This chapter is devoted to di#erential calculus.

Tools from di#erential calculus

are widely used in many branches of analysis, including in optimization. In
optimization,
our main concern in this book, they are used, among other things,
to derive optimality conditions in extremal problems which are described by
di#erentiable functions.
We treat the calculus of scalar-valued functions f : U ! R or vectorvalued
functions (maps) f : U ! Rm, where U is an open set in Rn. The vector
spaces Rn and Rm can replaced with any
nite-dimensional vector spaces over
R without changing any of our results or methods. In fact, most of our results
remain true (with some minor changes) if Rn and Rm are replaced by Banach
spaces. Although this extension can be done in a straightforward manner,
we desire to keep our presentation fairly concrete, and the
nite-dimensional
vector space setting is su#cient for our needs. We deviate from this rule only
in Chapter 3, where we consider di#erentiable functions in Banach spaces.
The interested reader is referred to the books by Edwards [84] and Spivak
[245] for more detailed treatments of calculus in
nite-dimensional vector
spaces, and Dieudonn#e [77] and Hormander [140] in Banach spaces. Surveys
of di#erential calculus in even more general vector spaces may be found in the
references [11, 12].
1.1 Taylor's Formula
Taylor's formula in one or several variables is needed to obtain necessary
and su#cient conditions for local optimal solutions to unconstrained and
constrained
optimization problems. In this section, we treat Taylor's formula for
functions of a single variable. The several-variable version of the formula is
treated in later sections of this chapter.
We start with Taylor's formula in Lagrange's form.
Theorem 1.1. Let f : I = (c; d) ! R be a n-times di#erentiable function. If
a; b are distinct points in I, then there exists a point x strictly between a and
b such that
f(b) = f(a) + f0(a)(b a) + f00(a)
2
(b n a)2 + # # # + f(n1)(a)
(n 1)!
(b n a)n1
+f(n)(x)
n!
(b a)n
=
XnX1
i=0
f(i)(a)
i!
(b a)i + f(n)(x)
n!
(b a)n:
Note that the case n = 1 is precisely the mean value theorem.
Proof. The idea of the proof is similar to that in the case n = 1: create a
function g(t) such that g(k)(a) = 0, k = 0; : : : ; n 1, g(b) = 0, and apply
Rolle's theorem repeatedly.
The (n 1)th-degree Taylor approximation (polynomial) at a,
nPn1(t) = f(a) + f0(a)(t a) + f00(a)
2
n a)2 + # # # + f(n1)(a)
(t
(n 1)!
n a)n1;
(t
satis
es the conditions P(k)
n1(a) = f(k)(a), k = 0; : : : ; n1. Thus, the function
nn
n
h(t) := f(t) Pn1(t) satis
es the condition h(k)(a) = 0, k = 0; : : : ; n 1.
However, h(b) may not vanish. We rectify the situation by de
ning
g(t) n = f(t) Pn1(t)
K
n!
(t a)n;
with the constant K chosen such that g(b) = 0, that is,
nf(b) = Pn1(b) + K
n!
(b a)n: (1.1)
Then,
g(k)(a) = f(k)(a) P(k)
n1(a) = 0; k = 0; : : : ; n 1; g(b) = 0:
Rolle's theorem implies that there exists x1 strictly between a and b such
that g0(x1) = 0. Since g0(a) = g0(x1) = 0, Rolle's theorem applied to g0
implies that there exists x2 strictly between a and x1 such that g00(x2) = 0.
nWe continue in this fashion and obtain fxign1
1 such that g(i1)(xi1) = 0.
ii
Finally, g(n1)(a) = g(n1)(xn1) = 0, and applying Rolle's theorem once
nnn
nmore, we obtain a point xn strictly between a and xn1 such that g(n)(xn) = 0.
)Since g(n)(t) = f(n)(t)K, we have g(n)(xn) = K. Equation (1.1) implies the
theorem. ut
This proof is adapted from [268].
In practice, the most useful cases of Taylor's theorem correspond to n = 1
and n = 2.