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Intro to calc

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4 просмотров113 страницIntro to calc

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1 Real Numbers

There are two ways to introduce the real numbers. The …rst is to give them

in an axiomatic way, the second is to construct them starting from the natural

numbers. We will use the …rst method.

The real numbers are a set R with two binary operations, addition

+:R R!R

(x; y) 7! x + y

and multiplication

:R R!R

(x; y) 7! x y

(A2 ) for every a; b; c 2 R, (a + b) + c = a + (b + c),

(A3 ) there exists a unique element in R, called zero and denoted 0, such

that 0 + a = a + 0 = a for every a 2 R,

(A4 ) for every a 2 R there exists a unique element in R, called the opposite

of a and denoted a, such that ( a) + a = a + ( a) = 0,

(M )

(M2 ) for every a; b; c 2 R, (a b) c = a (b c),

(M3 ) there exists a unique element in R, called one and denoted 1, such

that 1 6= 0 and 1 a = a 1 = a for every a 2 R with a 6= 0,

(M4 ) for every a 2 R with a 6= 0 there exists a unique element in R, called

the inverse of a and denoted a 1 , such that a 1 a = a a 1 = 1,

(O2 ) for every a; b; c 2 R if a b and b c, then a c,

(O3 ) for every a; b 2 R if a b and b a, then a = b,

(O4 ) for every a 2 R we have a a,

1

(AM ) for every a; b; c 2 R, a (b + c) = (a b) + (a c),

(AO) for every a; b; c 2 R if a b, a + c b + c,

(M O) for every a; b 2 R if 0 a and 0 b, then 0 a b,

(S) (supremum property)

Remark 1 Properties (A), (M ), (O), (AM ), (AO), (M O), and (S) completely

characterize the real numbers in the sense that if (R0 ; ; ; 4) satis…es the same

properties, then there exists a bijection T : R ! R0 such that T is an isomor-

phism between the two …elds, that is,

for all a; b 2 R, and a b if and only if T (a) 4 T (b). Hence, for all practical

purposes, we cannot distinguish R from R0 .

Exercise 2 Using only the axioms (A), (M ), (O), (AO), (AM ) and (M O) of

R, prove the following properties of R:

(ii) if a 0 then a 0,

(iii) if a b and c < 0 then ac bc,

(iv) for every a 2 R we have a2 0,

(v) 1 > 0.

(ii) E is said to be bounded from above if it has at least an upper bound;

(iii) if E is bounded from above, the least of all its upper bounds, if it exists, is

called the supremum of E and is denoted sup E.

(iv) E has a maximum if there exists L 2 E such that x L for all x 2 E.

We write L = max E.

has a supremum in R.

bounded from above always exists in R. We will see that this is not the case for

the rationals numbers.

2

Remark 4 (i) Note that if a set has a maximum L, then L is also the supre-

mum of the set.

(ii) If E R is a set bounded from above, to prove that a number L 2 R is

the supremum of E, we need to show that L is an upper bound of E, that

is, that x L for every x 2 E, and that any number s < L cannot be an

upper bound of E, that is, that there exists x 2 E such that s < x.

E and so E is bounded from above. We claim that 1 is the supremum of the set

E. To see this, let y 2 R with y < 1. We need to prove that y is not an upper

bound of the set E, that is, we need to show that there are elements in the set E

that are larger than y. Take x := 1+y

2 . Since y < 1, we have that 1 + y < 1 + 1,

and so 1+y2 < 1. Thus x belongs to E. On the other hand, x = 1+y 2 > y, and

so y is not an upper bound of E. This shows that 1 = sup E. Note that 1 does

not belong to the set E and so the set E has no maximum.

(ii) E is said to be bounded from below if it has at least a lower bound;

(iii) if E is bounded from below, the greatest of all its lower bounds, if it exists,

is called the in…mum of E and is denoted inf E;

write ` = min E.

Remark 7 (i) Note that if a set has a minimum `, then ` is also the in…mum

of the set.

(ii) If E R is a set bounded from below, to prove that a number ` 2 R is

the in…mum of E, we need to show that ` is a lower bound of E, that is,

that ` x for every x 2 E, and that any number ` < s cannot be a lower

bound of E, that is, that there exists x 2 E such that x < s.

2 Natural Numbers

De…nition 8 A set E R is called an inductive set if it has the following

properties

R are all inductive sets.

3

De…nition 10 The set of the natural numbers N is de…ned as the intersection

of all inductive sets of R.

Note that N is nonempty, since 1 belongs to every inductive set, and so also

to N. We also de…ne

N0 = N [ f0g :

Example 11 The number 12 is not a natural number. Indeed, [1; 1) is an

inductive set and 21 does not belong to E, so 21 cannot belong to N. Also 32 is not

a natural number. Indeed, the set E = f1g [ fn 2 N : n 2g is an inductive

set that does not contain 23 . Hence, 32 cannot be a natural number.

Proposition 12 The set N is an inductive set.

Proof. We already know that 1 belongs to N. If x belongs to N, then it belongs

to every inductive set E but then, since E is an inductive set, it follows that

x+1 belongs E. Hence, x+1 belongs to every inductive set, and so by de…nition

of N, we have that x + 1 also belongs to N.

The next result is very important.

Theorem 13 (Principle of mathematical induction) Let fpn g, n 2 N, be

a family of propositions such that

(i) p1 is true,

(ii) if pn is true for some n 2 N, then pn+1 is also true.

Then pn is true for every n 2 N.

Proof. Let E := fn 2 N such that pn is trueg. Note that E N. It follows

by (i) and (ii) that E is an inductive set, and so E contains N (since N is the

intersection of all inductive sets). Hence, E = N.

Wednesday, January 14, 2015

If x 2 R and n 2 N, we de…ne

xn := x x:

n tim es

The following will be used later on.

Exercise 14 Let x 1. Prove that

n

(1 + x) 1 + nx (1)

for every n 2 N.

Exercise 15 Prove that

n (n + 1)

1+ +n= (2)

2

for every n 2 N

4

Exercise 16 Let x 6= 1. Prove that

xn+1 1

1+x + xn =

x 1

for all n 2 N.

number n! is called the factorial of n. For n 2 N and k 2 N0 , we de…ne

n n!

:= :

k k! (n k)!

j

Exercise 17 Let j; k 2 N and a 2 R. Given the function f (x) = (x + a) ,

prove that

8

k

d f < 0 if k > j;

j k

(x) = j (j 1) (j k + 1) (x + a) if k < j;

dxk :

k! if k = j:

n n n+1

+ = :

k k 1 k

n

X

n n k n k

(x + y) = x y :

k

k=0

then we can conclude that pn is true for all n 2 N with n n0 . To see this,

it is enough to de…ne

nn > 2n n!

for all n > 6. Hint: Use the binomial theorem.

exists n 2 N such that na > b.

5

Proof. If b 0, then n = 1 will do. Thus, assume that b > 0. Assume by

contradiction that na b for all n 2 N and de…ne the set

E = fna : n 2 Ng :

Then the set E is nonempty and has an upper bound, b. By the supremum

property, there exists L = sup E. Hence, for every m 2 N, we have that

(m + 1) a L, or, equivalently, ma L a for all m 2 N. But this shows that

L a is an upper bound of E, which contradicts the fact that L is the least

upper bound.

In the previous section we have de…ned the natural numbers. Note that

(N; +; ; ) does not satisfy properties (A3 ), (A4 ), and (M4 ). In particular, we

cannot subtract two numbers a; b 2 N unless, a b + 1. For this reason, we

de…ne the set of integers Z as follows

Z := f n : n 2 Ng [ f0g :

The next result is left as an exercise.

Corollary 22 (The integer part) Given a real number x 2 R, there exists

an integer k 2 Z such that k x < k + 1.

De…nition 23 Given a real number x 2 R, the integer k given by the previous

corollary is called the integer part of x and is denoted bxc. The number x bxc

is called the fractional part of x and is denoted frac x (or fxg). Note that

0 frac x < 1.

Exercise 24 Prove that every nonempty subset of the natural numbers has a

minimum.

Property

Now (Z; +; ; ) satis…es properties (A3 ), (A4 ), but not (M4 ). To resolve this

issue, we introduce the set of rational numbers Q de…ned by

p

Q := : p; q 2 Z; q 6= 0 ;

q

where pq := p q 1 . Then (Q; +; ; ) satis…es properties (A), (M ), (O), (AM ),

(AO), (M O). So, what’s wrong? We will see that the rational numbers do not

satisfy the supremum property.

Theorem 25 There does not exist a rational number r such that r2 = 2.

Proof. Exercise. p

Thus in the set of rational numbers the square root r is not de…ned, in

general.

This follows from the Archimedean Property.

6

Corollary 26 (Density of the rationals) If a; b 2 R with a < b, then there

exists r 2 Q such that a < r < b.

b) there exists q 2 N such that 0 < b 1 a < q. By the previous corollary there

exists an integer p 2 Z such that

p qa < p + 1: (3)

1

Multiplying by q > 0 gives

p+1

a< < b:

q

p+1

It su¢ ces to de…ne r := q .

exists x 2 R n Q such that a < x < b.

p p

Proof. Since a < b, we have that

p 2a < p2b. By the density of the rationals,

there exists r 2 Q such that 2a < r < 2b. Without loss of generality, we

may assume that r 6= 0 (why?). Hence, a < pr2 < b. Since pr2 is irrational

(why?), the result is proved.

Proof. We need a nonempty set E Q bounded from below but for which

there exists no supremum in Q. De…ne

is an upper bound.

Let’s prove that if y 2 Q n E and y > 0, then y is an upper bound of E.

Indeed, let x 2 E. If x > 0, then x2 < 2 < y 2 , which, since y > 0, implies that

x < y (why?).

Assume by contradiction that there exists L 2 Q such that L = sup E. It

cannot be L 0, since 1 2 E and 1 > 0. Hence, L > 0. Let’s prove that it

cannot be L2 < 2.

Choose n 2 N so large that n > 22L+1

L2 . Then

2

1 1 2L 1 2L 2L + 1

L+ = L2 + + < L2 + + = L2 + < 2;

n n2 n n n n

7

by the choice of n. Hence, L + n1 belongs to E, which contradicts the fact that

L is an upper bound of E. Similarly, taking L n1 , for n large, we can show

2

that L n1 > 2 and L n1 > 0, which, by what we proved before, shows

that L n1 is an upper bound of E. This contradicts the fact that L is the least

upper bound of E. Hence, it cannot be L2 > 2, Thus, L2 = 2, which is again a

contradiction by Theorem 25.

The set R n Q is called the set of irrational numbers.

Proof. Take

E := x 2 R : 0 < x and x2 < 2 :

Exactly as in the previous proof, we have that E is nonempty and bounded

from above. Hence, by the supremum property there exists L 2 R such that

L = sup E. It follows as in the previous proof that L2 = 2, and so L belongs to

R n Q. p

The number L is denoted 2 and called square root of 2.

Friday, January 16, 2015

Similarly, for every n 2 N with n even and every x 2 R with x 0, we can

show that there exists a unique y 2 R with y 0 such that xn = y. On the

other hand, for every n 2 N with n odd and every x 2 R, we can show that

there exists a unique y 2 R such

p that xn = y.

The number y is denoted x and called n-th root of x.

n

want to de…ne the n-th root of x.

(ii) Prove that the set

E := frn : r 2 Q; r > 1g

does not have a minimum and that inf E = 1.

(iii) Given x > 0 consider the set

F := fy 2 R : y > 0; y n xg :

Prove that F is bounded from above and nonempty. Let ` := sup F . Prove

that `n = x.

If x 2 R and n 2 N, then

xn := x x:

n tim es

8

p

But what does it mean x 2 ? Or more generally, xa if a 2 R? To de…ne this, we

will assume that x > 0 (this is needed to preserve the properties of powers). If

n

a is positive and rational, say a = m , where m; n 2 N, then we de…ne

n p n

x m := m x :

n p p

Remark 31 Note that x m = m xn . Indeed, let y = m x. Then

m n

(y n ) = (y m ) = xn ;

p p n p

and so y n = m xn , that is, ( m x) = m xn .

n

If a is rational and negative, say a = m, where m; n 2 N, then we de…ne

n n

1 m

x m := x :

xr xs = xr+s ;

s r

(xr ) = (xs ) = xrs :

(ii) Prove that if r < s, then xr < xs .

De…ne

Q+ := fr 2 Q : r > 0g:

We are now ready to de…ne xa for a real. Assume that x > 1 and a > 0.

Consider the set

Ea := fxr : r 2 Q+ ; r < ag:

The set Ea is bounded from above and nonempty. We de…ne xa := sup Ea .

Theorem 34 Let a; b 2 R with a > 0 and b > 0 and let x 2 R with x > 1.

Then

xa xb = xa+b

Eb := fxs : s 2 Q+ ; s < bg;

Ea+b := fxt : t 2 Q+ ; t < a + bg;

and let `a = sup Ea , `b = sup Eb , and `a+b = sup Ea+b . Let’s prove that

`a `b `a+b :

9

If r 2 Q+ is such that r < a and s 2 Q+ is such that s < b, then r + s 2 Q+

and r + s < a + b. Hence,

xr xs = xr+s `a+b :

Fix s 2 Q+ with s < b and divide by xs . Then

`a+b

xr

xs

`a+b

for all r 2 Q+ with r < a. This shows that the number xs is an upper bound

for the set Ea . Hence,

`a+b

`a :

xs

Now rewrite this inequality as

`a+b

xs :

`a

Recall that s 2 Q+ with s < b. Since the previous inequality is true for all such

s, it shows that the number `a+b

`a is an upper bound for the set Ea . Hence,

`a+b

`b :

`a

Thus, we have proved that

`a `b `a+b :

Next let’s prove that

`a+b `a `b :

Consider t 2 Q with t < a + b. We want to …nd p; q 2 Q+ with t < p + q,

+

p < a and q < b. Since t a < b, by the density of the rationals there exists

q 2 Q such that t a < q < b. Since b > 0 we can assume that q > 0 (if not

apply the density of the rationals once more). Since t a < q we have that

t q < a and so again by the density of the rationals there exists p 2 Q such

that t q < p < a. Again, since a > 0 we can assume that p > 0 (if not apply

the density of the rationals once more). Thus, t < p + q and so by Exercises 32

and 33,

xt < xp+q = xp xq `a `b :

Since this is true for all t 2 Q+ with t < a + b we have that `a `b is an upper

bound of the set Ea+b and so `a+b `a `b .

If 0 < x < 1, we set

a

xa := x 1 :

Exercise 35 Let x > 0 and a; b 2 R. Prove that

b a

(xa ) = xb = xab :

b

Hint: It is enough to show (xa ) = xab . Consider …rst the case in which a is

real and b is rational.

10

Monday, January 19, 2015

MLK day, no classes.

Wednesday, January 21, 2015

Given a number x 2 R, the absolute value of x is the number

+x if x 0;

jxj :=

x if x < 0:

The absolute value satis…es the following properties, which are left as as exercise.

(ii) j xj = jxj for all x 2 R,

(iii) if y 0 and x 2 R, then jxj y if and only if y x y,

(iv) jxj x jxj for all x 2 R,

(iii) jxyj = jxj jyj for all x; y 2 R,

(iv) jx + yj jxj + jyj for all x; y 2 R.

De…nition 37 A vector space, or linear space, over R is a nonempty set X,

whose elements are called vectors, together with two operations, addition and

multiplication by scalars,

X X!X R X!X

and

(x; y) 7! x + y (t; x) 7! tx

(b) x + (y + z) = (x + y) + z for all x; y; z 2 X (associative property),

(c) there is a vector 0 2 X, called zero, such that x + 0 = 0 + x = x for

all x 2 X,

(d) for every x 2 X there exists a vector in X, called the opposite of x

and denoted x, such that x + ( x) = 0,

(b) 1x = x,

11

(c) s (x + y) = (sx) + (sy),

(d) (s + t)x = (sx) + (tx).

Remark 38 Instead of using real numbers, one can use a …eld F . For most

or our purposes the real numbers will su¢ ce. From now on, whenever we don’t

specify, it is understood that a vector space is over R.

Example 39 Some important examples of vector spaces over R are the follow-

ing.

of real numbers. The elements of RN are called vectors or points. The

Euclidean space is a vector space with the following operations

(ii) The collection of all polynomials p : R ! R.

(iii) The space of continuous functions f : [a; b] ! R.

bounded from above if the set

f (E) := fy 2 R : y = f (x) ; x 2 Eg

is bounded from above. We say that f is bounded from below if the set f (E)

is bounded from below. Finally, we say that f is bounded if the set f (E) is

bounded. We write

E E

Prove that X is a vector space.

of [a; b] is a …nite set P := fx0 ; : : : ; xn g [a; b], where

is ( n )

X

Var f := sup jf (xi ) f (xi 1 )j ;

i=1

where the supremum is taken over all partitions P := fx0 ; : : : ; xn g of [a; b], and

all n 2 N. A function f : [a; b] ! R has …nite or bounded pointwise variation

if Var f < 1. The space of all functions f : [a; b] ! R of bounded pointwise

variation is denoted by BP V ([a; b]).

12

Exercise 42 Prove that BP V ([a; b]) is a vector space.

function

(; ):X X!R

such that

(ii) (x; y) = (y; x) for all x; y 2 X (symmetry);

(iii) (sx + ty; z) = s (x; z)+t (y; z) for all x; y; z 2 X and s; t 2 R (bilinearity).

product ( ; ).

x y := x1 y1 + + xN yN ;

(ii) Consider the space of X of all integrable functions f : [a; b] ! R. Then

Z b

(f; g) := f (x) g (x) dx

a

a+b

is not an inner product. Indeed, if f (x) = 0 for all x 2 [a; b], x 6= 2 and

Rb

f a+b

2 = 1, then a f 2 (x) dx = 0 but f is not 0.

To …x this problem one can take X to be the space of all continuous func-

tions f : [a; b] ! R. Then

Z b

(f; g) := f (x) g (x) dx

a

is an inner product.

k k : X ! [0; 1)

such that

13

(i) kxk = 0 implies x = 0;

(ii) ktxk = jtj kxk for all x 2 X and t 2 R;

(iii) kx + yk kxk + kyk for all x; y 2 X.

A normed space (X; k k) is a vector space X endowed with a norm k k. For

simplicity, we often say that X is a normed space.

Example 46 Some important examples of norms are the following.

(i) Consider the space R. By Theorem 36, the absolute value is a norm.

(ii) Consider the Euclidean space RN , then

p p

kxk := x x = (x1 )2 + + (xN )2 ;

where x = (x1 ; : : : ; xN ), is a norm. We will prove this below.

Exercise 47 Given a set E, consider the vector space X := ff : E ! R boundedg.

For f 2 X, de…ne

kf k := sup jf j :

E

Prove that k k is a norm.

Given an inner product ( ; ) : X X ! R on a vector space X, it turns out

that the function p

kxk := (x; x); x 2 X; (5)

is a norm. This follows from the following result.

Proposition 48 (Cauchy–Schwarz’s inequality) Given an inner product ( ; ) :

X X ! R on a vector space X,

j(x; y)j kxk kyk

for all x; y 2 X.

Proof. If y = 0, then both sides of the previous inequality are zeros, and so

there is nothing to prove. Thus, assume that y 6= 0 and let t 2 R. By properties

(i)-(iii),

2 2

0 (x + ty; x + ty) = kxk + t2 kyk + 2t (x; y) : (6)

Taking

(x; y)

t := 2

kyk

in the previous inequality gives

2 2

2 (x; y) 2 (x; y)

0 kxk + 4 kyk 2 2 ;

kyk kyk

or, equivalently,

2 2 2

(x; y) kxk kyk :

It now su¢ ces to take the square root on both sides.

14

Remark 49 It follows from the proof that equality holds in the Cauchy–Schwarz

inequality if and only you have equality in (6), that is, if x + ty = 0 for some

t 2 R or y = 0.

the function p

kxk := (x; x); x 2 X;

is a norm.

Taking t = 1 in (6) and using the Cauchy–Schwarz inequality gives

2 2 2

0 kx + yk = kxk + kyk + 2 (x; y)

2 2 2

kxk + kyk + 2 kxk kyk = (kxk + kyk) ;

which is the triangle inequality for the norm. Moreover, by properties (ii) and

(iii) for every t 2 R,

p p p p

ktxk = (tx; tx) = t (x; tx) = t (tx; x) = t2 (x; x) = jtj kxk :

Thus k k is a norm.

kxk1 := jx1 j + + jxN j ;

p p 1=p

kxkp := (jx1 j + + jxN j ) ;

space. Then there exists an inner prod-

uct ( ; ) : X X ! R such that kxk = (x; x) for all x 2 X if and only if k k

satis…es the parallelogram law

2 2 2 2

kx + yk + kx yk = 2 kxk + 2 kyk

for all x; y 2 X.

kf k := sup jf j :

[0;1]

15

Let’s prove that k k does not satsify the parallelogram law. Take f (x) = x2

and g(x) = x. Then

1

sup jf + gj = sup j x2 + xj = max(x x2 ) = ;

[0;1] [0;1] [0;1] 4

2

sup jf gj = sup j x xj = max(x2 + x) = 2;

[0;1] [0;1] [0;1]

2

[0;1] [0;1] [0;1]

[0;1] [0;1] [0;1]

and so

!2 !2

1

sup jf + gj + sup jf gj = +4=

[0;1] [0;1] 16

!2 !2

6= 2 sup jf j + 2 sup jgj

[0;1] [0;1]

= 2 + 2:

Example 54 In RN the norm k k1 does not satsify the parallelogram law. Take

x = (1; 1; 0; : : :), y = (1; 1; 0; : : :). Then x+y = (2; 0; : : :), x y = (0; 2; 0; : : :).

Hence,

2 2

kx + yk1 + kx yk1 = 4 + 4 = 8

2 2

6= 2 kxk1 + 2 kyk1

= 2 + 2:

law. Take x = (1; 1; 0; : : :), y = (1; 1; 0; : : :). Then x + y = (2; 0; : : :), x y =

(0; 2; 0; : : :). Hence,

2 2

2 2

kx + yk`p + kx yk`p = (2p ) p + (2p ) p = 8

2 2

6= 2 kxk`p + 2 kyk`p

2 2 2

= 2 (1p + 1p ) p + 2 (1p + 1p ) p = 22+ p :

X ! R on a vector space X,

2 2 2 2

kx + yk + kx yk = 2 kxk + 2 kyk

for all x; y 2 X.

16

Proof. Taking t = 1 in (6), we get

2 2 2

kx + yk = kxk + kyk + 2 (x; y) ;

2 2 2

kx yk = kxk + kyk 2 (x; y) :

By adding these identities, we obtain the desired result.

Theorem 57 Let (X; k k) be a normed p

space. Then there exists an inner prod-

uct ( ; ) : X X ! R such that kxk = (x; x) for all x 2 X if and only if k k

satis…es the parallelogram law

2 2 2 2

kx + yk + kx yk = 2 kxk + 2 kyk

for all x; y 2 X.

Proof. In view of the previous two propositions, we only need to prove one

direction of the theorem. Assume that k k satis…es the parallelogram law. De…ne

1h 2 2

i

(x; y) := kx + yk kx yk

4

for all x; y 2 X. We claim that ( ; ) : X X ! R is an inner product.

Indeed,

1h 2 2

i

(x; x) := k2xk k0k = kxk 0

4

with the equality holding if and only if x = 0. Hence, property (i) holds.

Concerning property (ii), using the fact that k zk = j 1j kzk = kzk, we have

that

1h 2 2

i 1h

2 2

i

(y; x) = ky + xk ky xk = kx + yk kx yk = (x; y) :

4 4

Finally, by the parallelogram law,

2 2 2 2

ku + v + wk + ku + v wk = 2 ku + vk + 2 kwk ;

2 2 2 2

ku v + wk + ku v wk = 2 ku vk + 2 kwk :

Subtracting these identities and rewriting some of the terms, we get

2 2 2

k(u + w) + vk k(u + w) vk + k(u w) + vk

2 2 2

k(u w) vk = 2 ku + vk 2 ku vk ;

or, equivalently,

(u + w; v) + (u w; v) = 2 (u; v) :

x+y

Taking u = w gives (2u; v) = 2 (u; v). Given x; y; z 2 X, let u = 2 and

w = x 2 y and v = z. Then

x+y

(x; z) + (y; z) = 2 ;z = (x + y; z) :

2

To prove that (tu; v) = t (u; v) for t 2 R, we need …rst to prove it for t 2 N,

then for rationals, and then for reals. We leave it as an exercise.

17

De…nition 58 A metric on a set X is a map d : X X ! [0; 1) such that

(iii) d (x; y) d (x; z) + d (z; y) for all x; y; z 2 X (triangle inequality).

no possibility of confusion, we abbreviate by saying that X is a metric space.

d (x; y) := kx yk

is a metric.

and only if x y = 0, that is, x = y.

By property (ii) in De…nition 45, we obtain that

x y

d1 (x; y) := (7)

1 + jxj 1 + jyj

is a metric.

De…nition 61 Given a metric space (X; d), a point x0 2 X, and r > 0, the

ball centered at x0 and of radius r is the set

point x 2 E is called an interior point of E if there exists r > 0 such that

B (x; r) E. The interior E of a set E RN is the union of all its interior

points. A subset U X is open if every x 2 U is an interior point of U .

18

Example 63 Given a metric space (X; d), the ball B (x0 ; r) is open. To see this,

let x 2 B (x0 ; r). Then B (x; r d(x; x0 )) is contained in B (x0 ; r). Indeed, if

y 2 B (x0 ; r d(x; x0 )), then

Example 64 Some simple examples of sets that are open and of some that are

not.

x a > 0. Then B (x; r) (a; 1). Similarly, the set ( 1; a) is open.

(ii) The set (a; b) = fx 2 R : a < x < bg is open. Indeed, given a < x < b,

take r := min fb x; x ag > 0. Then B (x; r) (a; b).

(iii) The set (a; b] = fx 2 R : a < x bg is not open, since b belongs to the set

but there is no ball B (b; r) contained in (a; b].

1

U = R n f0g [ : n2N :

n

Let’s prove that U is open. If x < 0, take r = x > 0, then B (x; r) = ( 2x; 0)

1

U . If x > 1, take r = x 1, then B (x; r) = (1; 2x 1) U . If n+1 < x < n1 ,

n o

take r = min n1 x; x n+1 1 1

= n+1 , then B (x; r) U . Hence, U is open.

1

E =Rn : n2N :

n

Let’s prove that E is not open. The point x = 0 belongs to E, but for every

r > 0, by the Archimedean principle we can …nd n 2 N such that n > 1r , and

so 0 < n1 < r, which shows that n1 2 ( r; r). Since n1 does not belong to E, the

ball ( r; r) is not contained in E for any r > 0. Hence, E is not open.

The main properties of open sets are given in the next proposition.

In what follows by an arbitrary family of sets of RN we mean that there

exists a set I and a function

f : I ! P RN

2 I 7! f ( ) = U

Proposition 67 Given a metric space (X; d), the following properties hold:

19

(i) ; and X are open.

(ii) If Ui X, i = 1; : : : ; n, is a …nite family of open sets of X, then U1 \

\ Un is open.

S

(iii) If fU g is an arbitrary collection of open sets of X, then U is open.

and since Ui is open, there exists ri > 0 such that B (x; ri ) Ui . Take r :=

min fr1 ; : : : ; rn g > 0. Then

B (x; r) U1 \ \ Un ;

To prove (iii), let x 2 U := U . Then there is such that x 2 U and

since U is open, there exists r > 0 such that B (x; r) U U . This shows

that U is open.

Properties (i)–(iii) are used to de…ne topological spaces.

pair (X; ) is called a topological space if the following hold.

(i) ;; X 2 .

(ii) If Ui 2 for i = 1; : : : ; M , then U1 \ : : : \ UM 2 .

S

(iii) If fU g is an arbitrary collection of elements of , then U 2 .

Remark 69 The intersection of in…nitely many open sets is not open in gen-

1 1

eral. Take Un := n ; n for n 2 N. Then

1

\ 1 1

; = f0g ;

n=1

n n

but f0g is not open. Indeed, for every r > 0, the ball ( r; r) is not contained in

f0g.

in De…nition 62 is a a topology, called the Euclidean topology. Unless speci…ed,

in RN we will always consider the Euclidean topology.

Example 71 Given a nonempty set X, there are always at least two topologies

on X, namely,

1 = f;; Xg

(so according to 1, the only open sets are the empty set and X) and

2 = fall subsets of Xg

20

Exercise 72 Prove that in RN the norms

kxk`1 := jx1 j + + jxN j ;

p p 1=p

kxk`p := (jx1 j + + jxN j ) ;

hood of x is an open set containing x. Neighborhoods play the role of balls in

metric spaces. Thus, given a set E X, a point x 2 E is called an interior

point of E if there exists a neighborhood U of x such that U E.

(ii) E is given by the union of all open subsets contained in E; that is, E is

the largest (in the sense of union) open set contained in E,

(iii) E is open if and only if E = E ,

(iv) (E ) = E .

Example 75 Consider the set E = [0; 1). Then 0 is not an in interior point

of E, so E (0; 1). On the other hand, since (0; 1) is open and contained

in E, by part (ii) of the previous proposition, E (0; 1), which shows that

E = (0; 1).

E \ F = (E \ F ) ;

E [F (E [ F ) :

N

(iii) Let fE g be an arbitrary

T collection

T of sets of R . What S is the rela-

tion,

S if any, between (U ) and ( U ) ? And between (U ) and

( U ) ?

complement X n C.

The main properties of closed sets are given in the next proposition.

21

Proposition 78 Given a metric space (X; d), the following properties hold:

(ii) If Ci X, i = 1; : : : ; n, is a …nite family of closed sets of X, then C1 [

[ Cn is closed.

T

(iii) If fC g is an arbitrary collection of closed sets of X, then C is

closed.

an arbitrary collection of subsets of a set RN , then De Morgan’s laws are

!

[ \

Xn E = (X n E ) ;

!

\ [

Xn E = (X n E ) :

Remark 79 Note that the majority of sets are neither open nor closed. The

set E = (0; 1] is neither open nor closed.

denoted E, is the intersection of all closed sets that contain E

closed set that contains E. It follows by Proposition 78 that E is closed.

The proof of following proposition is left as an exercise.

and only if C = C.

Proposition 82 Given a metric space (X; d), let E X, and let x 2 X. Then

x 2 E if and only if B (x; r) \ E 6= ; for every r > 0.

Proof. Let x 2 E and assume by contradiction that there exists r > 0 such

that B (x; r) \ E = ;. Since B (x; r) is open and B (x; r) \ E = ;, it follows

that X n B (x; r) is closed and contains E. By the de…nition of E we have that

E X n B (x; r), which contradicts the fact that x 2 E.

Conversely, let x 2 X and assume that B (x; r) \ E 6= ; for every r > 0. We

claim that x 2 E. Indeed, if not, then x 2 X n E, which is open. Thus, there

exists B (x; r) X n E, which contradicts the fact that B (x; r) \ E 6= ;.

The previous proposition leads us to the de…nition of accumulation points.

an accumulation point, or cluster point of E if for every r > 0 the ball B (x; r)

contains at least one point of E di¤ erent from x. The set of all accumulation

points of E is denoted acc E.

22

Note that x does not necessarily belong to the set E.

r = n1 , n 2 N, there exists a sequence fxn g E with xn 6= x for all n 2 N

such that kxn xk < n1 ! 0. Thus fxn g converges to x. Conversely, if there

exists fxn g E with xn 6= x for all n 2 N such that kxn xk ! 0, then x is

an accumulation point of E.

It turns out that the closure of a set is given by the set and all its accumu-

lations points.

E = E [ acc E:

points.

Proof. Exercise.

E1 \ \ En E1 \ \ En ;

E1 [ [ En = E1 [ [ En :

(iii) Let fE g be an arbitrary collection of sets of RN . What is the relation, if

T T S S

any, between between U and U ? And between U and U ?

contained in a ball.

nitely many elements has at least one accumulation point.

The proof relies on a few preliminary results, which are of interest in them-

selves.

Lemma 89 Let f[an ; bn ]gn be a sequence of closed bounded intervals such that

[an ; bn ] [an+1 ; bn+1 ] for all n 2 N. Then the intersection

1

\

[an ; bn ]

n=1

is nonempty.

23

Proof. Since

we have that

a1 an an+1 ; (8)

b1 bn bn+1 : (9)

Let

A := fa1 ; : : : ; an ; : : :g :

By (8) and (9), for n 2 N,

an bn b1 :

Hence, A is bounded from above, and so by the supremum property, there exists

x := sup A 2 R and

an x

for all n 2 N. We claim that x bn for all n 2 N. If not, then there exists

m 2 N such that bm < x. Since x is the least upper bound of A, there exists

n 2 N such that bm < an . Find k m; n. Then by (8) and (9),

an ak bk bm ;

which is a contradiction.

T1 This proves the claim. Hence, x 2 [an ; bn ] for all

n 2 N, and so x 2 n=1 [an ; bn ].

Given N bounded intervals I1 ; : : : ; IN R, a rectangle in RN is a set of the

form

R := I1 IN :

If all the intervals have the same length, we call R a cube.

that Rn Rn+1 for all n 2 N. Then the intersection

1

\

Rn

n=1

is nonempty.

[an;k ; bn;k ] T[an+1;k ; bn+1;k ] for all n 2 N, and so by the previous lemma there

1

exists xk 2 n=1 [an;k ; bn;k ]. De…ne x = (x1 ; : : : ; xN ). Then x = T

(x1 ; : : : ; xN ) 2

1

[an;1 ; bn;1 ] [an;N ; bn;N ] = Rn for every n 2 N, and so x 2 n=1 Rn .

Monday, February 02, 2015

24

We are now ready to prove the Bolzano–Weierstrass theorem.

Proof of the Bolzano–Weierstrass theorem. Since E is bounded, it is

contained in ball, and in turn a ball is contained in a cube Q1 of side-length

`. Divide Q1 into 2N two closed cubes of side-length 2` . Since E has in…nitely

many elements, at least one of these 2N closed cubes contains in…nitely many

elements of E. Let’s call this closed interval Q2 . Then Q2 Q1 , and Q2

contains in…nitely many elements of E.

Divide Q2 into into 2N two closed cubes of side-length 2`2 . Since E has in-

…nitely many elements, at least one of these 2N closed cubes contains in…nitely

many elements of E. Let’s call this closed interval Q3 . By induction, we con-

struct a sequence of closed cubes Qn , n 2 N, with Qn Qn+1 , such that the

side-length of Qn is 2n` 1 and Qn contains

T1 in…nitely many elements of E. By the

previous lemma, there exists x 2 n=1 Qn . We claim that x is an accumulation

point of E.

Fix r > 0 and consider the ball B (x; r). We claim that for n su¢ ciently

large, Qn B (x; r). To see this, let y 2 Qn . Then

s

q 2

2 2 ` 2` p

ky xk = (y1 x1 ) + + (y1 x1 ) < N n 1

= n N

2 2

p

2` N

< 1 + n 2n ;

r

p

and so r > 22`n N , which proves the claim. Since Qn contains in…nitely many

elements of E, the same holds for B (x; r) and so x is an accumulation point of

E.

a boundary point of E if for every r > 0 the ball B (x; r) contains at least one

point of E and one point of X n E. The set of boundary points of E is denoted

@E.

(i) E = E [ @E,

(iii) @E = @ RN n E ,

(iv) @E = (RN n E) \ E.

25

6 Compactness

Exercise 93 Let K RN be closed and bounded. Prove that if E K has

in…nitely many elements, then E has an accumulation point that belongs to K.

T1 bounded, and closed. Assume that

Kn Kn+1 for all n 2 N. Prove that n=1 Kn is nonempty.

every

S open cover of K, i.e., for every collection fU g of open sets such that

U K, there exists a …nite subcover (i.e., a …nite subcollection of fU g

whose union still contains K).

1

Example 96 The set (0; 1] is not compact, since taking Un := n; 2 , a …nite

number of Un does not cover (0; 1].

Here the problem is that 0 does not belong to E. But what if E is closed?

Wednesday, February 04, 2015

Example 97 The set [0; 1) is not compact, since taking Un := ( 1; n), a …nite

number of Un does not cover [0; 1).

Theorem 98 Given a metric space (X; d), a compact set K X is closed and

bounded.

For every y 2 K consider the balls B (y; ry ) and B (x; ry ), where r := d(x;y)

4 .

These two balls do not intersect each other (why?). Then fB (y; ry )gy2K is an

open cover of K, and so there exist y1 ; : : : ; ym 2 K such that

m

[

K B (yi ; ryi ) :

i=1

Let r := minfry1 ; : : : ; rym g > 0. Then x 2 B(x; r) and the ball B(x; r) does not

intersect B (yi ; ryi ) for any i = 1; : : : ; m. Hence, B (x; r) is contained in X n K.

This shows that every point x of X n K is an interior point, and so X n K is

open.

To prove that K is bounded, consider a point x0 2 X and B (x0 ; n). The

family of balls fB (x0 ; n)gn2N covers the entire space X and in particular K.

By compactness K is contained in a …nite number of balls. Since the balls are

one contained into the other, we have that K is contained in the ball of largest

radius. Hence, K is bounded.

Remark 99 For a topological space (X; ) we can still prove that a compact set

K X is closed, provided the topological space X is a Hausdor¤ space, that is,

26

for every x and y 2 X, with x 6= y, there exist disjoint neighborhoods of x and

y.

A very simple example of a space that is not Hausdor¤ can be obtained by

considering a nonempty set X and taking as topology := f;; Xg. If X has at

least two elements, then any singleton fxg is compact but not closed.

There is a way to de…ne a notion of boundedness for special topological

spaces, called topological vector spaces.

S

Proof. Let fU g be a family of open sets such that U K and assume

by contradiction that no …nite subcover covers K. Since K is bounded, it is

contained in ball, and in turn a ball is contained in a cube Q1 of side-length `.

Divide Q1 into 2N two closed cubes of side-length 2` . If K \ Q0 is contained in

a …nite subcover for every such subcube, then K would be contained in a …nite

subcover. Hence, there exists at least one subcube Q1 such that K \ Q1 is not

contained in a …nite subcover of fU g .

By induction, we construct a sequence of closed cubes Qn , n 2 N, with Qn

Qn+1 , such that the side-length of Qn is 2n` 1 and K \ Qn Tis not contained in a

1

…nite subcover of fU g . By Exercise 94, there exists x 2 n=1 Qn \ K. Since

fU g covers K, there exists such that x 2 U . On the other hand, U is open,

and so there is a ball B (x; r) contained in U . As in the proof of the Bolzano–

Weierstrass theorem, we have that for n su¢ ciently large, Qn B (x; r) U ,

which contradicts the fact that K \ Qn is not contained in a …nite subcover of

fU g .

Remark 101 The previous theorem fails for in…nite dimensional normed spaces,

and so, in general, for in…nite dimensional metric spaces.

7 Functions

Given two sets X and Y consider a function f : E ! Y , where E X. The

set E is called the domain of f . When X = RM , if E is not speci…ed, then E

should be taken to be the largest set of x for which f (x) makes sense. This

means that:

If there are even roots, their arguments should be nonnegative. If there are

logarithms, their arguments should be strictly positive. Denominators should

be di¤erent from zero. If a function is raised to an irrational number, then the

function should be nonnegative.

Given a set F E, the set f (F ) = fy 2 Y : y = f (x) for some x 2 F g is

called the image of F through f .

Given a set G R, the set f 1 (G) = fx 2 E : f (x) 2 Gg is called the

inverse image or preimage of F through f . It has NOTHING to do with the

27

inverse function. It is just one of those unfortunate cases in which we use the

same symbol for two di¤erent objects.

The graph of a function is the set of X Y de…ned by

gr f = f(x; f (x)) : x 2 Eg :

A function f is said to be

bijective or invertible if it is one-to-one and onto. The function f 1 : F !

E, which assigns to each y 2 F = f (E) the unique x 2 E such that

f (x) = y, is called the inverse function of f .

8 Limits of Functions

De…nition 102 If (X; dX ) and (Y; dY ) are two metric spaces, E X, x0 2 X

is an accumulation point of E and f : E ! Y , we say that ` 2 Y is the

limit of f (x) as x approaches x0 if for every " > 0 there exists a real number

= ("; x0 ) > 0 with the property that

x!x0

Remark 103 Note that even when x 2 E, we cannot take x = x0 since in the

de…nition we require 0 < dX (x; x0 ).

let f : E ! R . We say that a number ` 2 RM is the limit of f (x) as x

N

approaches x0 if for every " > 0 there exists a real number = ("; x0 ) > 0

with the property that

kf (x) `k < "

for all x 2 E with 0 < kx x0 k < . We write

x!x0

is an accumulation point of E and f : E ! Y , we say that ` 2 Y is the limit

28

of f (x) as x approaches x0 if for every neighborhood V of ` there exists a

neighborhood U of x0 with the property that

f (x) 2 V

lim f (x) = `:

x!x0

Note that unless the space Y is Hausdor¤ , the limit may not be unique.

De…nition 106 If (X; dX ) and (Y; dY ) are two metric spaces, E X, and

f : E ! Y , given a subset F E we denote by f jF the restriction of the

function f to the set F , that is, the function f : F ! Y .

Remark 107 Let (X; dX ) and (Y; dY ) be two metric spaces, let E X, let

x0 2 X be an accumulation point of E and f : E ! Y . Assume that there exists

lim f (x) = `:

x!x0

Then for every " > 0 there exists a real number = ("; x0 ) > 0 with the

property that

dY (f (x) ; `) < " (10)

for all x 2 E with 0 < dX (x; x0 ) < . if F E is a subset such that x0 is an

accumulation point of F , then by restricting (10) we have that

lim f jF (x) = `:

x!x0

It follows that if we can …nd two sets F E and G E such that x0 2 acc F

and x0 2 acc G

lim f jF (x) = `1 6= `2 = lim f jG (x) ;

x!x0 x!x0

then by the uniqueness of the limit (which we will prove later), it follows that

the limit over E cannot exist.

xy

lim ;

(x;y)!(0;0) x2 + y 2

+y 2 and the domain is E = R n f(0; 0)g.

Note that (0; 0) is an accumulation point of E.

29

Taking F = f(x; x) : x 2 R n f0gg, we have that (0; 0) is an accumulation

point of F . For (x; x) 2 F we have

x2 1 1

f (x; x) = = !

x2 +x 2 2 2

as x ! 0, while taking G = f(x; 0) : x 2 R n f0gg, we have that (0; 0) is an

accumulation point of G. For (x; 0) 2 F we have

0

f (x; 0) = = 0 ! 0;

x2 +0

and so the limit does not exist.

xm y

lim ;

(x;y)!(0;0) x2 + y2

m

where m 2 N. In this case f (x; y) = xx2 +yy2 and the domain is R2 n f(0; 0)g.

p For pm 2, we have that the limit is 0. Indeed, using the fact that jxj =

x2 x2 + y 2 , we have

m m=2 1=2

xm y jxj jyj x2 + y 2 x2 + y 2 (m 1)=2

0 = = x2 + y 2 !0

x + y2

2 x2 + y 2 x + y2

2

Remark 110 Note that the degree of the numerator is m + 1 and the degree of

the denominator is 2, so that in this particular example the limit exists if the

degree of the numerator is higher than the degree of the denominator, that is, if

m + 1 > 2.

The next example shows that checking the limit on every line passing through

x0 is not enough to gaurantee the existence of the limit.

1 if y = x2 ; x 6= 0;

f (x; y) :=

0 otherwise.

Given the line y = mx, the line intersects the parabola y = x2 only in 0 and in

at most one point. Hence, if x is very small,

f (x; mx) = 0 ! 0

30

Theorem 112 Let (X; dX ) and (Y; dY ) be two metric spaces, let E X, let

x0 2 X be an accumulation point of E and f : E ! Y . If the limit

lim f (x)

x!x0

exists, it is unique.

Proof. Assume by contradiction that there exist

lim f (x) = ` and lim f (x) = L

x!x0 x!x0

with ` 6= L. Then dY (`; L) > 0. Fix 0 < " = 12 dY (`; L). Since limx!x0 f (x) = `,

there exists 1 > 0 with the property that

dY (f (x) ; `) < "

for all x 2 E with 0 < dX (x; x0 ) < 1, while, since limx!x0 f (x) = L, there

exists 2 > 0 with the property that

dY (f (x) ; L) < "

for all x 2 E with 0 < dX (x; x0 ) < 2 .

Take = min f 1 ; 2 g > 0 and take x 2 E with 0 < dX (x; x0 ) < . Note that

such x exists because x0 is an accumulation point of E. Then by the properties

of the distance,

dY (`; L) dY (f (x) ; `) + dY (f (x) ; L)

< " + " = dY (`; L);

which implies that dY (`; L) < dY (`; L). This contradiction proves the theorem.

Remark 113 For topological spaces in general the limit is not unique. Given

(X; X ) and (Y; Y ) are two topological spaces, E X, x0 2 X is an accumu-

lation point of E and f : E ! Y , it can be shown that the limit is unique if the

space Y is Hausdor¤ . A topological space Y is a Hausdor¤ space, if for every

x and y 2 Y , with x 6= y, there exist disjoint neighborhoods of x and y.

Exercise 114 Study the limit

x2 y

lim :

(x;y)!(0;0) x4 + y2

We now list some important operations for limits.

Theorem 115 Let (X; d) be a metric space, let E X, let x0 2 X be an

accumulation point of E. Given two functions f ; g : E ! RM , assume that

there exist

lim f (x) = `1 2 RM ; lim g (x) = `2 2 RM :

x!x0 x!x0

Then

31

(i) there exists lim (f + g) (x) = `1 + `2 ,

x!x0

x!x0

f (x)

(iii) if M = 1, `2 6= 0 and g(x) 6= 0 for all x 2 E, then there exists lim =

x!x0 g(x)

`1

.

`2

Wednesday, February 11, 2015

Proof. Parts (i) and (ii) are left as an exercise. We prove part (iii). Write

= =

g(x) `2 g(x)`2 g(x)`2

1

= j`2 (f (x) `1 ) + `1 (`2 g(x))j

jg(x)j j`2 j

1 1 j`1 j

jf (x) `1 j + jg(x) `2 j :

jg(x)j jg(x)j j`2 j

1

Thus we need to bound jg(x)j from above, or, equivalently, we need jg(x)j to

stay away from zero. Since `2 6= 0, taking " = j`22 j > 0, there exist 1 > 0 such

that

j`2 j

jg(x) `2 j

2

for all x 2 E with 0 < dX (x; x0 ) < 1 . Hence, using the inequality jaj

jbj jb aj,

j`2 j j`2 j

jg(x)j j`2 j jg(x) `2 j j`2 j =

2 2

for all x 2 E with 0 < dX (x; x0 ) < 1 . It follows that

f (x) `1 1 1 j`1 j

jf (x) `1 j + jg(x) `2 j

g(x) `2 jg(x)j jg(x)j j`2 j

2 2 j`1 j

jf (x) `1 j + jg(x) `2 j :

j`2 j j`2 j j`2 j

" j`2 j

jf (x) `1 j

4

for all x 2 E with 0 < dX (x; x0 ) < 2 and 3 > 0 such that

2

" j`2 j

jg(x) `2 j

4 (1 + j`1 j)

32

for all x 2 E with 0 < dX (x; x0 ) < 3. Then for all x 2 E with 0 < dX (x; x0 ) <

:= min f 1 ; 2 ; 3 g, we have that

f (x) `1 2 2 j`1 j

jf (x) `1 j + jg(x) `2 j

g(x) `2 j`2 j j`2 j j`2 j

" " j`1 j " "

+ + 1 = ":

2 2 1 + j`1 j 2 2

This completes the proof.

Remark 116 The previous theorem continues to hold if `1 ; `2 2 [ 1; 1], pro-

vided we avoid the cases 1 1, 01, 00 , 1

1.

Exercise 117 (Important) Let (X; dX ) and (Y; dY ) be two metric spaces, let

E X, let x0 2 X be an accumulation point of E and let f : E ! Y . Assume

that there exists ` 2 Y and a function g : [0; 1) ! R+ with

lim g(s) = 0;

s!0+

such that for every " > 0 there exists a real number = ("; x0 ) > 0 with the

property that

dY (f (x) ; `) < g(")

for all x 2 E with 0 < dX (x; x0 ) < . Prove that there exists

lim f (x) = `:

x!x0

Remark 118 (Important) The previous exercise says that we do not have to

be very precise when applying the de…nition of limit, in the sense that, if we can

prove that for every " > 0 there exists a real number = ("; x0 ) > 0 with the

property that

dY (f (x) ; `) < 4"1=2

for all x 2 E with 0 < dX (x; x0 ) < or

dY (f (x) ; `) < 4"3 + 16"

for all x 2 E with 0 < dX (x; x0 ) < or anything like that, then we know that

we can conclude that there exists

lim f (x) = `:

x!x0

Theorem 119 (Squeeze Theorem) Let (X; d) be a metric space, let E X,

let x0 2 X be an accumulation point of E. Given three functions f; g; h : E ! R,

assume that there exist

lim f (x) = lim g (x) = `:

x!x0 x!x0

and that f (x) h (x) g (x) for every x 2 E. Then there exists lim h (x) = `.

x!x0

33

Proof. Given " > 0 there exist 1 > 0 such that

jf (x) `j "

for all x 2 E with 0 < dX (x; x0 ) < 1 and 2 > 0 such that

jg (x) `j "

for all x 2 E with 0 < dX (x; x0 ) < 2. Then for all x 2 E with 0 < dX (x; x0 ) <

= min f 1 ; 2 g, we have that

Hence,

jh (x) `j "

for all x 2 E with 0 < dX (x; x0 ) < , which shows that lim h (x) = `.

x!x0

Example 120 The previous theorem can be used for example to show that for

a>0

1

lim jxja sin = 0:

x!0 x

Indeed,

1 1

0 jxja sin = jxja sin jxja

x x

and since jxja ! 0 as x ! 0 we can apply the squeeze theorem. We could also

used the following Exercise.

accumulation point of E. Given two functions f ; g : E ! RM , assume that

there exists

lim f (x) = 0;

x!x0

and that g is bounded, that is, kg (x)k L for all x 2 E and for some L > 0.

Then there exists lim (f g) (x) = 0.

x!x0

"

kf (x) 0k <

1+L

for all x 2 E with 0 < dX (x; x0 ) < . Hence, by the Cauchy–Schwarz’s inequal-

ity

"

j(f g) (x) 0j = j(f g) (x)j kf (x)k kg (x)k < L<"

1+L

for all x 2 E with 0 < dX (x; x0 ) < .

34

Exercise 122 Let (X; d) be a metric space, let E X, let x0 2 X be an

accumulation point of E. Given two functions f; g : E ! R, assume that there

exist

lim f (x) = `; lim g (x) = L

x!x0 x!x0

De…nition 123 Let (X; dX ), (Y; dY ) be metric spaces, let E X, and let

f : E ! Y . We say that f is continuous at x0 2 E if for every " > 0 there

exists a real number = ("; x0 ) > 0 such that for all x 2 E with dX (x; x0 ) <

we have

dY (f (x) ; f (x0 )) < ":

Theorem 124 Let (X; dX ), (Y; dY ), (Z; dZ ) be three metric spaces, let E X,

let x0 2 E be an accumulation point of E, and let F Y . Given two functions

f : E ! F and g : F ! Y , assume that there exist

lim f (x) = ` 2 Y;

x!x0

and that either ` is an accumulation point of F , there exists 1 > 0 such that

f (x) 6= ` for all x 2 E with 0 < dX (x; x0 ) < 1 , and there exists

lim g (y) = L 2 Z:

y!`

x!x0

Proof. Fix " > 0 and …nd = ("; `) > 0 such that

Since limx!x0 f (x) = `, there exists 2 = 2 (x0 ; ) > 0 such that

kf (x) `k <

We now distinguish two cases.

Case 1: Assume that f (x) 6= ` for all x 2 E with 0 < kx x0 k < 1 . Then

taking = min f 1 ; 2 g, we have that for all x 2 E with 0 < kx x0 k < ,

35

Hence, taking y = f (x), by (11), it follows that

kg (f (x)) Lk < "

for all x 2 E with 0 < kx x0 k < . This shows that there exists lim g (f (x)) =

x!x0

L.

Case 2: Assume that ` 2 F and g (`) = L. Let x 2 E with 0 < kx x0 k <

1. If f (x) = `, then g (f (x)) = L, and so

kg (f (x)) Lk = 0 < ";

while if f (x) 6= `, then taking y = f (x), by (11), it follows that

kg (f (x)) Lk < ":

Example 125 Let’s prove that the previous theorem fails without the hypotheses

that either f (x) 6= ` for all x 2 E near x0 or ` 2 F , L 2 R and g (`) = L.

Consider the function

1 if y 6= 0;

g (y) :=

2 if y = 0:

Then there exists

lim g (y) = 1:

y!0

x0 2 R, we have that

lim f (x) = 0:

x!x0

lim g (f (x)) = lim 2 = 2 6= 1;

x!x0 x!x0

Remark 126 One can use Theorem 124 to prove Theorem 115. Indeed, (f + g) (x)

is the composition of the function h1 : RM RM ! RM given by

h1 (s; t) := s + t

with the function F : E ! RM RM given by F (x) = (f (x) ; g (x)), while

(f g) (x) is the composition of the function h2 : RM RM ! R given by

h2 (s; t) := s t

f (x)

with the function F , while is the composition of the function h3 : R R!

g(x)

R given by

s

h3 (s; t) :=

t

with the function F where M = 1. Thus, to apply the theorem it is enough to

verify the continuity of the functions h1 , h2 , and h3 . This is left as an exercise.

36

Example 127 We list below some important limits.

lim = 1; lim 2

= ; lim = 1;

x!0 x x!0 x 2 x!0 x

a

(1 + x) 1 ex 1

lim = a for a 2 R; lim = 1:

x!0 x x!0 x

Note that the previous theorem can be used to change variables in limits.

log (1 + sin x)

lim :

x!0 x

For sin x 6= 0, we have

= = :

x x sin x sin x x

sin x

Since limx!0 x = 1, it remains to study

log (1 + sin x)

lim :

x!0 sin x

y and the function f (x) = sin x. As x ! 0,

we have that sin x ! 0 = `, while

log (1 + y)

lim = 1:

y!0 y

124 to conclude that

log (1 + sin x)

lim = 1:

x!0 sin x

In turn,

log (1 + sin x)

lim = 1:

x!0 x

Let E R and let f : E ! R. Then f is said to be

decreasing if f (x) f (y) for all x; y 2 E with x < y,

strictly decreasing if f (x) > f (y) for all x; y 2 E with x < y,

37

monotone if one of the four property above holds.

Monday, February 16, 2015

Midterm solutions.

Wednesday, February 18, 2015

Theorem 129 Let E R and let f : E ! R be a monotone function. If

x0 2 R is an accumulation point of E \ ( 1; x0 ), then there exists

supE\( 1;x0 ) f if f is increasing,

lim f (x) =

x!x0 inf E\( 1;x0 ) f if f is decreasing,

supE\(x0 ;1) f if f is decreasing,

lim f (x) =

x!x+

0

inf E\(x0 ;1) f if f is increasing.

f is increasing (the other cases are similar). There are two cases.

Case 1: The function f is bounded from above in E \ ( 1; x0 ). Hence,

there exists

sup f = ` 2 R:

E\( 1;x0 )

lim f (x) = `: (12)

x!x0

Let " > 0. Since ` is the supremum of f (E \ ( 1; x0 )), we have that f (x) `

for all x 2 E with x < x0 . On the other hand, since ` " is not an upper

bound for the set f (E \ ( 1; x0 )) there exists x1 2 E \ ( 1; x0 ) such that

` " < f (x1 ). But since f is increasing, for all x 2 E with x1 < x < x0 we have

that ` " < f (x1 ) f (x). Thus,

` " < f (x) `<`+"

for all x 2 E \ ( 1; x0 ) with x1 < x < x0 . Take := x0 x1 > 0. Then

jf (x) `j < " for all x 2 E \ ( 1; x0 ) with 0 < jx x0 j < . This proves (12).

Case 2: The function f is not bounded from above in E \ ( 1; x0 ). We

need to prove that there exists

lim f (x) = 1: (13)

x!x0

Let M > 0. Since the set f (E \ ( 1; x0 )) is not bounded from above there

exists x1 2 E \ ( 1; x0 ) such that f (x1 ) > M . But since f is increasing, for

all x 2 E with x1 < x < x0 we have that M < f (x1 ) f (x). Thus,

M < f (x)

for all x 2 E \ ( 1; x0 ) with x1 < x < x0 . Take := x0 x1 > 0. Then

f (x) > M for all x 2 E \ ( 1; x0 ) with 0 < jx x0 j < . This proves (13).

38

Remark 130 A similar result holds if E R and if f : E ! R.

tion f : E ! N.

is countable, then

[1

E= En

n=1

is countable. It can also be shown that R and the irrationals are NOT countable.

we have that the interval [x; y] is contained in I.

De…nition 134 Given a set X and a function f : X ! [0; 1] the in…nite sum

X

f (x)

x2X

is de…ned as

( )

X X

f (x) := sup f (x) : Y X; Y …nite :

x2X x2Y

X

f (x) < 1;

x2X

then the set fx 2 X : f (x) > 0g is countable. Moreover, f does not take the

value 1.

Proof. De…ne X

M := f (x) < 1:

x2X

Then X

1

number of elements of Y f (x) M;

k

x2Y

which shows that Y cannot have more than bkM c elements, where b c is the

integer part. In turn, Xk has a …nite number of elements, and so

1

[

fx 2 X : f (x) > 0g = Xk

k=1

is countable.

39

Exercise 136 Let f : [a; b] ! R be an increasing function. Prove that the set

of discontinuity points of f is countable.

Exercise 137 Given a nonempty set X and two functions f; g : X ! [0; 1].

X X X

(f (x) + g (x)) f (x) + g (x) :

x2X x2X x2X

(ii) If f g, then X X

f (x) g (x) :

x2X x2X

function. Then there exists

y!x

Proof. Step 1: Assume that I = [a; b] and, without loss of generality, that f

is increasing. For every x 2 (a; b) there exist

y!x+ y!x

at x if and only if S (x) = 0. Let J [a; b] be any …nite subset, and write

f (xk ) f+ (xk ) f (b) ;

and so,

X k

X

S (x) = (f+ (xi ) f (xi )) f (b) f (a) ;

x2J i=1

S (x) f (b) f (a) :

x2(a;b)

is at most countable.

40

Step 2: If I is an arbitrary interval, construct an increasing sequence of intervals

[an ; bn ] such that

an & inf I; bn % sup I:

Since the union of countable sets is countable and on each interval [an ; bn ] the

set of discontinuity points of f is at most countable, by the previous step it

follows that the set of discontinuity points of f in I is at most countable.

Friday, February 20, 2015

Let (X; d) be a metric space, let E X and let f : E ! R. Assume that

x0 2 X is an accumulation point of E. For every r > 0 de…ne

g(r) := inf f:

E\(B(x0 ;r)nfx0 g)

Note that g(r) is 1 if f is not bounded from below in E \ (B(x0 ; r) n fx0 g).

If r1 < r2 then g(r1 ) g(r2 ). Hence the function g : (0; 1) is decreasing. It

follows by Theorem 129 that there exists

lim g(r) = sup g = ` 2 R:

r!0+ (0;1)

lim inf f (x) or lim f (x):

x!x0 x!x0

h(r) := sup f:

E\(B(x0 ;r)nfx0 g)

Note that h(r) is 1 if f is not bounded from above in E \ (B(x0 ; r) n fx0 g).

If r1 < r2 then h(r1 ) h(r2 ). Hence the function h : (0; 1) is increasing. It

follows by Theorem 129 that there exists

lim h(r) = inf h = L 2 R:

r!0+ (0;1)

lim sup f (x) or lim f (x):

x!x0 x!x0

Assume that x0 2 X is an accumulation point of E. Then

lim inf f (x) lim sup f (x): (14)

x!x0 x!x0

lim inf f (x) = lim sup f (x) = `: (15)

x!x0 x!x0

41

Proof. Step 1: For every r > 0 we have

E\(B(x0 ;r)nfx0 g) E\(B(x0 ;r)nfx0 g)

there exist

lim+ g(r) = `; lim+ h(r) = L:

r!0 r!0

Step 2: Next we prove the second part of the statement. Assume that there

exists limx!x0 f (x) = ` 2 R. We consider here the case ` 2 R and leave the

cases ` = 1 and ` = 1 as an exercise. By the de…nition of limit, for every

" > 0 there exists > 0 such that

for all x 2 E with 0 < d(x; x0 ) < . The inequality ` " < f (x) for all

x 2 E with 0 < d(x; x0 ) < implies that ` " is a lower bound for the set

f (E \ (B(x0 ; ) n fx0 g)) and so

` " g( ) = inf f:

E\(B(x0 ; )nfx0 g)

r!0+ x!x0

On the other hand, the inequality f (x) < `+" for all x 2 E with 0 < d(x; x0 ) <

implies that ` + " is an upper bound for the set f (E \ (B(x0 ; ) n fx0 g)) and so

h( ) = sup f ` + ":

E\(B(x0 ; )nfx0 g)

r!0+ x!x0

x!x0 x!x0

But this is true for all " > 0. Hence, we can send " ! 0+ to get

x!x0 x!x0

42

which shows that (15) holds.

Step 3: Next assume that (15) holds. We need to prove that there exists

limx!x0 f (x) = ` 2 R. We consider here the case ` 2 R and leave the cases

` = 1 and ` = 1 as an exercise. Let " > 0. Since

x!x0 r!0 (0;1)

we have that ` " is not an upper bound for the function g. Hence, there exists

r1 > 0 such that

` " < g(r1 ) = inf f:

E\(B(x0 ;r1 )nfx0 g)

In turn,

` " < f (x)

for all x 2 E \ (B(x0 ; r1 ) n fx0 g), that is, for all x 2 E with 0 < d(x; x0 ) < r1 .

On the other hand, since

x!x0 r!0 (0;1)

we have that ` + " is not a lower bound for the function h. Hence, there exists

r2 > 0 such that

sup f = h(r2 ) < ` + ":

E\(B(x0 ;r2 )nfx0 g)

In turn,

f (x) < ` + "

for all x 2 E \ (B(x0 ; r2 ) n fx0 g), that is, for all x 2 E with 0 < d(x; x0 ) < r2 .

It is enough to take := minfr1 ; r2 g to conclude that for all x 2 E with

0 < d(x; x0 ) < ,

jf (x) `j < ";

which shows that there exists limx!x0 f (x) = `.

Monday, February 23, 2015

The next theorems are very useful in exercises.

Assume that x0 2 X is an accumulation point of E and that f is bounded from

above. Given ` 2 R we have that

x!x0

if and only if for every " > 0 there exists " > 0 such that

f (x) `+"

for all x 2 E with 0 < d(x; x0 ) < " and for every 0 < " there is some

x1 2 E with 0 < d(x1 ; x0 ) < such that

` " f (x1 ):

43

Proof. Exercise.

Exercise 141 Give a similar characterization for the case lim sup f (x) = 1.

x!x0

Assume that x0 2 X is an accumulation point of E and that f is bounded from

below. Given ` 2 R we have that

x!x0

if and only if for every " > 0 there exists " > 0 such that

` " f (x)

for all x 2 E with 0 < d(x; x0 ) < " and and for every 0 < " there is some

x1 2 E with 0 < d(x1 ; x0 ) < such that

f (x1 ) ` + ":

Proof. Exercise.

Exercise 143 Give a similar characterization in the case lim inf f (x) = 1.

x!x0

Theorem 144 Let (X; d) be a metric space, let E X, let f : E ! R and let

g : E ! R. Assume that x0 2 X is an accumulation point of E and that f and

g are bounded. Then

lim inf f (x) + lim inf g(x) lim inf (f (x) + g(x))

x!x0 x!x0 x!x0

x!x0 x!x0

lim sup(f (x) + g(x)) lim sup f (x) + lim sup g(x):

x!x0 x!x0 x!x0

x!x0 x!x0 x!x0

and

lim sup(f (x) + g(x)) = lim sup f (x) + lim g(x):

x!x0 x!x0 x!x0

Proof. Exercise.

Remark 145 The previous theorem continues to hold when f and g are not

bounded, provided we exclude the cases 1 + 1.

44

Example 146 In general all the inequalities in the previous theorem can be

strict. For example, if we take

1 if x 2 Q; 0 if x 2 Q;

f (x) = g(x) =

0 if x 2 R n Q; 1 if x 2 R n Q;

then

lim inf f (x) + lim inf g(x) = 0 + 0 < lim inf (f (x) + g(x)) = 1;

x!x0 x!x0 x!x0

lim sup(f (x) + g(x)) = 1 < 1 + 1 = lim sup f (x) + lim sup g(x):

x!x0 x!x0 x!x0

Theorem 147 Let (X; d) be a metric space, let E X, let f : E ! R and let

g : E ! R. Assume that x0 2 X is an accumulation point of E, that f and g

are bounded and that there exists limx!x0 g(x) = ` 2 R. If ` > 0, then

x!x0 x!x0 x!x0

and

lim sup(f (x)g(x)) = lim sup f (x) lim g(x):

x!x0 x!x0 x!x0

x!x0 x!x0 x!x0

and

lim sup(f (x)g(x)) = lim inf f (x) lim g(x):

x!x0 x!x0 x!x0

Remark 148 Note that if ` = 0, then there we can apply Exercise ?? to con-

clude that there exists

lim (f (x)g(x)) = 0:

x!x0

is called an isolated point of E if there exists > 0 such that

B (x0 ; ) \ E = fx0 g :

accumulation point of E.

We say that f is lower semicontinuous at x0 2 E \ acc E if

x!x0

point in E \ acc E.

45

Remark 151 If x0 2 E is not an accumulation point of E, then it is an isolated

point of E and so we cannot approach it with other points in E, thus it makes

no sense to talk about lim inf x!x0 f (x).

1 if x 2 E;

f (x) =

0 if x 2 R n E:

is said to be relatively open in E if there exists an open set U X such that

F = U \ E. A set G E is said to be relatively closed in E if there exists a

closed set C X such that G = C \ E.

compact and let f : K ! R be lower semicontinuous. Then there exists x0 2 K

such that

f (x0 ) = min f (x) :

x2K

Proof. Step 1: Let’s prove that for every t 2 R the set Kt := fx 2 K : f (x) > tg

is relatively open in K. Let x0 2 Kt . If x0 is an isolated point of K, then

there exists B(x0 ; r) such that K \ B(x0 ; r) = fx0 g. In turn, Kt \ B(x0 ; r) =

K \ B(x0 ; r).

On the other hand, if x0 is an accumulation point of K then

x!x0 r!0 K\B(x0 ;r)nfx0 g

If ` < 1 take " = ` t > 0. Then by the de…nition of limit there exists >0

such that

t=` "< inf f <`+"

K\B(x0 ;r)nfx0 g

for all r > 0 with 0 < r < . If ` = 1, then exists > 0 such that

t< inf f

K\B(x0 ;r)nfx0 g

Hence, in both cases there exists r > 0 such that

inf f > t;

K\B(x0 ;r)nfx0 g

which implies that for every x 2 K \ B(x0 ; r), f (x) > t, and so x belongs to

Kt , thus Kt \ B(x0 ; r) = K \ B(x0 ; r).

46

Step 2: Let

t := inf f (x) :

x2K

If the in…mum is not attained, then for every x 2 K we may …nd t < tx < f (x).

By the previous step the set fy 2 K : f (y) > tx g is relatively open and so there

exists an open set Ux such that

Ux \ K = fy 2 K : f (y) > tx g ; x 2 K:

Note that x 2 Ux . Hence, the family of open sets fUx gx2K is an open cover for

the compact set K, and so we may …nd a …nite cover Ux1 ; : : : ; Uxl of the set K.

But then for all x 2 K,

f (x) min txi > t = inf f (w) ;

i=1;:::;l w2K

Example 155 A lower semicontinuous function in general has no maximum.

To see this, take the function

x2 if x 6= 0;

f (x) =

1 if x = 0:

Then f is lower semicontinuous, sup f = 0 but there is no maximum.

We say that f is upper semicontinuous at x0 2 E \ acc E if

lim sup f (x) f (x0 ):

x!x0

point in E.

Exercise 157 Let (X; d) be a metric space, let K X be compact and let

f : K ! R be upper semicontinuous. Prove that there exists x0 2 K such that

f (x0 ) = max f (x) :

x2K

11 Continuity

We recall that

De…nition 158 Let (X; dX ), (Y; dY ) be metric spaces, let E X, and let

f : E ! Y . We say that f is continuous at x0 2 E \ acc E if there exists

lim f (x) = f (x0 ):

x!x0

and we write f 2 C (E) or f 2 C 0 (E).

47

Remark 159 If (X; X ) and (Y; Y ) are two topological spaces, E X, x0 2

E \ acc E, and f : E ! Y , we say that f is continuous at x0 if for every

neighborhood V of f (x0 ) there exists a neighborhood U of x0 with the property

that

f (x) 2 V

for all x 2 E with x 2 U .

Exercise 160 Prove that the functions sin x, cos x, xn , where n 2 N, are con-

tinuous.

The following theorems follows from the analogous results for limits.

Theorem 161 Let (X; d), be a metric space, let E X, and let x0 2 E. Given

two functions f , g : E ! R assume that f and g are continuous at x0 . Then

f

(ii) if g (x) 6= 0 for all x 2 E, then is continuous at x0 .

g

Example 162 In view of Exercise 160 and the previous theorem, the functions

sin x cos x

tan x = cos x and cot x = sin x are continuous in their domain of de…nition.

Theorem 163 Let (X; dX ), (Y; dY ), (Z; dZ ) be metric spaces, let E X, let

F Y , and let f : E ! F and g : F ! Z. Assume that f is continuous at x0

and that g is continuous at f (x0 ). Then g f : E ! Z is continuous at x0 .

is discontinuous at x0 ? Then x0 is an accumulation point of E. The following

situations can arise. It can happen that there exists

lim f (x) = ` 2 RM

x!x0

consider the function g : E ! RM de…ned by

f (x) if x 6= x0 ;

g (x) :=

` if x = x0 :

lim g (x) = ` = g (x0 ) ;

x!x0

Another type of discontinuity is when x0 is an accumulation point of E :=

E \ ( 1; x0 ] and of E + := E \ (x0 ; 1) and there exist

x!x0 x!x+

0

48

Example 164 The integer and fractional part of x have jump discontinuity at

every integer.

Finally, the last type of discontinuity is when at least one of the limits

limx!x f (x) and limx!x+ f (x) is not …nite or does not exist. In this case, the

0 0

point x0 is called an essential discontinuity of f .

sin x1 if x 6= 0;

f (x) :=

1 if x = 0;

and

log x if x > 0;

g (x) :=

1 if x = 0;

have an essential discontinuity at x = 0.

Theorem 166 Let (X; dX ), (Y; dY ) be metric spaces, let E X, and let f :

E !Y.

1

(i) Then f is continuous if and only if f (V ) is relatively open for every

open set V Y.

1

(ii) Then f is continuous if and only if f (C) is relatively closed for every

closed set C Y .

f 1 (V ) is empty, then there is nothing to prove. Otherwise, let x0 2 f 1 (V ).

Since V is open and f (x0 ) 2 V , there exists " > 0 such that BY (f (x0 ) ; ") V .

Since f is continuous at x0 there exists x0 > 0 such that for all x 2 E with

dX (x; x0 ) < x0 , we have

dY (f (x); f (x0 )) < ":

Hence, for all x 2 E with dX (x; x0 ) < x0 ,

1

and so BX (x0 ; x0 ) \E f (V ).

Take [

U := BX (x; x) :

x2f 1 (V )

1

Then U is open and f (V ) U . Hence,

1

U \E =f (V ) ;

1

which shows that f (V ) is relatively open.

49

Step 2: Assume that f 1 (V ) is relatively open for every open set V Y.

Let x0 2 E \ acc E and let " > 0. Consider the open set V = BY (f (x0 ) ; ").

Then f 1 (V ) is relatively open and so there exists an open set U X such

that U \ E = f 1 (V ). Since x0 2 f 1 (U ), we have x0 2 U . Hence there exists

BX (x0 ; ) U . It follows that for every x 2 U with 0 < dX (x; x0 ) < , then x

belongs to U \ E = f 1 (V ) and so f (x) 2 V = BY (f (x0 ) ; "), that is,

x!x0

(ii) Exercise.

As a corollary, we get.

Corollary 167 Let (X; dX ), (Y; dY ) be metric spaces, let E X, and let f :

E !Y.

1

(i) If E is open, then f is continuous if and only if f (V ) is open for every

open set V Y.

1

(ii) If E is closed, then f is continuous if and only if f (C) is relatively

closed for every closed set C Y .

to de…ne continuity in a topological space.

Example 169 The previous theorem implies in particular that sets of the form

Proposition 170 Let (X; dX ), (Y; dY ) be metric spaces, let E X, and let

f : E ! Y be continuous. Then f (K) is compact for every compact set K E.

is relatively open for every 2 , and so there exists W open such that

f 1 (U ) = E \ W . The family fW g 2 is an open cover of K. Since K

l

is compact, we may …nd U 1 ; : : : ; U l such that fW i gi=1 cover K. In turn,

U 1 ; : : : ; U l cover f (K). Indeed, if y 2 f (K), then there exists x 2 K such

that f (x) = y. Let i = 1; : : : ; l be such that x 2 f 1 (U i ) = E \ W i . Then

y = f (x) 2 U i .

We now discuss the continuity of inverse functions and of composite func-

tions. If a continuous function f is invertible its inverse function f 1 may not

be continuous.

50

Example 171 Let

x if 0 x 1;

f (x) :=

x 1 if 2 < x 3:

1

Then f : [0; 2] ! R is given by

1 x if 0 x 1;

f (x) :=

x+1 if 1 < x 2;

and let f : K ! Y be one-to-one and continuous. Then the inverse function

f 1 : f (K) ! X is continuous.

closed set. Then C is compact.

is open. Note that [

K = (K n C) [ C U [ U :

such that

l

[

K U[ U i:

i=1

l

[

C U i;

i=1

Proof of Theorem 172. Let C X be a closed set. By the previous lemma

K \ C is compact. By Proposition 170 we have that f (K \ C) is compact. In

particular, f (K \ C) is closed by Theorem 98. Let g := f 1 . Then

1

f (K \ C) = g (C) ;

which shows that g 1 (C) is closed for every closed set C X. Thus, by

Theorem 166, g is continuous.

Remark 174 Here we used the fact that a compact set is closed, so to extend

this to a function f : K ! Y , where K X and X and Y are topological

spaces, we need Y to be a Hausdor¤ topological space (see Remark 99).

51

Example 175 In view of the previous theorem and Exercise 160, the functions

arccos x, arcsin x, arctan x are continuous.

Given a > 0, the function loga x is continuous for x > 0, since it is the

inverse of ax . p

Given n 2 N, the function 2n+1 p x, x 2 R, is continuous, since it is the

inverse of x2n+1 . The function 2n x, x 2 [0; 1), is continuous, since it is the

inverse of x2n .

Given a > 0, since ex and log x are continuous in (0; 1), by writing

a

xa = elog x = ea log x ;

x

xx = elog x = ex log x ;

it follows from Theorems 161 and 163, that xa and xx are continuous in (0; 1).

Monday, March 1, 2015

Correction exercise in the homework on limits with Taylor.

Theorem 176 (Weierstrass) Let (X; d) be a metric space, let K X be

compact and let f : K ! R be continuous. Then there exist x0 ; x1 2 K asuch

that

f (x0 ) = min f (x) ; f (x1 ) = max f (x)

x2K x2K

ous, and so we can apply Theorem 154 and Exercise 157.

Let (X; k kX ), (Y; k kY ) be normed spaces, let E X, let f : E ! Y and let

x0 2 E. Given a direction v 2 X n f0g, let L be the line through x0 in the

direction v, that is,

L := fx 2 X : x = x0 + tx; t 2 Rg ;

and assume that x0 is an accumulation point of the set E \ L. The directional

derivative of f at x0 in the direction v is de…ned as

@f f (x0 + tv) f (x0 )

(x0 ) := lim ;

@v t!0 t

provided the limit exists in Y .

If X = RN and v = ei , where ei is a vector of the canonical basis, the

@f

directional derivative @e i

(x0 ), if it exists, is called the partial derivative of f

@f

with respect to xi and is denoted @x i

(x0 ) or fxi (x0 ) or Di f (x0 ).

Remark 177 When X = R, taking v = 1, we get that

f (x0 + t) f (x0 )

lim ;

t!0 t

which is the standard de…nition of derivative f 0 (x0 ). It can be shown that if

f 0 (x0 ) exists in R, then f is continuous at x0 .

52

Wednesday, March 3, 2015

In view of the previous remark, one would be tempted to say that if the

directional derivatives at x0 exist and are …nite in every direction, then f is

continuous at x0 . This is false in general, as the following example shows.

1 if y = x2 ; x 6= 0;

f (x; y) :=

0 otherwise.

intersects the parabola y = x2 only in (0; 0) and in at most one point. Hence, if

t is very small,

f (0 + tv1 ; 0 + tv2 ) = 0:

It follows that

@f f (0 + tv1 ; 0 + tv2 ) f (0; 0) 0 0

(0; 0) = lim = lim = 0:

@v t!0 t t!0 t

However, f is not continuous in (0; 0), since f x; x2 = 1 ! 1 as x ! 0, while

f (x; 0) = 0 ! 0 as x ! 0.

(

x2 y

x4 +y 2 if (x; y) 6= (0; 0) ;

f (x; y) :=

0 if (x; y) = (0; 0) :

Let’s …nd the directional derivatives of f at (0; 0). Given a direction v = (v1 ; v2 ),

with v12 + v22 = 1, we have

f (0 + tv1 ; 0 + tv2 ) = 0:

It follows that

(tv1 )2 tv2

f (0 + tv1 ; 0 + tv2 ) f (0; 0) (tv1 )4 +(tv2 )2

0

=

t t

t3 v12 v2

= 5 4 :

t v1 + t3 v22

If v2 = 0 then

f (0 + tv1 ; 0 + tv2 ) f (0; 0) 0

= =0!0

t t5 v14 +0

@f

as t ! 0, so @x (0; 0) = 0. If v2 6= 0, then,

= 4 2 ! 2 = ;

t t 2 v1 + v2 0 + v2 v2

53

so

@f v2

(0; 0) = 1 :

@v v2

In particular, @f

@y (0; 0) =

0

1 = 0. Now let’s prove that f is not continuous at

(0; 0). We have

0

f (x; 0) = =0!0

0 + y2

as x ! 0, while

x2 x2 1 1

f x; x2 = = !

x4 + x4 2 2

as x ! 0. Hence, the limit lim(x;y)!(0;0) f (x; y) does not exists and so f is not

continuous at (0; 0). Note that f is continuous at all other points (x; y) 6= (0; 0)

by Theorem 161, since h (x; y) = x and g (x; y) = y are continuous functions in

R2 .

not give the same kind of results as in the case N = 1. To solve this problem, we

introduce a stronger notion of derivative, namely, the notion of di¤erentiability.

Let (X; k kX ), (Y; k kY ) be normed spaces. We recall that a function L :

X ! Y is linear if

L (x1 + x2 ) = L(x1 ) + L (x2 )

for all x1 ; x2 2 X and

L (sx) = sL (x)

for all s 2 R and x 2 X.

N

M

R is continuous. Indeed, Write x = i=1 xi ei . Then by the linearity of L,

N

! N

X X

L (x) = L xi ei = xi L (ei ) :

i=1 i=1

M

De…ne bi := L (ei ) 2 R . Then the previous calculation shows that

N

X

L (x) = xi bi for all x 2 RN ;

i=1

linear functions which are not continuous.

The vector space X is a normed space with the norm kf k := maxx2[ 1;1] jf (x)j.

Note that since f has a …nite derivative at every x, it follows that f is contin-

uous at every x. By the theorem on composition of continuous functions, the

54

function jf (x)j is also continuous. Since [ 1; 1] is compact, by the Weierestrass

theorem, there exists maxx2[ 1;1] jf (x)j. Hence, kf k is well-de…ned. We have

already seen in Exercise 47 that it is a norm.

Consider the linear function L : X ! R de…ned by

L (f ) := f 0 (0) :

1

fn (x) := sin n2 x :

n

Then

1

kfn 0k !0

n

but

fn0 (x) = n cos n2 x

so that

L (fn ) = fn0 (0) = n ! 1

and so L is not continuous, since L (fn ) 9 L (0) = 0.

E ! Y , and let x0 2 E be an accumulation point of E. The function f is

di¤erentiable at x0 if there exists a continuous linear function L : X ! Y

(depending on f and x0 ) such that

f (x) f (x0 ) L (x x0 )

lim = 0: (16)

x!x0 kx x0 kY

provided the limit exists. The function L, if it exists, is called the di¤erential of

f at x0 and is denoted df (x0 ) or dfx0 .

f (x) f (x0 ) L (x x0 )

lim = 0:

x!x0 kx x0 kY Y

there exists the derivative f 0 (x0 ) 2 R.

same role of the derivative in dimension N = 1.

E ! Y , and let x0 2 E be an accumulation point of E. If f is di¤ erentiable at

x0 , then f is continuous at x0 .

55

Proof. Let L be the di¤erential of f at x0 . We have

f (x) f (x) L(x x0 )

= kx x0 k + L(x x0 ):

kx x0 kX

0 kf (x) f (x0 )kY kx x0 kX + kL(x x0 )kY

kx x0 kX Y

! k0kY k0kX + kL(0)k = 0

Next we study the relation between directional derivatives and di¤erentia-

bility. Here we need x0 to be an interior point of E.

E ! Y , and let x0 2 E . If f is di¤ erentiable at x0 , then all the directional

derivatives of f at x0 exist and

@f

(x0 ) = L (v) ;

@v

where L is the di¤ erential of f at x0 . In particular, the function

@f

v 2 X 7! (x0 )

@v

is linear.

a direction and take x = x0 + tv. Note that for jtj < r= kvkX , we have that

di¤erentiable at x0 ,

0 = lim = lim

x!x0 kx x0 kX t!0 kx0 + tv x0 k

f (x0 + tv) f (x0 ) tL (v) 1 f (x0 + tv) f (x0 ) tL (v)

= lim = lim :

t!0 jtj kvkX t!0 jtj

lim = 0:

t!0 jtj

56

By considering the left and right limits we get

f (x0 + tv) f (x0 ) tL (v)

0 = lim+ = 0;

t!0 t

f (x0 + tv) f (x0 ) tL (v) f (x0 + tv) f (x0 ) tL (v)

0 = lim = lim

t!0 t t!0 t

and so

f (x0 + tv) f (x0 ) tL (v) f (x0 + tv) f (x0 )

0 = lim = lim L (v) ;

t!0 t t!0 t

@f

which shows that there exists @v (x0 ) = L (v).

Monday, March 16, 2015

Remark 187 If in the previous theorem x0 is not an interior point but for some

direction v 2 X, the point x0 is an accumulation point of the set E \ L, where

L is the line through x0 in the direction v, then as in the …rst part of the proof

we can show that there exists the directional derivative @f

@v (x0 ) and

@f

(x0 ) = T (v) :

@v

Remark 188 In particular, if X = RN , then by the previous theorem

@f

L (ei ) = (x0 ) ;

@xi

PN

and so, writing v = vi ei , by the linearity of L we have

i=1

N

! N N

X X X @f

L (v) = L vi ei = vi L (ei ) = (x0 ) vi :

i=1 i=1 i=1

@xi

that PN @f

f (x) f (x0 ) i=1 @xi (x0 ) (xi x0i )

lim = 0: (17)

x!x0 kx x0 k

If all the partial derivatives of f at x0 exist, the vector

@f @f

(x0 ) ; : : : ; (x0 ) 2 RN

@x1 @xN

is called the gradient of f at x0 and is denoted by rf (x0 ) or grad f (x0 ) or

Df (x0 ). Note the previous theorem shows that

XN

@f

dfx0 (v) = L (v) = rf (x0 ) v = (x0 ) vi : (18)

i=1

@xi

57

Exercise 189 Let

(

x2 y

x2 +y 2 if (x; y) 6= (0; 0) ;

f (x; y) :=

0 if (x; y) = (0; 0) :

but that the formula

@f @f @f

(0; 0) = (0; 0) v1 + (0; 0) v2

@v @x @y

fails.

(

x2 y

x2 +y 4 if (x; y) 6= (0; 0) ;

f (x; y) :=

0 if (x; y) = (0; 0) :

Find all directional derivatives of f at 0. Study the continuity and the di¤ eren-

tiability of f at 0.

@f

(i) Assume that all the directional derivatives of f at x0 exist and that @v (x0 ) =

PN @f

i=1 @xi (x0 ) vi for every direction v. Prove that f is di¤ erentiable at x0 .

(ii) Assume that all the partial derivatives of f at x0 exist, that the directional

@f

derivatives @v (x0 ) exist for all v 2 S, where S is dense in the unit sphere,

@f PN @f

and that @v (x0 ) = i=1 @x i

(x0 ) vi for every direction v 2 S. Prove that

f is di¤ erentiable at x0 .

(

x2 jyj

x2 +y 2 if (x; y) 6= (0; 0) ;

f (x; y) :=

0 if (x; y) = (0; 0) :

Let’s study continuity, partial derivatives and di¤ erentiability. For (x; y) 6=

(0; 0), we have that f is continuous by Theorem 161, while for (x; y) = (0; 0),

we need to check that

(x;y)!(0;0)

We have

x2 jyj x2 jyj x2 + y 2 jyj

0 jf (x; y) f (0; 0)j = 0 = = jyj ! 0

x2 + y 2 x2 + y 2 x2 + y 2

58

Next, let’s study partial derivatives. For (x; y) 6= (0; 0), by the quotient rule,

we have

@f 2x jyj x2 + y 2 x2 jyj (2x + 0)

(x; y) = 2 ; (19)

@x (x2 + y 2 )

while for (x; y) = (0; 0),

t2 j0j

@f f (0 + t1; 0 + t0) f (0; 0) t2 +0 0 0

(0; 0) = lim = lim = lim = 0:

@x t!0 t t!0 t t!0 t3

y

@f x2 jyj x2 + y 2 x2 jyj (0 + 2y)

(x; y) = 2 ; (20)

@y (x2 + y 2 )

x20 jtj

@f f (x0 + t0; 0 + t1) f (x0 ; 0) x20 +t2

0 jtj x20

(x0 ; 0) = lim = lim = lim :

@y t!0 t t!0 t t!0 t x20+t

2

x2

If x0 = 0, then jtj

t x20 +t2 =

0 jtj 0

t 0+t2 = 0 ! 0 as t ! 0, so @f

@y (0; 0) = 0, while if

x0 6= 0, we have

lim+ = lim = lim = = 1;

t!0 t x20 + t2 2

t!0+ t x0 + t2

2

t!0+ x0 + t2 x20 + 0

jtj x20 t x20 x2 x20

lim 2 2

= lim+ 2 2

= lim+ 2 0 2 = 2 = 1:

t!0 t x0 + t t!0 t x0 + t t!0 x0 + t x0 + 0

Hence, @f@y (x0 ; 0) does not exist at (x0 ; 0) for x0 6= 0, and so by Theorem 186,

f is not di¤ erentiable at (x0 ; 0) for x0 6= 0.

On the other hand, at points (x; y) with y 6= 0, we have that @f @f

@x and @y exist

in a small ball centered at (x; y) (see (19) and (20)) and they are continuous

by Theorem 161. Hence, we can apply Theorem 194 below to conclude that f is

di¤ erentiable at all points (x; y) with y 6= 0.

It remains to study di¤ erentiability at (0; 0). By 17, we need to prove that

lim = 0:

(x;y)!(0;0) k(x; y) (0; 0)k

We have

x2 jyj

f (x; y) f (0; 0) rf (0; 0) ((x; y) (0; 0)) x2 +y 2 0 (0; 0) ((x; y) (0; 0))

= p

k(x; y) (0; 0)k x2 + y 2

x2 jyj

= 3=2

:

(x2 + y 2 )

59

Taking y = x, with x > 0, we get

x2 jxj x2 x3 1

3=2

= 3=2

= 3=2

9 0:

(x2 + x2 ) (x2 + x2 ) (2)

f (x; y) = jxjy:

@f x

(x; y) = y for x 6= 0;

@y jxj

@f

(x; y) = jxj:

@y

Thus all the points x = 0 create problems and must be studied separately. Con-

sider a point (0; y0 ). Then

(0; y0 ) = lim

@x t!0 t

jtjy0 0 jtj 0 if y0 = 0;

= lim = lim y0 =

t!0 t t!0 t does not exist if y0 =

6 0:

di¤ erentiable at (0; y0 ). On the other hand, if y0 = 0, then @f

@x (0; 0) = 0 and so

we must study the di¤ erentiability of f using the de…nition. We haveWe have

f (x; y) f (0; 0) rf (0; 0) ((x; y) (0; 0)) jxjy 0 (0; 0) ((x; y) (0; 0))

= p

k(x; y) (0; 0)k x2 + y 2

jxjy

=p :

x2 + y 2

Since p p

jxjy x2 jyj x2 + y 2 jyj

0 p =p p = jyj ! 0

x2 + y 2 x2 + y 2 x2 + y 2

as (x; y) ! (0; 0), we have that f is di¤ erentiable at (0; 0).

The next theorem gives an important su¢ cient condition for di¤erentiability

at a point x0 .

60

Theorem 194 Let E RN , let f : E ! R, let x0 2 E , and let i 2 f1; : : : ; N g.

Assume that there exists r > 0 such that B (x0 ; r) E and for all j 6= i and for

@f

all x 2 B (x0 ; r) the partial derivative @xj

exists at x and is continuous at x0 .

@f

Assume also that @xi (x0 ) exists. Then f is di¤ erentiable at x0 .

To prove this theorem we need some preliminary results.

De…nition 195 Let (X; d) be a metric space, let E X, let f : E ! R, and

let x0 2 E. We say that

(i) f attains a local minimum at x0 if there exists r > 0 such that f (x)

f (x0 ) for all x 2 E \ B (x0 ; r),

(ii) f attains a global minimum at x0 if f (x) f (x0 ) for all x 2 E,

(iii) f attains a local maximum at x0 if there exists r > 0 such that f (x)

f (x0 ) for all x 2 E \ B (x0 ; r),

(iv) f attains a global maximum at x0 if f (x) f (x0 ) for all x 2 E.

and let x0 2 E. Assume that f attains a local minimum (or maximum) at x0

and that there exists the directional derivative @f

@v (x0 ). If x0 is an accumulation

point for both sets E \ fx0 + tv : t > 0g and E \ fx0 + tv : t < 0g, then

necessarily, @f

@v (x0 ) = 0. In particular, if x0 is an interior point of E and f is

di¤ erentiable at x0 , then all the directional derivatives of f at x0 are zero.

Proof. Assume that f attains a local minimum (the case of a local maximum

is similar). Then there exists r > 0 such that f (x) f (x0 ) for all x 2 E \

B (x0 ; r). Take x = x0 + tv, where jtj < r= kvk. Then

kx0 + tv x0 k = ktvk = jtj kvk < r;

and so f (x0 + tv) f (x0 ). If t > 0, then

f (x0 + tv) f (x0 )

0:

t

Since x0 is an accumulation point for the set E \ fx0 + tv : t > 0g, there are

in…nitely many t > 0 approaching zero. Hence, letting t ! 0+ and using the

fact that there exists @f @f

@v (x0 ), we get that @v (x0 ) 0.

If t < 0, then f (x0 + tv) f (x0 ) and

f (x0 + tv) f (x0 )

0:

t

Since x0 is an accumulation point for the set E \ fx0 + tv : t < 0g, there are

in…nitely many t < 0 approaching zero. Hence, letting t ! 0 and using the

fact that there exists @f @f

@v (x0 ), we get that @v (x0 ) 0.

@f

This shows that @v (x0 ) = 0.

61

Remark 197 If if x0 is a point of local minimum and @f @v (x0 ) exists, then

x0 is an accumulation point for the set E \ fx0 + tv : t 2 Rg, so x0 is an

accumulation point for E \ fx0 + tv : t > 0g, in which case @f

@v (x0 ) 0, or x0

@f

is an accumulation point for E \ fx0 + tv : t < 0g, in which case @v (x0 ) 0.

An important application of the previous theorem is given by the following

result.

Theorem 198 (Rolle) Assume that f : [a; b] ! R is continuous in [a; b] and

has a derivative in (a; b). If f (a) = f (b), then there exists c 2 (a; b) such that

f 0 (c) = 0.

Proof. Since [a; b] is compact, by the Weierstrass theorem, f has a global

maximum and a global minimum in [a; b]. If

max f = min f;

[a;b] [a;b]

then f is constant, and so f 0 (x) = 0 for all x 2 (a; b). If max[a;b] f > min[a;b] f ,

then since f (a) = f (b), there f admits one of them at some interior point

c 2 (a; b). By the previous theorem, f 0 (c) = 0.

Theorem 199 (Lagrange or Mean Value Theorem) Assume that f : [a; b] !

R is continuous in [a; b] and has a derivative in (a; b). Then there exists c 2 (a; b)

such that

f (b) f (a) = f 0 (c) (b a) :

Proof. The function

f (b) f (a)

g (x) = f (x) (x a)

b a

is continuous in [a; b], has a derivative in (a; b), and g (a) = g (b) = f (a).

Hence, we are in a position to apply Rolle’s theorem to …nd c 2 (a; b) such that

g 0 (c) = 0, or, equivalently,

f (b) f (a)

0 = f 0 (x) 1 :

b a

We are now ready to prove Theorem 194

Proof of Theorem 194. Without loss of generality, we may assume that

i = N . Let x 2 B (x0 ; r). Write x = (x1 ; : : : ; xN ) and x0 = (y1 ; : : : ; yN ). Then

f (x) f (x0 ) = (f (x1 ; : : : ; xN ) f (y1 ; x2 ; : : : ; xN ))

+ + (f (y1 ; : : : ; yN 1 ; xN ) f (y1 ; : : : ; yN )) :

By the mean value theorem applied to the function of one variable f ( ; x2 ; : : : ; xN ),

@f

f (x1 ; : : : ; xN ) f (y1 ; x2 ; : : : ; xN ) = (z1 ) (x1 y1 ) ;

@x1

62

where z1 := ( 1 x1 + (1 1 ) y1 ; x2 ; : : : ; xN ) for some 1 2 (0; 1). Note that

kz1 x0 k kx x0 k :

Similarly, for i = 2; : : : ; N 1,

@f

f (y1 ; : : : ; yi 1 ; xi ; : : : ; xN ) f (y1 ; : : : ; yi 1 ; yi ; : : : ; xN ) = (zi ) (xi yi ) ;

@xi

where zi := (y1 ; : : : ; yi 1 ; i xi + (1 i ) yi ; xi+1 ; : : : ; xN ) for some i 2 (0; 1)

and

kzi x0 k kx x0 k :

Write

N

X1 @f @f

= (zi ) (x0 ) (xi yi )

i=1

@xi @xi

f (y1 ; : : : ; yN 1 ; xN ) f (y1 ; : : : ; yN ) @f

+ (x0 ) (xN yN ) :

xN yN @xN

Then

N

X1

jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f jxi yi j

(zi ) (x0 )

kx x0 k i=1

@xi @xi kx x0 k

f (y1 ; : : : ; yN 1 ; yN + (xN yN )) f (y1 ; : : : ; yN ) @f jxN yN j

+ (x0 ) :

xN yN @xN kx x0 k

jxi yi j

Since kx x0 k 1, we have that

N

X1

jf (x) f (x0 ) rf (x0 ) (x x0 )j @f @f

0 (zi ) (x0 ) (21)

kx x0 k i=1

@xi @xi

f (y1 ; : : : ; yN 1 ; yN + (xN yN )) f (y1 ; : : : ; yN ) @f

+ (x0 ) :

xN yN @xN

Using the fact that kzi x0 k kx x0 k ! 0 as x ! x0 , together with the

@f

continuity of @x i

at x0 , gives

@f @f

(zi ) (x0 ) ! 0;

@xi @xi

while, since t := xN yN ! 0 as x ! x0 , we have that

f (y1 ; : : : ; yN 1 ; yN + (xN yN )) f (y1 ; : : : ; yN )

xN yN

f (y1 ; : : : ; yN 1 ; yN + t) f (y1 ; : : : ; yN ) @f

= ! (x0 ) ;

t @xN

63

and so the right-hand side of (21) goes to zero as x ! x0 .

Monday, March 23, 2015

We study the di¤erentiability of composite functions.

Theorem 200 (Chain Rule) Let (X; k kX ), (Y; k kY ), (Z; k kZ ) be three normed

spaces, let E X, let x0 2 X be an accumulation point of E, let F Y , and let

f : E ! F and g : F ! Z. Assume that there exists the directional derivative

@f

@v (x0 ), that f (x0 ) 2 F and that g is di¤ erentiable at f (x0 ). Then there exists

the directional derivative

@(g f ) @f

(x0 ) = dgf (x0 ) (x0 ) : (22)

@v @v

Moreover, if f is di¤ erentiable at x0 , then g f is di¤ erentiable at x0 with

d(g f )x0 = dgf (x0 ) dfx0 :

Proof. Since g is di¤erentiable at f (x0 ), there exists L : Y ! Z linear and

continuous such that

g(y) g(f (x0 )) L(y f (x0 ))

lim = 0; (23)

y!f (x0 ) ky f (x0 )kY

where L is the di¤erential of g at f (x0 ), so L = dgf (x0 ) .

Since there exists the directional derivative @f

@v (x0 ), we have that there exists

lim = (x0 ): (24)

t!0 t @v

It follows that the function of one variable

t 7! f (x0 + tv)

is continuous at t = 0. Hence, if we take y = f (x0 + tv), we have that

y = f (x0 + tv) ! f (x0 ) as t ! 0: (25)

Case 1: Assume that f (x0 + tv) 6= f (x0 ) for all t small. Then by (23), (24),

(25),

g(f (x0 + tv)) g(f (x0 )) @f

L (x0 )

t @v

g(f (x0 + tv)) g(f (x0 )) L(f (x0 + tv) f (x0 ))

=

t

f (x0 + tv) f (x0 ) @f

+L (x0 )

t @v

g(f (x0 + tv)) g(f (x0 )) L(f (x0 + tv) f (x0 )) f (x0 + tv) f (x0 ) jtj

=

kf (x0 + tv) f (x0 )kY t Y t

f (x0 + tv) f (x0 ) @f

+L (x0 )

t @v

@f

!0 (x0 ) ( 1) + L(0) = 0:

@v Y

64

This shows that there exists

@(g f ) @f

(x0 ) = L (x0 ) :

@v @v

Case 2: There exists countably many t approaching zero such that f (x0 +tv) =

f (x0 ). Hence, for these t,

f (x0 + tv) f (x0 )

=0!0

t

as t ! 0, which implies that @f@v (x0 ) = 0.

Let F := ft 2 R : f (x0 + tv) = f (x0 )g. For t 2 F ,

g(f (x0 + tv)) g(f (x0 )) 0

= ! 0:

t t

On the other hand, if t 2

= F , then f (x0 + tv) 6= f (x0 ) and so

g(f (x0 + tv)) g(f (x0 ))

t

g(f (x0 + tv)) g(f (x0 )) L(f (x0 + tv) f (x0 ))

=

t

f (x0 + tv) f (x0 )

+L

t

g(f (x0 + tv)) g(f (x0 )) L(f (x0 + tv) f (x0 )) f (x0 + tv) f (x0 ) jtj

=

kf (x0 + tv) f (x0 )kY t Y t

f (x0 + tv) f (x0 )

+L

t

@f

!0 (x0 ) ( 1) + L(0) = 0:

@v Y

by (23), (24), (25). This proves the …rst part of the statement.

The second part of the statement is left as an exercise.

Exercise 201 Prove the second part of the theorem.

Wednesday, March 25, 2015

Remark 202 Assume that Y = RM and Z = R. Then f : E ! RM . Let

y0 := f (x0 ). If y0 2 F , then by (17),

XM

@g

dgy0 (v) = rg (y0 ) v = (y0 ) vi :

i=1

@yi

Hence, (22)becomes

X @gM

@ (f g) @fi

(x0 ) = (f (x0 )) (x0 )

@v i=1

@yi @v

@f

= rg (f (x0 )) (x0 ) :

@v

65

Example 203 (Product Rule) Let (X; k kX ) be a normed space, let E X

and let f : E ! R2 . Let g : R2 ! R be de…ned by g(y1 ; y2 ) = y1 y2 . Then

(exercise)

@g @g

(y1 ; y2 ) = y2 ; (y1 ; y2 ) = y1 :

@y1 @y2

@f

If there exists @v (x0 ), then by Remark 202,

@ @(g f )

(f1 f2 ) (x0 ) = (x0 )

@v @v

@g @f1 @g @f2

= (f (x0 )) (x0 ) + (f (x0 )) (x0 )

@y1 @v @y2 @v

@f1 @f2

= f2 (x0 ) (x0 ) + f1 (x0 ) (x0 );

@v @v

which is the product rule.

and let f : E ! R2 , with f (x) = (f1 (x); f2 (x)), be such that f2 (x) 6= 0 for all

x 2 E. Let g : R2 ! R be de…ned by g(y1 ; y2 ) = yy21 . Then (exercise)

@g 1 @g y1

(y1 ; y2 ) = ; (y1 ; y2 ) = :

@y1 y2 @y2 (y2 )2

@f

If there exists @v (x0 ), then by Remark 202,

@ f1 @(g f )

(x0 ) = (x0 )

@v f2 @v

@g @f1 @g @f2

= (f (x0 )) (x0 ) + (f (x0 )) (x0 )

@y1 @v @y2 @v

1 @f1 f1 (x0 ) @f2

= (x0 ) (x0 )

f2 (x0 ) @v (f2 (x0 ))2 @v

@f1

@v (x0 )f2 (x0 ) f1 (x0 ) @f

@v (x0 )

1

= 2

;

(f2 (x0 ))

which is the quotient rule.

q

g (x) := f (kxk) = f x21 + x22 + + x2N ;

q

@g 2xi

(x) = f 0 x21 + x22 + + x2N p :

@xi 2 x1 + x22 +

2 + x2N

66

Next we de…ne the Jacobian of a vectorial function f : E ! RM .

matrix of f = (f1 ; : : : ; fM ) at some point x0 2 E, whenever it exists, is the

M N matrix

0 1 0 @f1 @f1 1

rf1 (x0 ) @x1 (x0 ) @xN (x0 )

B .. C B .. .. C

Jf (x0 ) := @ . A=@ . . A:

@fM @fM

rfM (x0 ) @x1 (x0 ) @xN (x0 )

It is also denoted

@ (f1 ; : : : ; fM )

(x0 ) :

@ (x1 ; : : : ; xN )

When M = N , Jf (x0 ) is an N N square matrix and its determinant is called

the Jacobian determinant of f at x0 . Thus,

@fj

det Jf (x0 ) = det (x0 ) :

@xi i;j=1;:::;N

di¤ erentiable at x0 . Then all its components fj , j = 1; : : : ; M , are di¤ erentiable

at x0 with

dfx0 = d (f1 )x0 ; : : : ; d (fM )x0 :

Since x0 is an interior point, it follows from (18) that for every direction v,

N

X @fj

d (fj )x0 (v) = rfj (x0 ) v = (x0 ) vi :

i=1

@xi

Hence,

= Jf (x0 ) v:

P

let f : E ! R . Assume that g is di¤ erentiable at some point y0 2 F and that

f is di¤ erentiable at the point g (y0 ) and that g (y0 ) 2 E . Then the composite

function f g is di¤ erentiable at y0 and

67

13 Higher Order Derivatives

Let E RN , let f : E ! R and let x0 2 E. Let i 2 f1; : : : ; N g and assume

@f

that there exists the partial derivatives @x i

(x) for all x 2 E. If j 2 f1; : : : ; N g

and x0 is an accumulation point of E \ L, where L is the line through x0 in

@f

the direction ej , then we can consider the partial derivative of the function @x i

with respect to xj , that is,

@ @f @2f

=: :

@xj @xi @xj @xi

Note that in general the order in which we take derivatives is important.

Example 210 Let

(

x3 y xy 3

x2 +y 2 if (x; y) 6= (0; 0) ;

f (x; y) :=

0 if (x; y) = (0; 0) :

@f @ x3 y xy 3 (3x2 y 1y 3 )(x2 + y 2 ) (x3 y xy 3 )(2x + 0)

(x; y) = = 2 ;

@x @x x2 + y 2 (x2 + y2 )

and

@f @ x3 y xy 3 (x3 1 x3y 2 )(x2 + y 2 ) (x3 y xy 3 )(0 + 2y)

(x; y) = = 2 ;

@y @y x2 + y 2 (x2 + y2 )

while at (0; 0) we have:

0

@f f (t; 0) f (0; 0) 2 0

(0; 0) = lim = lim t +0 = 0;

@x t!0 t t!0 t

0

@f f (0; 0 + t) f (0; 0) 2 0

(0; 0) = lim = lim 0+t = 0:

@y t!0 t t!0 t

Thus,

(

(3x2 y 1y 3 )(x2 +y 2 ) (x3 y xy 3 )(2x+0)

@f (x2 +y 2 )2

if (x; y) 6= (0; 0) ;

(x; y) =

@x 0 if (x; y) = (0; 0) ;

(

(x3 1 x3y 2 )(x2 +y 2 ) (x3 y xy 3 )(0+2y)

@f (x2 +y 2 )2

if (x; y) 6= (0; 0) ;

(x; y) =

@y 0 if (x; y) = (0; 0) :

@2f

To …nd @y@x (0; 0), we calculate

@f @f

@2f @ @f @x (0; 0 + t) @x (0; 0)

(0; 0) = (0; 0) = lim

@y@x @y @x t!0 t

(0 1t3 )(0+t2 ) 0

(0+t2 )2

0

= lim = lim 1 = 1;

t!0 t t!0

68

while

@f @f

@2f @ @f @y (0 + t; 0) @y (0; 0)

(0; 0) = (0; 0) = lim

@x@y @x @y t!0 t

(t3 1 0)(t2 +0) 0

(t2 +0)2

0

= lim = lim 1 = 1:

t!0 t t!0

2 2

@ f @ f

Hence, @x@y (0; 0) 6= @y@x (0; 0).

y 2 arctan xy if y 6= 0;

f (x; y) :=

0 if y = 0:

@2f @2f

Prove that @x@y (0; 0) 6= @y@x (0; 0).

i; j 2 f1; : : : ; N g. Assume that there exists r > 0 such that B (x0 ; r) E and for

2

@f @f

all x 2 B (x0 ; r), the partial derivatives @x i

(x), @xj

(x), and @x@j @x

f

i

(x) exist.

@2f @2f

Assume also that @xj @xi is continuous at x0 . Then there exists @xi @xj (x0 ) and

@2f @2f

(x0 ) = (x0 ) :

@xi @xj @xj @xi

double limit lim(s;t)!(0;0) A (s; t) exists in R and that the limit limt!0 A (s; t)

exists in R for all s 2 ( r; r)nf0g. Then the iterated limit lims!0 limt!0 A (s; t)

exists and

lim lim A (s; t) = lim A (s; t) :

s!0 t!0 (s;t)!(0;0)

Proof. Let ` = lim(s;t)!(0;0) A (s; t). Then for every " > 0 there exists =

((0; 0) ; ") > 0 such that

jA (s; t) `j "

q

2 2

for all (s; t) 2 (( r; r) n f0g) (( r; r) n f0g), with js 0j + jt 0j .

Fix s 2 2 ; 2 n f0g. Then for all t 2 2 ; 2 n f0g,

jA (s; t) `j "

and so letting t ! 0 in the previous inequality (and using the fact that the limit

limt!0 A (s; t) exists), we get

t!0

69

for all s 2 2; 2 nf0g. But this implies that there exists lims!0 limt!0 A (s; t) =

`.

Friday, March 27, 2015

Proof of Theorem 212. Step 1: Assume that N = 2. Let jtj ; jsj < pr2 . Then

the points (x0 + s; y0 ), (x0 + s; y0 + t), and (x0 ; y0 + t) belong to B ((x0 ; y0 ) ; r).

De…ne

f (x0 + s; y0 + t) f (x0 + s; y0 ) f (x0 ; y0 + t) + f (x0 ; y0 )

A (s; t) := ;

st

g (x) := f (x; y0 + t) f (x; y0 ) :

@f @f

g (x0 + s) g (x0 ) g0 ( ) @x ( t ; y0 + t) @x ( t ; y0 )

A (s; t) = = =

st t t

where is between x0 and x0 + t. Fix t and consider the function

@f

h (y) := ( t ; y) :

@x

By the mean value theorem,

@2f

h (b) h (a) = h0 (c) (b a) = ( t ; c) (b a)

@y@x

for some c between a and b. Taking b = t and a = 0, we get

@f @f @2f

( t ; y0 + t) ( t ; y0 ) = ( t; t) t

@x @x @y@x

where t is between y0 and y0 + t. Hence,

@2f @2f

A (s; t) = ( t; t) ! (x0 ; y0 ) ;

@y@x @y@x

where we have used the fact that ( ; ) ! (x0 ; y0 ) as (s; t) ! (0; 0) together

@2f

with the continuity of @y@x at (x0 ; y0 ). Note that this shows that there exists

the limit

@2f

lim A (s; t) = (x0 ; y0 ) :

(s;t)!(0;0) @y@x

On the other hand, for all s 6= 0,

lim A (s; t) = lim

t!0 s t!0 t t

@f @f

@y (x0 + s; y0 ) @y (x0 ; y0 )

= :

s

70

Hence, we are in a position to apply the previous lemma to obtain

@2f

(x0 ; y0 ) = lim A (s; t) = lim lim A (s; t)

@y@x (s;t)!(0;0) s!0 t!0

@f @f

@y (x0 + s; y0 ) @y (x0 ; y0 ) @2f

= lim = (x0 ; y0 ) :

s!0 s @x@y

Step 2: In the case N 2 let x = (x1 ; : : : ; xN ), x0 = (c1 ; : : : ; cN ). Assume

that 1 < i < j < N (the cases i = 1 and j = N are similar) and apply Step 1

to the function of two variables

N

A multi-index is a vector = ( 1 ; : : : ; N ) 2 (N0 ) . The length of a multi-

index is de…ned as

j j := 1 + + N:

@

Given a multi-index , the partial derivative @x is de…ned as

@ @j j

:= ;

@x @x1 1

@xNN

@0f

where x = (x1 ; : : : ; xN ). If = 0, we set @x0 := f .

@ (2;1;0) @3

= :

@ (x; y; z)

(2;1;0) @x2 @y

! := 1! N !; x := x1 1 xNN :

If = 0, we set x0 := 1.

Using this notation, we can extend the binomial theorem.

n 2 N. Then

n

X n!

(x1 + + xN ) = x :

!

m ulti-in dex, j j=n

Proof. Exercise.

N0 , we denote by C m (U ) the space of all functions that are continuous together

T

1

with their partial derivatives up to order m. We set C 1 (U ) := C m (U ).

m=0

71

Monday, March 30, 2015

Theorem 217 (Taylor’s Formula) Let U RN be an open set, let f 2

m

C (U ), m 2 N, and let x0 2 U . Then for every x 2 U ,

X 1 @ f

f (x) = f (x0 ) + (x0 ) (x x0 ) + Rm (x) ;

! @x

m ulti-in dex, 1 j j m

where

Rm (x)

lim m = 0:

x!x0 kx x0 k

De…nition 218 Given a metric space (X; dX ), a set E X, and two functions

f : E ! R and g : E ! R and a point x0 2 acc E, we say that the function f is

a little o of g as x ! x0 , and we write f = o (g), if g 6= 0 in E and

f (x)

lim = 0:

x!x0 g (x)

Hence, a little o of g is simply a function that goes to zero faster than g as

x ! x0 . Hence, Taylor’s formula can be written as

X 1 @ f m

f (x) = (x0 ) (x x0 ) + o (kx x0 k )

! @x

multi-index, 0 j j m

as x ! x0 .

To prove Taylor’s formula we need some preliminary results.

Exercise 219 Let (X; dX ) and (Y; dY ) be two metric spaces, let E X, let

x0 2 E be an accumulation point of E and let g : E ! R. For r > 0 de…ne

!g (r) := sup fdY (g(x); g(x0 )) : x 2 E; dX (x; x0 ) rg :

Prove that g is continuous at x0 if and only if

lim !g (r) = 0:

r!0+

in [a; b] and di¤ erentiable in (a; b) with g 0 (x) 6= 0 for all x 2 (a; b). Then there

exists c 2 (a; b) such that

f (b) f (a) f 0 (c)

= 0 :

g (b) g (a) g (c)

Proof. The function

h (x) = f (x) (g (b) g (a)) g (x) (f (b) f (a))

is continuous in [a; b], di¤erentiable in (a; b), and h (a) = h (b) = f (a) g (b)

g (a) f (b). Hence, we are in a position to apply Rolle’s theorem to …nd c 2 (a; b)

such that h0 (c) = 0, or, equivalently,

0 = f 0 (c) (g (b) g (a)) g 0 (c) (f (b) f (a)) :

72

Remark 221 Why is g (b) 6= g (a)?

Theorem 222 (De l’Hôpital) Let f : [a; b] ! R and g : [a; b] ! R be con-

tinuous in [a; b] and assume that f (x0 ) = g (x0 ) = 0 for some x0 2 [a; b].

Assume that f and g are di¤ erentiable in (a; b) n fx0 g with g (x) ; g 0 (x) 6= 0 for

all x 2 (a; b) n fx0 g. If there exists

f 0 (x)

lim = ` 2 [ 1; 1] ;

x!x0 g 0 (x)

then there exists

f (x)

lim = `:

x!x0 g (x)

Proof. Let x 2 (a; b) n fx0 g. Apply Cauchy’s theorem in the interval of end-

points x and x0 to …nd cx between x and x0 such that

f (x) 0 f (x) f (x0 ) f 0 (cx )

= = 0 :

g (x) 0 g (x) g (x0 ) g (cx )

As x ! x0 , we have that cx ! x0 , and so by hypothesis

f (x) f 0 (cx )

= 0 ! `:

g (x) g (cx )

It follows that there exists

f (x)

lim = `:

x!x0 g (x)

sin x x

lim :

x!0 x3

Remark 224 The converse of De l’Hôpital’s theorem does not hold, that is, if

0

there exists limx!x0 fg(x)

(x)

, we cannot conclude that there exists the limit limx!x0 fg0 (x)

(x)

.

To see this, take

x2 sin x1 if x 6= 0;

f (x) =

0 if x = 0;

and g (x) = x. Then f and g are continuous and for x 6= 0, have that f 0 (x) =

2x sin x1 x2 1 1 0

x2 cos x and g (x) = 1. Then

f (x) x2 sin x1 1

lim = lim = lim x sin = 0;

x!0 g (x) x!0 x x!0 x

since 0 x sin x1 jxj ! 0, but the limit

lim = lim

x!0 g 0 (x) x!0 1

does not exist (it oscillates between 1 and 1).

73

Exercise 225 Let f : [a; b] n fx0 g ! R and g : [a; b] n fx0 g ! R be continuous

in [a; b] n fx0 g and assume that

x!x0 x!x0

and that f and g are di¤ erentiable in (a; b) n fx0 g with g (x) ; g 0 (x) 6= 0 for all

x 2 (a; b) n fx0 g. Prove that if there exists

f 0 (x)

lim = ` 2 [ 1; 1] ;

x!x0 g 0 (x)

then there exists

f (x)

lim = `:

x!x0 g (x)

Exercise 226 Prove that

lim xa log x;

x!0+

where a > 0.

lim xsin x :

x!0+

and di¤ erentiable in (a; 1). Assume that

x!1 x!1

and that g (x) ; g 0 (x) 6= 0 for all x 2 (a; 1). Prove that if there exists

f 0 (x)

lim = ` 2 [ 1; 1] ;

x!1 g 0 (x)

f (x)

lim = `:

x!1 g (x)

Exercise 229 Prove that a similar result as in the previous exercise holds if

limx!1 jf (x)j = limx!1 jg (x)j = 1.

logb x

lim = 0;

x!1 xa

xa

lim = 0;

x!1 bx

74

Exercise 231 Calculate

log x x

lim :

x!1 log (1 + ex )

Theorem 232 (Taylor’s Formula) Let f 2 C (m) ((a; b)) and let x0 2 (a; b).

Then for every x 2 (a; b),

f 00 (x0 ) 2

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

2!

f (m) (x0 ) m

+ + (x x0 ) + Rm (x) ;

m!

where the remainder Rm (x; x0 ) satis…es

Rm (x)

lim m = 0:

x!x0 (x x0 )

Lemma 233 Let g 2 C (m) ((a; b)) and let x0 2 (a; b). Then

g (x)

lim m =0 (26)

x!x0 (x x0 )

if and only if

g (x0 ) = g 0 (x0 ) = = g (m) (x0 ) = 0: (27)

times we get

lim m = lim m 1 = lim m 2

x!x0 (x x0 ) x!x0 m (x x0 ) x!x0 m (m 1) (x x0 )

g (m 1) (x) g (m) (x) g (m) (x0 )

= = lim = lim = = 0:

x!x0 m! (x x0 ) x!x0 m!1 m!

Conversely, assume (26). If g (k) (x0 ) 6= 0 for some 0 k < m, then by what we

just proved (with k in place of m)

lim k

= 6= 0:

x!x0 (x x0 ) k!

m k

g (x) g (x) (x x0 ) g (x) m k

k

= k m k

= m (x x0 ) !0

(x x0 ) (x x0 ) (x x0 ) (x x0 )

as x ! x0 , which is a contradiction.

We now turn to the proof of Theorem 232.

75

Proof of Theorem 232. Note that given a polynomial of degree m,

m

X

m i

p (x) = a0 + a1 (x x0 ) + + am (x x0 ) = ai (x x0 ) ;

i=0

we have that

m

X i k

p(k) (x) = i (i 1) (i k + 1) ai (x x0 ) ;

i=k

so that

p(k) (x0 ) = k!ak :

We apply the lemma to the function

to conclude that

f (x) p (x)

lim m =0

x!x0 (x x0 )

if and only if for all k = 0; : : : ; m,

that is

f (k) (x0 )

ak = :

k!

Thus

f (m) (x0 ) m

g (x) = Rm (x) = f (x) f (x0 ) + f 0 (x0 ) (x x0 ) + + (x x0 ) :

m!

Exercise 234 Let f : [a; b] ! R be m-times di¤ erentiable in [a; b] for some

m 2 N and let x0 2 (a; b). Prove that for every x 2 [a; b],

f 00 (x0 ) 2

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

2!

f (m) (x0 ) m

+ + (x x0 ) + Rm (x) ;

m!

where the remainder Rm (x) satis…es

76

Wednesday, April 1, 2015

We are now ready to prove Taylor’s formula in the general case.

Proof. Step 1: Since x0 2 U and U is open, there exists B (x0 ; r) U.

Fix x 2 B (x0 ; r), x 6= x0 and let v := kxx xx00 k and consider the function

g (t) := f (x0 + tv) de…ned for t 2 [0; r]. By Theorem 200, we have that

N

X @f

dg

(t) = (x0 + tv) hi = (v r) f (x0 + tv)

dt i=1

@xi

with for all t 2 [0; r]. By repeated applications of Theorem 200, we get that

d(n) g n

(t) = (v r) f (x0 + tv)

dtn

n

for all n = 1; : : : ; m, where (v r) means that we apply the operator

@ @

v r = h1 + + hN

@x1 @xN

n times to f . By the multinomial theorem, and the fact that for functions in

C m partial derivatives commute,

n

n @ @

(v r) = v1 + + vN

@x1 @xN

X n! @

= v ;

! @x

multi-index, j j=n

and so

d(n) g X n! @ f

(t) = v (x0 + tv) :

dtn ! @x

multi-index, j j=n

Xm

1 d(n) g n

g (t) = g (0) + (0) (t 0) + Rm (t);

n=1

n! dtn

jRm (t)j jtjm !g(m) (t): (28)

Substituting, we obtain

Xm n X

t n! @ f

f (x0 + tv) = f (x0 ) + v (x0 ) + Rm (t)

n=1

n! ! @x

multi-index, j j=n

X tj j

@ f

= f (x0 ) + v (x0 ) + Rm (t):

! @x

multi-index, 1 j j m

77

Take t = kx x0 k. Then

x x0

x0 + tv = x0 + kx x0 k =x

kx x0 k

and

j j (x x0 )

tj j v = kx x0 k j j

= (x x0 )

kx x0 k

and so

X (x x0 ) @ f

f (x) = f (x0 ) + (x0 ) + Rm (kx x0 k):

! @x

multi-index, 1 j j m

Moreover, by (28),

Rm (kx x0 k)

m !g(m) (kx x0 k):

kx x0 k

Since kvk = 1, we have

d(n) g d(n) g

!g(m) (kx x0 k) = sup (t) (0) : 0 < t kx x0 k

dtn dtn

8 9

< X n! @ f @ f =

= sup v (x0 + tv) (x0 ) : 0<t kx x0 k

: ! @x @x ;

multi-index, j j=n

X n! @ f @ f

sup (x0 + tv) (x0 ) : 0 < t kx x0 k

! @x @x

multi-index, j j=n

X n! @ f @ f

sup (y) (x0 ) : 0 < kyk kx x0 k

! @x @x

multi-index, j j=n

X n!

= ! @ f (kx x0 k) ! 0

! @x

multi-index, j j=n

@ f

as x ! x0 by Exercise 219 and the fact that @x is continuous. This shows

that limx!x0 kxRmx(x)

0k

m = 0.

log 1 + sin2 (xy) x2 y 2

lim 4 :

(x;y)!(0;0) (x2 + y 2 )

We recall that

78

(i) f attains a local minimum at x0 if there exists r > 0 such that f (x)

f (x0 ) for all x 2 E \ B (x0 ; r),

(ii) f attains a global minimum at x0 if f (x) f (x0 ) for all x 2 E,

(iii) f attains a local maximum at x0 if there exists r > 0 such that f (x)

f (x0 ) for all x 2 E \ B (x0 ; r),

(iv) f attains a global maximum at x0 if f (x) f (x0 ) for all x 2 E.

Remark 237 In view of Theorem 196, when looking for local minima and max-

ima, we have to search among the following:

called critical points. Note that if rf (x0 ) = 0, the function f may not

attain a local minimum or maximum at x0 . Indeed, consider the function

f (x) = x3 . Then f 0 (0) = 0, but f is strictly increasing, and so f does

not attain a local minimum or maximum at 0.

Interior points at which f is not di¤ erentiable. The function f (x) = jxj

attains a global minimum at x = 0, but f is not di¤ erentiable at x = 0.

Boundary points.

To …nd su¢ cient conditions for a critical point to be a point of local minimum

or local maximu, we study the second order derivatives of f .

matrix of f at x0 is the N N matrix

0 @2f @2f

1

@x2

(x0 ) @xN @x1 (x0 )

B . 1 .. C

Hf (x0 ) : = B

@ .. .

C

A

@2f @2f

@x1 @xN (x0 ) @x2N

(x0 )

N

@2f

= (x0 ) ;

@xi @xj i;j=1

whenever it is de…ned.

Remark 239 If the hypotheses of Schwartz’s theorem are satis…ed for all i; j =

1; : : : ; N , then

@2f @2f

(x0 ) = (x0 ) ;

@xi @xj @xj @xi

which means that the Hessian matrix Hf (x0 ) is symmetric.

nomial

p (t) := det (tIN H) ; t 2 R:

79

Theorem 240 Let H be an N N matrix. If H is symmetric, then all roots

of the characteristic polynomial are real.

Friday, April 3, 2015

Theorem 241 Given a polynomial of the form

p (t) = tN + aN 1t

N 1

+ aN 2t

N 2

+ + a1 t + a0 ; t 2 R;

where the coe¢ cients ai are real for every i = 0; : : : ; N 1, assume that all roots

of p are real. Then

(i) all roots of p are positive if and only if the coe¢ cients alternate sign, that

is, aN 1 < 0, aN 2 > 0, aN 3 < 0, etc.

(ii) all roots of p are negative if and only ai > 0 for every i = 0; : : : ; N 1.

Remark 242 Given an N N matrix

0 1

h1;1 h1;N

B .. C

H=@ . A

hN;1 hN;N

and a vector x 2 R , we de…ne Hx as the vector of RN of components

N

We also de…ne

N X

X N

(Hx; x) := (Hx) x = hi;j xi xj :

j=1 i=1

If H is symmetric, then its eigenvalues 1 , . . . , N are real. Moreover, we can

…nd corresponding eigenvectors v 1 , . . . , v 1 which forms an orthonormal basis.

Since

Hv i = i v i

for every i = 1; : : : ; N , we get

2

(Hv i ; v i ) = ( i v i ) v i = i kv i k = i 1: (29)

Since fv 1 ; : : : ; v 1 g forms a basis in RN , we can write

x = c1 v 1 + + cN v N :

Then

0 1

N

X N

X

(Hx; x) = (Hx) x = @H cj v j A ci v i

j=1 i=1

0 1

XN N

X N X

X N

=@ cj Hv j A ci v i = j ci cj v i vj

j=1 i=1 j=1 i=1

N

X

2

= j cj ;

j=1

80

where we used the fact that v i v j = 1 if i = j and 0 otherwise. In particular,

if all the eigenvalues are positive, then letting m := minf 1 ; : : : ; N g, we have

that

XN XN

2 2

(Hx; x) = j cj m c2j = m kxk :

j=1 j=1

identify x with the column vector or N 1 matrix

0 1

x1

B .. C

@ . A:

xN

0 10 1 0 1

h1;1 h1;N x1 h1;1 x1 + + h1;N xN

B .. C B .. C B .. C

@ . A@ . A=@ . A:

hN;1 hN;N xN hN;1 x1 + + hN;N xN

0 10 1

h1;1 h1;N x1

B .. C B .. C

x1 xN @ . A@ . A:

hN;1 hN;N xN

The next theorem gives necessary and su¢ cient conditions for a point to be

of local minimum or maximum.

x0 2 U be a critical point of f .

(iii) if Hf (x0 ) is negative de…nite, then f attains a local maximum at x0 ,

(iv) if f attains a local maximum at x0 , then Hf (x0 ) is negative semide…nite.

Proof. (i) Assume that Hf (x0 ) is positive de…nite. Then by Remark 242,

N X

X N

@2f 2

(x0 ) vi vj m kvk (30)

j=1 i=1

@xj @xi

81

We now apply Taylor’s formula of order two to obtain

X 1 @ f

f (x) = f (x0 ) + rf (x0 ) (x x0 ) + (x0 ) (x x0 ) + R2 (x)

! @x

j j=2

N N

1 X X @2f

= f (x0 ) + 0 + (x0 ) (x x0 )i (x x0 )j + R2 (x) ;

2 j=1 i=1 @xj @xi

where we have used the fact that x0 is a critical point and where

R2 (x)

lim 2 = 0:

x!x0 kx x0 k

m

Using the de…nition of limit with " = 2, we can …nd > 0 such that

R2 (x) m

2 2

kx x0 k

!

2 2 R2 (x)

f (x) f (x0 ) + m kx x0 k + R2 (x) = f (x0 ) + kx x0 k m+ 2

kx x0 k

2 m 2 m

f (x0 ) + kx x0 k m = f (x0 ) + kx x0 k > f (x0 )

2 2

for all x 2 E with 0 < kx x0 k . This shows that f attains a (strict) local

minimum at x0 .

(ii) Assume that if f attains a local minimum at x0 . Then there exists

B (x0 ; r) U such that

f (x) f (x0 )

for all x 2 B (x0 ; r). Assume by contradiction that Hf (x0 ) is not positive

semide…nite. This means that there exists an eigenvalue i < 0. Let v be an

eigenvector of norm 1 for i . Then

Hf (x0 ) v = iv

g (t) := f (x0 + tvi ) ; t 2 ( r; r) :

Since g (t) = f (x0 + tvi ) f (x0 ) = g (0) for all t 2 ( r; r), g attains a local

minimum at t = 0. By Theorem 200, we have that for t 2 ( r; r),

XN

@f

g 0 (t) = (x0 + tv) vi ;

i=1

@xi

N X

X N

@2f

g 00 (t) = (x0 + tv) vi vj :

j=1 i=1

@xj @xi

82

Then as in (29),

N X

X N

@2f

g 00 (0) = (x0 ) vi vj = i < 0:

j=1 i=1

@xj @xi

1

g(t) = g(0) + g 0 (0) + g 00 (0)t2 + o(t2 )

2

i 2

= g(0) + 0 + t + o(t2 )

2

i o(t2 )

= g(0) + t2 + :

2 t2

i

> 0, we have that

i o(t2 )

g(t) = g(0) + t2 +

2 t2

i i

g(0) + t2

2 4

i

= g(0) + t2 < g(0);

4

since i < 0. This contradics the fact that g has a local minimum at t = 0.

Remark 245 Note that in view of the previous theorem, if at a critical point x0

the characteristic polynomial of Hf (x0 ) has one positive root and one negative

root, then f does not admit a local minimum or a local maximum at x0 .

De…nition 246 Given an open set U RN and a function f : U ! RM , we say

that f is of class C m for some nonnegative integer m 2 N0 , if all its components

fi , i = 1; : : : ; M , are of class C m . The space of all functions f : U ! RM of

T

1

class C m is denoted C m U ; RM . We set C 1 U ; RM := C m U ; RM .

m=0

f (x; y) = 0:

We want to solve for y, that is, we are interested in …nding a function y = g (x)

such that

f (x; g (x)) = 0:

83

We will see under which conditions we can do this. The result is going to be

local.

In what follows given x 2 RN and y 2 RM and f (x; y), we write

0 @f1 @f1 1

@x1 (x; y) @xN (x; y)

@f B C

(x; y) := @ ... ..

. A

@x @f @fM

M

@x1 (x; y) @xN (x; y)

and 0 1

@f1 @f1

@y1 (x; y) @yM (x; y)

@f B . .. C

(x; y) := B

@ .. .

C:

A

@y @f @fM

M

@y1 (x; y) @yM (x; y)

RM , and let (a; b) 2 U . Assume that f 2 C m (U ) for some m 2 N, that

@f

f (a; b) = 0 and det (a; b) 6= 0:

@y

BM (b; r1 ) U , and a unique function

g : BN (a; r0 ) ! BM (b; r1 )

of class C m such that f (x; g (x)) = 0 for all x 2 BN (a; r0 ) and g (a) = b.

Step 1: Existence of g. Since @f

@y (a; b) 6= 0, without loss of generality, we can

@f @f

assume that @y (a; b) > 0 (the case @y (a; b) < 0 is similar). Using the fact that

@f

@y is continuous at (a; b), we can …nd r > 0 such that

R := [a r; a + r] [b r; b + r] U

and

@f

(x; y) > 0 for all (x; y) 2 R:

@y

Consider the function h (y) := f (a; y), y 2 [b r; b + r]. Since

@f

h0 (y) = (a; y) > 0 for all y 2 [b r; b + r] ;

@y

we have that h is strictly increasing. Using the fact that h (b) = f (a; b) = 0, it

follows that

84

Consider the function k1 (x) := f (x; b r), x 2 [a r; a + r]. Since k1 (a) < 0

and k1 is continuous at a, there exists 0 < 1 < r such that

k2 (a) > 0 and k2 is continuous at a, there exists 0 < 2 < r such that

Since

@f

k 0 (y) = (x; y) > 0 for all y 2 [b r; b + r] ;

@y

we have that k is strictly increasing. Using the fact that k (b r) = f (x; b r) <

0 and k (b + r) = f (x; b + r) > 0, it follows that there exists a unique y 2

(b r; b + r) (depending on x) such that 0 = k (y) = f (x; y).

Thus, we have shown that for every x 2 (a ; a + ) there exists a unique

y 2 (b r; b + r) depending on x such that f (x; y) = 0. We de…ne g (x) := y.

Step 2: Continuity of g. Fix x0 2 (a ; a + ). Note that b r < g (x0 ) <

b + r. Let " > 0 be so small that

@f

j 0 (y) = (x0 ; y) > 0 for all y 2 [b r; b + r] ;

@y

we have that j is strictly increasing. Using the fact that j (g (x0 )) = f (x0 ; g (x0 )) =

0, it follows that

Consider the function j1 (x) := f (x; g (x0 ) "), x 2 (a ; a + ). Since j1 (x0 ) <

0 and j1 is continuous at x0 , there exists 0 < 1 < such that

Since j2 (x0 ) > 0 and j2 is continuous at x0 , there exists 0 < 2 < such that

85

But f (x; g (x)) = 0 and y 2 [b r; b + r] 7! f (x; y) is strictly increasing. It

follows that

g (x0 ) " < g (x) < g (x0 ) + "

and so g is continuous at x0 .

Wednesday, April 8, 2015

Proof. Step 3: Di¤erentiability of g. Fix x0 2 (a ; a + ). Consider the

segment joining (x; g (x)) and (x0 ; g (x0 )),

@f

0 = f (x; g (x)) f (x0 ; g (x0 )) = ( x + (1 ) x0 ; g (x) + (1 ) g (x0 )) (x x0 )

@x

@f

+ ( x + (1 ) x0 ; g (x) + (1 ) g (x0 )) (g (x) g (x0 )) :

@y

Hence,

@f

g (x) g (x0 ) @x ( x + (1 ) x0 ; g (x) + (1 ) g (x0 ))

= @f

x x0 @y ( x + (1 ) x0 ; g (x) + (1 ) g (x0 ))

@f @f

letting x ! x0 and using the continuity of g and of @x and of @y , we get

@f

g (x) g (x0 ) @x (x0 ; g (x0 ))

lim = @f

x!x0 x x0 @y (x0 ; g (x0 ))

and so

@f

(x0 ; g (x0 ))

g 0 (x0 ) = @x

@f

:

@y (x0 ; g (x0 ))

Since the right-hand side is continuous, it follows that g 0 is continuous. Thus g

is of class C 1 .

@f

The next examples show that when det @y (a; b) = 0, then anything can

happen.

@f

Example 248 In all these examples N = M = 1 and @y (x0 ; y0 ) = 0.

2

f (x; y) := (y x) :

@f

Then f (0; 0) = 0, @y (0; 0) = 0 and g (x) = x satis…es f (x; g (x)) = 0.

f (x; y) := x2 + y 2 :

Then f (0; 0) = 0, @f

@y (0; 0) = 0 but there is no function g de…ned near

x = 0 such that f (x; g (x)) = 0.

86

(iii) Consider the function

f (x; y) := (xy 1) x2 + y 2 :

@f

Then f (0; 0) = 0, @y (0; 0) = 0 but

0 if x = 0;

g (x) = 1

x if x =

6 0;

which is discontinuous.

m

and let a 2 U . Assume that f 2 C (U ) for some m 2 N and that

det Jf (a) 6= 0:

Then there exists B (a; r0 ) U such that f (B (a; r0 )) is open, the function

f : B (a; r0 ) ! f (B (a; r0 ))

1

is invertible and f 2 C m (f (B (a; r0 ))). Moreover,

1 1

Jf 1 (y) = Jf f (y) :

RN de…ned by

h (x; y) := f (x) y:

Let b = f (a). Then h (a; b) = 0 and

@h

det (a; b) = det Jf (a) 6= 0:

@x

Hence, by the implicit function theorem there exists B (a; r0 ) RN and B (b; r1 )

RN such that B (a; r0 ) B (b; r1 ) U RN and a function g : B (b; r1 ) !

m

B (a; r0 ) of class C such that h (g (y) ; y) = 0 for all y 2 B (b; r1 ), that is,

f (g (y)) = y

1

for all y 2 B (b; r1 ). This implies that g = f . Moreover,

1

@g @h @h

(y) = (g (y) ; y) (g (y) ; y) ;

@yk @x @yk

that is,

@f 1 1 1

(y) = Jf f (y) ek :

@yk

The next exercise shows that di¤erentiability is not enough for the inverse

function theorem.

87

Exercise 250 Consider the function f : R2 ! R2 de…ned by

0 if x = 0;

f1 (x; y) =

x + 2x2 sin x1 if x =

6 0;

f2 (x; y) = y:

Prove that f = (f1 ; f2 ) is di¤ erentiable in (0; 0) and Jf (0; 0) = 1. Prove that f

is not one-to-one in any neighborhood of (0; 0).

The next exercise shows that the existence of a local inverse at every point

does not imply the existence of a global inverse.

Exercise 251 Consider the function f : R2 ! R2 de…ned by

f (x; y) = (ex cos y; ex sin y) :

Prove that det Jf (x; y) 6= 0 for all (x; y) 2 R2 but that f is not injective.

Friday, April 10, 2015

16 Lagrange Multipliers

In Section 14 (see Theorem 244) we have seen how to …nd points of local minima

and maxima of a function f : E ! R in the interior E of E. Now we are ready

to …nd points of local minima and maxima of a function f : E ! R on the

boundary @E of E. We assume that the boundary of E has a special form, that

is, it is given by a set of the form

x 2 RN : g (x) = 0 :

De…nition 252 Let f : E ! R, where E RN , let F E and let x0 2 F .

We say that

(i) f attains a constrained local minimum at x0 if there exists r > 0 such

that f (x) f (x0 ) for all x 2 F \ B (x0 ; r),

(ii) f attains a constrained local maximum at x0 if there exists r > 0 such

that f (x) f (x0 ) for all x 2 F \ B (x0 ; r).

The set F is called the constraint.

Theorem 253 (Lagrange Multipliers) Let U RN be an open set, let f :

U ! R be a function of class C and let g : U ! R be a class of function C 1 ,

1 M

F := fx 2 U : g (x) = 0g :

Let x0 2 F and assume that f attains a constrained local minimum (or maxi-

mum) at x0 . If Jg (x0 ) has maximum rank M , then there exist 1 , . . . , M 2 R

such that

rf (x0 ) = 1 rg1 (x0 ) + + M rgM (x0 ) :

88

Proof. Assume that f attains a constrained local minimum at x0 (the case of

a local maximum is similar). Then there exists r > 0 such that f (x) f (x0 )

for all x 2 U \ B (x0 ; r) such that g (x) = 0. By taking r > 0 smaller, and since

U is open, we can assume that B (x0 ; r) U so that

has determinant di¤erent from zero. By relabeling the coordinates, if necessary,

we may assume that x = (z; y) 2 RN M RM , x0 = (a; b) and

@g

det (a; b) 6= 0:

@y

there exist r0 > 0, r1 > 0, and a function h : BN M (a; r0 ) ! BM (b; r1 ) of

class C 1 such that BN M (a; r0 ) BM (b; r1 ) B (x0 ; r), h (a) = b, and

by

k (z) := (z; h (z)) :

Then 0 1

IN M

B rh1 (a) C

B C

Jk (a) = B .. C;

@ . A

rhM (a)

which has rank N M . Moreover, since g (k (z)) = 0 for all z 2 BN M (a; r0 ),

by Theorem 200,

0 = Jg (x0 ) Jk (a)

0 @g1 @g1 1 0 @k1 @k1

1

@x1 (x0 ) @xN (x0 ) @z1 (a) @zN M (a)

B .. .. CB . .. C

=@ . . AB@ .. .

C:

A

@gM @gM @kN @kN

@x1 (x0 ) @xN (x0 ) @z1 (a) @zN M (a)

T T

0 = (Jk (a)) (Jg (x0 ))

0 @k1 @kN 10 @g1 @gM 1

@z1 (a) @z1 (a) @x1 (x0 ) @x1 (x0 )

B .. .. C B .. .. C

=@ . . A@ . . A;

@k1 @kN @g1 @gM

@zN M (a) @zN M (a) @xN (x0 ) @xN (x0 )

89

which implies that the vectors rgi (x0 ), i = 1; : : : ; M , belong to the kernel of

the linear transformation T : RN ! RM de…ned by

T

T (x) := (Jk (a)) x; x 2 RN :

Hence,

V := span frg1 (x0 ) ; : : : ; rgM (x0 )g ker T:

T

But dim V = rank Jg (x0 ) = M = N rank (Jk (a)) = dim ker T. Hence,

V = ker T:

It follows from Theorems 196 and 200 that

T T

(Jk (a)) (rf (x0 )) = 0;

which coincides with V . It follows from the de…nition of V that there exist 1 ,

. . . , M 2 R such that

Example 254 Among all rectangles inscribed in the the unit circle in R2 …nd

the one with maximal area. By rotation we can consider rectangles with sides

parallel to the axes. Let (x; y) be the vertex on the …rst quadrant, so that x2 +

y 2 = 1, x > 0, y > 0. Then we want to …nd the maximum of the function

f (x; y) = 4xy

x2 + y 2 = 1. Let’s take g(x; y) = x2 + y 2 1. We are looking for a solution of

the following system

rf = rg;

90

subject to g = 0, that is

8 @f @g

< @x (x; y) @x (x; y) = 0;

@f @g

: @y (x; y) @y (x; y) = 0;

g(x; y) = 0;

that is, 8

< 4y 2x = 0;

4x 2y = 0;

: 2

x + y 2 1 = 0:

We get 8

< 2y = x;

2x = y;

: 2

x + y 2 1 = 0:

so multiplying the …rst two equations we get 4xy = 2 xy, and sincep x p > 0,

y > 0, we have that 4 = , so = 2. If = 2 we get x = y, so 2 ; 22 ,

2 2

But how do we know 22 ; 22 is a solution? The set U is open.

Consider the set K = f(x; y) : x 0; y 0; x2 +y 2 = 1g. This set is closed

and bounded, and so K is compact. By the Weierstrass theorem the function g

has a lobal minimum and a global maximum in K. If either x = 0 or y = 0, we

get g = 0, which gives a global minimum.

p p

Thus the global maximum must be in

U , and so it must be at the point 22 ; 22 .

Could we solve this problem without Lagrange multipliers? Use polar coor-

dinates to write (x; y) = (cos ; sin ). Then we are looking for the maximum of

the function

h( ) = 4 cos sin = 2 sin(2 )

in (0; 2 ).

dist(x0 ; SN 1 );

dist(x0 ; SN 1) = inffkx0 xk : x 2 SN 1g

= inffkx0 xk : kxk = 1g:

To simplify our life, we can square everything, so we are looking for the minimum

of the function

2

f (x) = kx0 xk

2 2

subject to the constraint kxk = 1. Take g(x) := kxk 1. Since SN 1 is closed

and bounded and f is countinuous, by the Weierstrass theorem f has a global

91

minimum and a global maximum in SN 1 . Thus, we can apply the theorem on

Lagrange multipliers. We are looking for a solution of the following system

rf = rg;

subject to g = 0, that is

@f @g

@xi (x) @xi (x) = 0; i = 1; : : : ; N;

g(x) = 0:

We have

2(xi x0;i ) 2 xi = 0; i = 1; : : : ; N;

2

kxk = 1;

that is,

(1 )xi = x0;i ; i = 1; : : : ; N; (1 )x = x0 ;

2 , 2

kxk = 1; kxk = 1:

If x0 = 0, then = 1, and so every point on the sphere is at maximum distance

2

from 0. If x0 6= 0, then 6= 1, and so x = 1 1 x0 . Plugging this into kxk = 1,

we get

1 2 2

1= kx0 k , (1 )2 = kx0 k

(1 )2

which gives =1 kx0 k, and in turn

1

x= x0 :

kx0 k

1 1

The closest point to x0 will be kx0 k x0 and the furthest kx0 k x0 , as we expected.

matrix 0 1

a1;1 a1;N

B .. C

A = @ ... . A

aN;1 aN;N

and let

N X

X N

f (x) := (Ax; x) = aj;k xj xk :

j=1 k=1

Let’s …nd the points of minimum and maximum of f over the unit sphere

SN 1 := @B(0; 1). Since SN 1 is closed and bounded and f is countinuous,

by the Weierstrass theorem f has a global minimum and a global maximum in

SN 1 . Let

f (v1 ) = max ff (x) : kxk = 1g :

2

Take g(x) := kxk 1. Thus, we can apply the theorem on Lagrange multipliers.

We are looking for a solution of the following system

rf = rg;

92

subject to g = 0, that is

@f @g

@xi (x) @xi (x) = 0; i = 1; : : : ; N;

g(x) = 0:

XX N N N X

X N

@f

(x) = aj;k i;j xk + aj;k xj i;k

@xi j=1 j=1 k=1

k=1

N

X N

X N

X

= ai;k xk + aj;i xj = 2 ai;k xk

k=1 j=1 k=1

and so we get

PN

2 k=1 ai;k xk 2xi = 0; i = 1; : : : ; N;

2

kxk 1 = 0;

that is

Ax = x;

2

kxk 1 = 0:

Since v1 is a point of constrained maximum, by the Lagrange multipliers theorem

there exist 1 2 R such that

Av 1 = 1 v 1 ;

which shows that A has one real eigenvalue with eigenvector v 1 . Moreover, since

2

kv 1 k = 1, we have

f (v1 ) = (Av 1 ; v1 ) = 1 v1 v1 = 1;

and so

1 = f (v1 ) = max f(Ax; x) : kxk = 1g :

sume by induction that n eigenvalues and n orthonormal eigenvectors v 1 , . . . ,

v n have been been found, with n < N 1. Let’s …nd the minimum and maximum

of f over the set

Kn := fx 2 SN 1 : x v1 = = x v n = 0g:

The set Kn is closed and bounded, and so again by the Weierstrass theorem f

has a global minimum and a global maximum in Kn . Let vn+1 2 Kn be such

that

f (vn+1 ) = max ff (x) : Kn g :

93

2

Take gn+1 (x) := kxk 1 and gi (x) := 2x v i , i = 1, . . . , n. Then we can

apply the theorem on Lagrange multipliers. We are looking for a solution of the

following system

rf = 1 rg1 + + n+1 rgn+1 ;

subject to g1 = 0, . . . , and g2 = 0 We will get

8

< Ax = 1 v 1 + + n vn + n+1 x

x v1 = = x v n = 0;

: 2

kxk 1 = 0;

Since vn+1 is a point of constrained maximum, by the Lagrange multipliers

theorem there exist 1 , n+1 2 R such that

= (Avn+1 ) vi

= vn+1 (Avi ) = vn+1 ( i vi ) = i (vn+1 vi ) = 0;

2

Moreover, since kv n+1 k = 1, we have

and so

…nd the minimum and maximum of f over the set

Kn := fx 2 SN 1 : x v1 = = x v n = 0g:

In this way we can …nd N 1 eigenvectors. To …nd the last one, we consider a

unit vector v N which is orthogonal to all other vectors v 1 , . . . , v N . Reasoning

as before, taking the inner product with vi gives

AvN is parallel to vN and so AvN = N vN for some N 2 R.

17 Integration

Given N bounded intervals I1 ; : : : ; IN R, a rectangle in RN is a set of the

form

R := I1 IN :

94

The elementary measure of a rectangle is given by

the dependence on N , we will use the notation measN .

Remark 258 Note that the intersection of two rectangles is still a rectangle.

We will use this fact a lot in what follows.

R1 , . . . , Rn such that Ri \ Rj = ; if i 6= j and

n

[

R= Ri :

i=1

partition of R. Prove that

n

X

meas R = meas Ri :

i=1

to approximate E with rectangles. If we approximate E from the outside, we

have two possible choices

( n n

)

X [

meas1 E := inf meas Ri : Ri rectangles, meas Ri E; n 2 N

i=1 i=1

and

( 1 1

)

X [

meas2 E := inf meas Ri : Ri rectangles, meas Ri E : (32)

i=1 i=1

The next example shows that meas1 and meas2 are di¤erent in general.

as

E = frn : n 2 Qg:

If I1 , . . . , Im are intervals that cover E then these intervals cover [0; 1] (exer-

cise). Hence,

Xm

length Ii 1

i=1

95

and so meas1 E 1. Taking I = [0;

S11] shows that meas1 E = 1. On the other

hand, taking In = frn g, then E = i=1 Ii and so

1

X

meas2 E length Ii = 0;

i=1

We will see that meas1 is used to de…ne the Peano–Jordan measure and

Riemann’s integration, while meas2 is used to de…ne the Lebesgue measure and

Lebesgue’s integration.

Remark 261 Note that in meas2 we could use in…nite sums provided we only

consider open rectangles.

Carnival

Monday, April 20, 2015

as a …nite union of rectangles.

disjoint rectangles.

given by

measi E := sup fmeas P : P pluri-rectangle, E P g ;

while the Peano–Jordan outer measure of E is given by

the common value the Peano–Jordan measure. We write meas E := measi E =

meas0 E.

Remark 264 Note that a rectangle is Peano–Jordan measurable and its Peano–

Jordan measure coincides with its elementary measure (see Remark 275).

F , then

meas E meas F:

surable and R is a rectangle containing E, then E [ F , E \ F , R n E are

Peano–Jordan measurable.

96

Exercise 267 Prove that if E1 ; : : : ; En RN are Peano–Jordan measurable

and pairwise disjoint, then

n

! n

[ X

meas Ei = meas Ei :

i=1 i=1

n

and E i=1 Ei is Peano–Jordan measurable, then

n

X

meas E meas Ei :

i=1

S joining x and y intersects @E.

if its boundary is Peano–Jordan measurable and it has Peano–Jordan measure

zero.

(why?), and so

meas P = meas P = meas P :

Step 1: Assume that E RN is Peano–Jordan measurable and let R be a

rectangle containing E. Since

measi E = meas0 E;

for every " > 0 there exist a pluri-rectangle P1 contained in E and and a pluri-

rectangle P2 containing E such that

Hence,

= meas P2 meas P1 ":

E P2 ; P1 E ;

we have that

@E = E n E P2 n P1 :

Hence,

inf fmeas P : P pluri-rectangle, @E Pg meas P2 n P1 ";

97

which, by letting " ! 0+ , implies that

= inf fmeas P : P pluri-rectangle, @E P g = 0:

Step 2: Assume that @E RN is Peano–Jordan measurable with measure

zero. Since E is bounded, so is E and so there exists a rectangle R containing

E. Since meas @E = 0 by the previous theorem there exists a a pluri-rectangle

P containing @E such that

meas P ":

The set R n P is a pluri-rectangle and thus we can write it as disjoint unions of

rectangles,

[n

RnP = Ri :

i=1

Let P1 be the pluri-rectangle given by the union of all the rectangles Ri that

are contained in E, so that P1 E. Let P2 := P [ P1 . We claim that

E P2 :

and so it belongs to R n P . Hence, there exists Ri such that x 2 Ri . But then

Ri must be contained in E. Indeed, if not, then there exists y 2 Ri \ (R n E).

It follows by Exercise 269 that the segment S joining x and y must contained

a point on the boundary of @E, which is a contradiction since the segment S is

contained in Ri and Ri does not intersect P @E. This proves the claim.

Since the claim holds, for every " > 0 we have found a pluri-rectangle P1

contained in E and and a pluri-rectangle P2 is containing E such that

Wednesday, April 22, 2015

Given a rectangle R and two partitions P and Q of R, we say that Q is a

re…nement of P, if each rectangle of Q is contained in some rectangle of P.

Next we de…ne the integral of a bounded function. Consider …rst the case in

which f is nonnegative. Let R RN be a rectangle and let f : R ! [0; 1) be

a bounded function. The integral of f should measure the set

Thus it makes sense to de…ne the upper Riemann integral of f as the outer

Peano–Jordan measure of Sf in RN +1 , that is,

Z

f (x) dx = measo;N +1 (Sf ): (33)

R

98

Similarly, we could de…ne the lower Riemann integral of f as the inner Peano–

Jordan measure of Sf in RN +1 , that is,

Z

f (x) dx = measi;N +1 (Sf ): (34)

R

write

m

[

Q= Qi ;

i=1

loss of generality, we can assume that Qi = Ri Ii , where Ri RN , Ii is

an interval, and the rectangles Ri are pairwise disjoint. Also, without loss of

generality we can put together all the rectangles Qj = Rj Ij which have the

same base Ri . Thus we can assume that the rectangles Qi are of the form

Qi = Ri [li ; Mi ], where li 0. Note that since Sf R [0; 1), necessarily,

Mi supRi \R f .

De…ne Ri0 := Ri \ R, Q0i := Ri0 [0; supRi0 f ], and

m

[

Q0 := Q0i ;

i=1

Sf , and so

Z m

X

f (x) dx sup f measN Ri0 = measN +1 (Q0 ) measN +1 (Q):

0

R i=1 Ri

Z (m )

X

f (x) dx = inf sup f measN Ri : Ri are a partition of R; m 2 N :

R i=1 Ri

(35)

In many books the right-hand side is used as a de…nition for the upper Riemann

integral. Note that it makes sense also for functions which takes negatives values.

We will use this as a de…nition.

upper Riemann integral R f (x) dx of f is de…ned as in (35).

Another way to look at the upper Riemann integral is to use step functions.

step function if there exists a partition R1 , . . . , Rn of R such that s is constant

on each rectangle Ri of the partition, that is, there exist c1 , . . . , cn 2 R such

that s(x) = ci for all x 2 Ri , i = 1, . . . , n.

99

The Riemann integral of a step function is de…ned by

Z m

X

s (x) dx := ci measN Ri :

R i=1

It follows from the discussion above that the upper integral of a bounded func-

tion f can be written as

Z Z

f (x) dx = inf s (x) dx : s step function, f s : (36)

R R

which is contained in Sf . Then we can write

m

[

Q= Qi ;

i=1

loss of generality, we can assume that Qi = Ri Ii , where Ri RN , Ii is

an interval, and the rectangles Ri are pairwise disjoint. Also, without loss of

generality we can put together all the rectangles Qj = Rj Ij which have the

same base Ri . Thus we can assume that the rectangles Qi are of the form

Qi = Ri [li ; mi ]. Since Q Sf R [0; 1), necessarily, Ri R, li 0,

mi inf Ri f .

De…ne Q0i := Ri [0; inf Ri f ], and

m

[

Q0 := Q0i ;

i=1

Then Sf Q0 Q, and so

Z m

X

f (x) dx inf0 f measN Ri0 = measN +1 (Q0 ) measN +1 (Q):

R Ri

i=1

Z (m )

X

f (x) dx = sup inf f measN Ri : Ri are a partition of R; m 2 N :

R Ri

i=1

(37)

In many books the right-hand side is used as a de…nition for the lower Riemann

integral. Note that it makes sense also for functions which takes negatives

values.

lower Riemann integral R f (x) dx of f is de…ned as in (37).

100

Observe that

Z Z

f (x) dx = sup s (x) dx : s step function, f s :

R R

say that f is Riemann integrable over R if the lower and upper integral coincide.

WeR call the common value the Riemann integral of f over R and we denote it

by R f (x) dx. Thus, for a Riemann integrable function,

Z Z Z

f (x) dx := f (x) dx = f (x) dx:

R R R

Remark 275 Note that the function f = 1 is Riemann integrable over a rec-

tangle R and Z

1 dx = meas R:

R

We can also de…ne the Riemann integral over bounded sets E. Given a

bounded set E RN , let R be a rectangle containing E. We say that function

f : E ! R is Riemann integrable over E if the function

f (x) if x 2 R

g (x) :=

0 if x 2 R n E

to be Z Z

f (x) dx := g (x) dx:

E R

Exercise 276 Prove the previous de…nition does not depend on the choice of

the particular rectangle R containing E.

Note that in the discussion above we have proved the following important

theorems.

function. Then

Z Z

f (x) dx = measo;N +1 (Sf ); f (x) dx = measi;N +1 (Sf ):

R R

Jordan measurable in RN +1 and in this case

Z

measN +1 Sf = f (x) dx:

R

101

Remark 278 With a similar proof one can show that if R RN is a rectangle

and f : R ! R is a bounded function, with f (x) c for all x 2 R. Then f is

Riemann integrable over R if and only if the set

Z

measN +1 Tf = (f (x) c) dx:

R

N

Theorem 279 Let R R be a rectangle and let f : R ! [0; 1) be a bounded

function. Then

Z Z

f (x) dx = inf s (x) dx : s step function, f s

R R

and Z Z

f (x) dx = sup s (x) dx : s step function, f s :

R R

integrable if and only if the set of its discontinuity points has Lebesgue measure

zero (see (32)).

In view of the previous theorem, we have the following.

is Riemann integrable.

do not need to assume that f is bounded. Indeed, since R is closed and bounded,

it is sequentially compact, and so by the Weierstrass theorem f is bounded.

(ii) if f is monotone, then f is Riemann integrable.

thus by the previous theorem it is Riemann integrable.

If f is monotone, then it is bounded from below by min ff (a) ; f (b)g and

from above by max ff (a) ; f (b)g. Moreover, by Theorem 138 its set of disconti-

nuity points is at most countable. Since a countable set has Lebesgue measure

zero, it follows from the previous theorem that f is Riemann integrable.

102

Example 284 Some examples of functions that are Riemann integrable and

others that are not.

sin x1 if 0 < x 1;

f (x) =

0 if x = 0;

is Riemann integrable over [0; 1], since it is bounded and discontinuous

only at x = 0.

(ii) The function

1 if x = n1 for some n 2 N;

f (x) =

0 otherwise,

is Riemann integrable over [0; 1], since it is bounded and its set of discon-

tinuity points is

1

E= [ f0g ;

n n

which is countable.

1 if x 2 Q;

f (x) =

0 otherwise,

is bounded but not Riemann integrable over [0; 1], since it is bounded and

its set of discontinuity points is [0; 1].

8

< 0 if x is irrational,

g (x) := 1

if x = pq with p; q 2 N relatively prime, 0 < p < q;

: p

1 if x = 0 or x = 1:

(ii) Prove that g is continuous at every irrational point of [0; 1].

(iii) Prove that g is Riemann integrable.

Corrections Homework #9.

Monday, April 27, 2015

a bounded function, let P = fR1 ; : : : ; Rn g be a partition of R and let P =

103

fR1 ; : : : ; Rn g be a partition of R and let Q = fS1 ; : : : ; Sm g be a re…nement of

P. Prove that

n

X m

X

meas Ri inf f (x) meas Sj inf f (x) ;

x2Ri x2Sj

i=1 j=1

Xm Xn

meas Sj sup f (x) meas Ri sup f (x) :

j=1 x2Sj i=1 x2Ri

Prove that

Z Z

meas R inf f (x) f (x) dx f (x) dx meas R sup f (x) :

x2R R R x2R

simplify the notation, given a partition P = fR1 ; : : : ; Rn g of R, we de…ne the

lower and upper sums of f for the partition P respectively by

n

X

L (f; P) := meas Ri inf f (x) ;

x2Ri

i=1

Xn

U (f; P) := meas Ri sup f (x) :

i=1 x2Ri

Z

f (x) dx = sup fL (f; P) : P partition of Rg ;

R

Z

f (x) dx = inf fU (f; P) : P partition of Rg :

R

double, etc.. integrals by integrating one variable at a time.

tangles, let f : S T ! R be Riemann integrable and assume that for every

x 2 S, theR function y 2 T 7! f (x; y) is Riemann integrable. Then the function

x 2 S 7! T f (x; y) dy is Riemann integrable and

Z Z Z

f (x; y) d (x; y) = f (x; y) dy dx: (38)

S T S T

R x 2 S 7! f (x; y) is Riemann inte-

grable, then the function y 2 T 7! S f (x; y) dx is Riemann integrable and

Z Z Z

f (x; y) d (x; y) = f (x; y) dx dy:

S T T S

104

Proof. Let R := S T . Let P and Q be two partitions of R. Construct a

re…nement (exercise) P 0 = fR1 ; : : : ; Rn g of P and Q with the property that

each rectangle Rk can be written as Rk = Si Tj , where PN = fS1 ; : : : ; Sm g

and PM = fT1 ; : : : ; T` g are partitions of S and T , respectively. Using the fact

that

measN +M Rk = measN +M (Si Tj ) = measN Si measM Tj ;

and Exercise 286 we have

m X̀

X

L (f; P) L (f; P 0 ) = measN Si measM Tj inf inf f (x; y)

x2Si y2Tj

i=1 j=1

m

X X̀

measN Si inf measM Tj inf f (x; y)

x2Si y2Tj

i=1 j=1

Xm Z Z Z

measN Si inf f (x; y) dy f (x; y) dy dx

x2Si T S T

i=1

Z Z m

X Z

f (x; y) dy dx measN Si sup f (x; y) dy

S T i=1 x2Si T

m

X X̀

measN Si sup measM Tj sup f (x; y)

i=1 x2Si j=1 y2Tj

m X̀

X

measN Si measM Tj sup sup f (x; y)

i=1 j=1 x2Si y2Tj

0

= U (f; P ) U (f; Q) ;

Z Z Z Z

L (f; P) f (x; y) dy dx f (x; y) dy dx U (f; Q) :

S T S T

Z Z Z

f (x; y) d (x; y) f (x; y) dy dx

S T S T

Z Z

f (x; y) dy dx U (f; Q) :

S T

Z Z Z

f (x; y) d (x; y) f (x; y) dy dx

S T S T

Z Z Z

f (x; y) dy dx f (x; y) d (x; y) :

S T S T

105

Since f is Riemann integrable, it follows that

Z Z Z Z Z

f (x; y) d (x; y) = f (x; y) dy dx = f (x; y) dy dx;

S T S T S T

R

which implies that the function x 2 S 7! T

f (x; y) dy is Riemann integrable

and that (38).

Remark 289 Note that if in Theorem 288 we remove the hypothesis that for

every x 2 S, the function y 2 T 7! f (x; y) is Riemann integrable, we can still

R R

prove that the functions x 2 S 7! T f (x; y) dy and x 2 S 7! T f (x; y) dy are

Riemann integrable with

Z Z Z !

f (x; y) d (x; y) = f (x; y) dy dx

S T S T

Z Z

= f (x; y) dy dx:

S T

The proof is similar to the one of Theorem 288 and we leave it as an exercise.

In turn, !

Z Z Z

f (x; y) dy f (x; y) dy dx = 0:

S T T

R R

Since T f (x; y) dy T

f (x; y) dy 0, it follows from Exercise ?? that there

exists a set E S of Lebesgue measure zero such that

Z Z

f (x; y) dy f (x; y) dy = 0

T T

Riemann integrable.

The following example shows that without assuming that f is Riemann in-

tegrable, the previous theorem fails.

8

>

< 1 if there exist p 2 prime and m; n 2 N

f (x; y) := such that (x; y) = m n

p; p ;

>

:

0 otherwise.

Let E be the set of all (x; y) 2 [0; 1] [0; 1] for which there exist p 2 prime and

m n

m; n 2 N such that (x; y) = p; p . Using the density of the rationals and of

the irrationals, it can be shown that both E and ([0; 1] [0; 1]) n E are dense in

[0; 1] [0; 1]. Hence, the set of discontinuity points of f is [0; 1] [0; 1]. Thus,

106

f is not Riemann integrable. On the other hand, if we …x x 2 [0; 1] and we

consider the function f (x; ), then we have the following two cases. If x = m

p

for some p 2 prime and some m 2 N, then

( n o

1 if y 2 p1 ; : : : ; p p 1 ; pp ;

f (x; y) =

0 otherwise.

Riemann integrable in [0; 1] with

Z 1

f (x; y) dy = 0:

0

p for some p 2 prime

and some m 2 N. In this case f (x; y) = 0 for all y 2 [0; 1] and so again

R1

0

f (x; y) dy = 0, which shows that

Z 1 Z 1 Z 1

f (x; y) dy dy = 0 dy = 0

0 0 0

and similarly, Z Z Z

1 1 1

f (x; y) dx dx = 0 dx = 0:

0 0 0

R

So the iterated integrals exist and are equal, but the integral [0;1] [0;1]

f (x; y) d (x; y)

does not exist.

integrable does not imply that for every x 2 S, the function y 2 T 7! f (x; y)

is Riemann integrable.

1 if y 2 [0; 1] \ Q and x = 21 ;

f (x; y) :=

0 otherwise.

The function f is discontinuous only on the segment 12 [0; 1], which has

Lebesgue measure zero. Hence, f is Riemann integrable in [0; 1] [0; 1]. On

the other hand, if we …x x = 12 and we consider the function g (y) = f 12 ; y ,

y 2 [0; 1], we have that g is discontinuous at every y 2 [0; 1], and so g is not

Riemann integrable in [0; 1].

R

Exercise 292 Calculate [0;1] [0;1] f (x; y) d (x; y) in two di¤ erent ways, where

f (x; y) := x sin (x + y) :

107

De…nition 293 Given a bounded set E RN , let R be a rectangle containing

E. We say that function f : E ! R is Riemann integrable over E if the function

f (x) if x 2 R

g (x) :=

0 if x 2 R n E

to be Z Z

f (x) dx := g (x) dx:

E R

Exercise 294 Prove the previous de…nition does not depend on the choice of

the particular rectangle R containing E.

@ (E n F ) @E [ @F

two Riemann integrable functions, with (x) (x) for all x 2 R, let

integrable over E and

Z Z Z !

(x)

f (x; y) d (x; y) = f (x; y) dy dx:

E R (x)

f (x; y) if (x; y) 2 E;

g (x; y) :=

0 if (x; y) 2 (R [a; b]) n E:

We need to show that g is Riemann integrable over R [a; b]. Hence, we need

to look at the set of discontinuity points of g. Since g is continuous in E, we

have that the discontinuity points of g are on the boundary of E. Thus, we

need to show that @E has Lebesgue measure zero in RN +1 . We will show more,

namely that it has Peano–Jordan measure zero in RN +1 . Let c 2 R be such

that (x) c for all x 2 R. Then

=T nT :

Jordan measure zero in RN +1 in view of the previous corollary, it follows that

@E has Peano–Jordan measure zero in RN +1 . This shows that g is Riemann

integrable over R [a; b].

108

For every x 2 R, the function

8

< 0 if y > (x) ;

y 2 [a; b] 7! g (x; y) = f (x; y) if (x) y (x) ;

:

0 if y < (x) ;

(x) and y = (x). Hence, by Theorem 288, the function x 2 R 7! [a;b] g (x; y) dy

is Riemann integrable and

Z Z Z !

g (x; y) d (x; y) = g (x; y) dy dx

R [a;b] R [a;b]

Z Z !

(x)

= f (x; y) dy dx:

R (x)

Remark 297 If and are continuous, then the set of discontinuity points of

g is given by the union of the graphs of and , but if and are discontinuous,

then the set of discontinuity points of g is larger (why?).

Z Z

f (x) dx = f (x) dx: (39)

R R

Z Z Z

(f (x) + g (x)) dx = f (x) dx + g (x) dx: (40)

R R R

(iii) If f g, then Z Z

f (x) dx g (x) dx:

R R

Z Z

f (x) dx jf (x)j dx:

R R

Proof. We only prove (ii). Since the set of discontinuities points of f + g and

f g is contained in the union of the sets of discontinuities points of f and g, using

109

the fact that the …nite union of sets of Lebesgue measure zero still has measure

zero, it follows that the functions f + g and f g are Riemann integrable.

To prove (40), let P and Q be two partitions of R and construct a re…nement

S of both P and Q. Using the fact that

inf f + inf g inf (f + g) ;

E E E

L (f; P) + L (g; Q) L (f; S) + L (g; S)

Z

L (f + g; S) (f (x) + g (x)) dx:

R

Z Z

f (x) dx + L (g; Q) (f (x) + g (x)) dx:

R R

Z Z Z

f (x) dx + g (x) dx (f (x) + g (x)) dx: (41)

R R R

of both P and Q. Using the fact that

sup (f + g) sup f + sup g;

E E E

Z

(f (x) + g (x)) dx U (f + g; S) U (f; S) + U (g; S)

R

U (f; P) + U (g; Q) :

Taking the in…mum over all partitions P of R, we get

Z Z

(f (x) + g (x)) dx f (x) dx + U (g; Q) :

R R

Z Z Z

(f (x) + g (x)) dx f (x) dx + g (x) dx: (42)

R R R

Z Z Z

f (x) dx + g (x) dx (f (x) + g (x)) dx

R R R

Z Z Z

(f (x) + g (x)) dx f (x) dx + g (x) dx:

R R R

Since f and g are Riemann integrable, it follows that the left and right hand

side of the previous inequalities are the same and so (40) holds.

110

Exercise 299 Give an example of a bounded function f : R ! R such that jf j

is Riemann integrable over R, but f is not.

Exercise 300 Consider a bounded function f : [a; b] ! R. Prove that for every

constant C 2 R,

Z b Z b

(f (x) + C) dx = f (x) dx + C (b a) ;

a a

Z b Z b

(f (x) + C) dx = f (x) dx + C (b a) :

a a

Proposition 301 Consider a bounded function f : [a; b] ! R and let c 2 (a; b).

Then

Z b Z c Z b

f (x) dx = f (x) dx + f (x) dx; (43)

a a c

Z b Z c Z b

f (x) dx = f (x) dx + f (x) dx: (44)

a a c

Proof. To highlight the dependence of the interval I where the lower and upper

sums are taken, we write L (f; P; I) and U (f; P; I). Let P = fx0 ; : : : ; xn g be a

partition of [a; b]. Consider the new partition P 0 = P [ fcg (note that if c is

already in P , then P 0 = P ). Let P1 := P 0 \ [a; c] and P2 := P 0 \ [c; b]. Then P1

is a partition of [a; c] and P2 is a partition of [c; b]. Hence,

Z c Z b

f (x) dx + f (x) dx L (f; P1 ; [a; c]) + L (f; P2 ; [c; b])

a c

where in the last inequality we have used Exercise 286. Taking the supremum

over all partitions P of [a; b], we get

Z c Z b Z b

f (x) dx + f (x) dx f (x) dx = sup L (f; P; [a; b]) : (45)

a c a P partition of [a;b]

To prove the opposite inequality, …x " > 0. Using the de…nition of supremum,

we may …nd a partition P1" of [a; c] and a partition P2" of [c; b] such that

Z c

L (f; P1" ; [a; c]) f (x) dx ";

a

Z b

L (f; P2" ; [c; b]) f (x) dx ":

c

111

Then P " := P1" [ P2" is a partition of [a; b] and so P2 is a partition of [c; b].

Hence,

Z b

f (x) dx L (f; P " ; [a; b]) = L (f; P1" ; [a; c]) + L (f; P2" ; [c; b])

a

Z c Z b

f (x) dx + f (x) dx 2":

a c

Letting " ! 0+ and using also (45), we obtain (43). The proof of (44) is similar

and we omit it.

Theorem 302 (Fundamental Theorem of Calculus, I) Consider a bounded

function f : [a; b] ! R and let

Rx Rx

a

f (y) dy if a < x b; f (y) dy if a < x b;

F (x) := G (x) := a

0 if x = a; 0 if x = a:

Then F and G are di¤ erentiable at every point x0 2 [a; b] at which f is contin-

uous, with

F 0 (x0 ) = G0 (x0 ) = f (x0 ) :

Proof. Assume that f is continuous at x0 2 [a; b]. We consider the case

x0 2 (a; b) (the cases x0 = a and x0 = b) are simpler. We want to prove that

F (x) F (x0 )

lim = f (x0 ) :

x!x0 x x0

For h 6= 0 consider the di¤erent quotient

( 1 Rx

F (x) F (x0 ) x x0 x0 (f (y) f (x0 )) dy if x > x0 ;

f (x0 ) = 1

R x0

x x0 x x0 x (f (y) f (x0 )) dy if x < x0 ;

where we have used (43) and Exercise 300. Since f is continuous at x0 , given

" > 0 there exists = (x0 ; ") > 0 such that

jf (x) f (x0 )j "

for all x 2 [a; b] with jx x0 j . Take jx x0 j . Then for x > x0 (the case

x < x0 is similar), by Exercise 287, we have

Z x

x x0 1

" inf (f (y) f (x0 )) (f (y) f (x0 )) dy

x x0 y2[x0 ;x] x x0 x0

x x0

sup (f (y) f (x0 )) ";

x x0 y2[x0 ;x]

F (x) F (x0 )

f (x0 ) ":

x x0

This concludes the proof.

112

Theorem 303 (Fundamental Theorem of Calculus, II) Let F : [a; b] !

R be a di¤ erentiable function. Assume that F 0 is Riemann integrable over [a; b].

Then Z b

F (b) F (a) = F 0 (x) dx: (46)

a

113