2

If z = 0, then 1 = 0, and from the constraints, x+y = 1 and x2 +y 2 = 1.

Thus, 0 = x2 + (1 x)2 1 = 2x(x 1) shows x = 0 and y = 1, or x = 1

and y = 0. Hence, at (0, 1, 0) and (1, 0, 0), f = 1 is the minimum.

If x = y, then, from the constraints, 2x+ z = 1 or z = 1 2x, and

and

x2 + y 2 = 2x2 = 1 or x = 12 : z = 1 2. Hence at ( 12 , 12 , 1 2)

(0, 1, 0) and (1, 0, 0) on the ellipse.

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