Professional Documents
Culture Documents
Pierre Schapira
http://www.math.jussieu.fr/schapira/lectnotes
Contents
1 Differentiable maps
1.1 Differential . . . . . . . . . . . . .
1.2 Necessary conditions for extremum
1.3 The mean value theorem . . . . . .
Exercises . . . . . . . . . . . . . . . . . .
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7
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. 14
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. 26
2 Higher differentials
2.1 The Schwarz lemma . . . .
2.2 The Taylor formula . . . .
2.3 Applications to extremum
Exercises . . . . . . . . . . . . .
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29
29
34
38
40
3 Submanifolds
3.1 The local inversion theorem
3.2 The constant rank theorem .
3.3 Submanifolds . . . . . . . .
3.4 Tangent space . . . . . . . .
Exercises . . . . . . . . . . . . . .
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43
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48
52
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58
CONTENTS
Introduction
The aim of these Notes is to provide a short and self-contained presentation
of the main concepts of differential calculus.
Our point of view is to work in the abstract setting of a real normed
space, and when necessary to specialize to the case of a finite dimensional
space endowed with a basis. The main notion is that of the differential of a
function: it is the first linear approximation of the function, and it is important since, in practice, linear functions are essentially the only ones which can
be computed. Hence, the game is to deduce some knowledge of the function
from that of its differential. We illustrate this point all over the course and
particularly in two situations:
(i) when searching extrema of a real function, by using the method of Lagrange multipliers,
(ii) when studying embedded submanifolds and calculating their tangent
spaces.
These Notes use the basic notions of general topology and are the continuation of [4]. Among the vaste literature dealing with differential calculus,
let us only quote the books [1] and [3].
For the French students who would learn Mathematical English, see [2].
Bibliography
6
[4] P. Schapira, General Topology.
http://www.math.jussieu.fr/ schapira/lectnotes/
CONTENTS
Chapter 1
Differentiable maps
1.1
Differential
In all these Notes, unless otherwise specified, we will consider real normed
vector spaces. Recall that if E and F are two such spaces, L(E, F ) denotes
the linear space of continuous linear maps from E to F . The space L(E, F )
is endowed with the norm ||u|| = sup||x||1 ||u(x)||. Here, u L(E, F ), x E
and || || denotes either the norm on E, or on F or on L(E, F ).
In this Chapter, we will often encounter the following situation: U is an
open subset of E and f : U
F is a map. We write for short
(1.1)
EU
F or also f : E U
F.
v(h) =
which goes to 0 when n goes to . Since v(h) does not depend on n, v(h) = 0.
q.e.d.
7
Definition 1.1.3. (i) If u exists, one denotes it by f 0 (a), or else df (a), and
calls it the differential of f at a.
(ii) If f 0 (a) exists for all a U one says that f is differentiable on U . If
moreover, the map U 3 a 7 f 0 (a) L(E, F ) is continuous, then one
says that f is of class C 1 on U and one denotes by C 1 (U ; F ) the space
of such functions.
If f is differentiable at a then f is continuous at a.
If f is constant, then f is differentiable at each a E and f 0 (a) = 0.
If f L(E, F ), then f is differentiable at each a E and f 0 (a) = f .
If f is differentiable at a and R, then f is differentiable at a and
(f )0 (a) = f 0 (a).
If f and g are differentiable at a, then f + g is differentiable at a and
(f + g)0 (a) = f 0 (a) + g 0 (a).
If F = F1 F2 and f = (f1 , f2 ), then f is differentiable at a if and only
if f1 and f2 are differentiable at a and in this case f 0 (a) = (f10 (a), f20 (a)).
A similar remark holds when F = F1 Fm .
Example 1.1.4. (i) If E = F = R, then f is differentiable at a R if and
only if it is derivable at a. For example, the map x 7 |x| from R to R is not
differentiable at 0.
(ii) Let K be a compact space and let E = C 0 (K; R) be the Banach space
of real continuous functions on K. Recall that E is a Banach space for the
sup-norm, ||f || = supxK |f (x)|. Consider the map
f: E
E,
f () = 2 , E.
1.1. DIFFERENTIAL
x
+ (a, x) || (b, y).
||x||
Here, (a, x) goes to 0 when x goes to 0 and (b, y) goes to 0 when y goes
to 0. Since f is continuous at a, y goes to 0 when x goes to 0. Hence, (b, y)
goes to 0 when x goes to 0 and thus (a, x) goes to 0 when x goes to 0.
q.e.d.
Example 1.1.6. Let E = C 0 (K; R) for a compact space K. Let U = {
E; > 0}. The set U is open in E. Indeed, let U . Let denote the
minimum of on K. Since K is compact, there exists t K with (t) = .
Thus > 0. It follows that the open ball B(, ) is contained in U . Now
take K = [0, 1] and consider the map
Z 1
f: U
R, 7
ln((t))dt.
0
R1
Then f = g h with h() = ln() and g() = 0 (t)dt. Let us calculate h0 .
Let [a, b] be a compact interval contained in R>0 . One has
ln(x + y) = ln(x) +
y
+ |y|(x, y)
x
(t)
+ |(t)|((t), (t)).
(t)
10
However, this result is not precise enough since we need that ||(, )|| goes
to 0 when |||| goes to 0. Let us recall a well-known formula for real functions
of one variable, a result which will be generalized in Corollary 1.3.6:
Let I be an open interval of R and let f : I
R be a function
which admits a continuous derivative on I. Then
|f (x + y) f (x) f 0 (x) y| |y| sup0|t|1 |f 0 (x + ty) f 0 (x)|.
Applying this result to the function ln(x), we find a constant C 0 not
depending on t [0, 1] such that |(, )(t)| C |(t)| where (, ) is
defined in (1.3). Hence
+ ||||(, )
ln( + ) = ln() +
(t)
((t), (t)). Then
||||
(, ) goes to 0 when goes to 0 and we get that h is differentiable at each
U and
where (, ) E is the function (, )(t) =
h0 ()() =
f ()() =
0
(t)
dt.
(t)
Example 1.1.7. Let A be a Banach algebra. Denote by the set of invertible elements. Then is open in A. Indeed, if x , then x+y = x(1 +x1 y)
and 1 +x1 y is invertible as soon as ||y|| ||x1 || < 1, hence as soon as
||y|| < (||x1 ||)1 .
Now denote by J :
the map x 7 x1 . Then J is differentiable at
each a and
(1.4)
J 0 (a)h = a1 ha1 .
(i) Let us first prove that J is continuous, that is, (a + h)1 a1 goes to 0
when h goes to 0. When multiplying (a + h)1 a1 by a, and noticing that
a(a + h)1 = (a1 )1 (a + h)1 = ((a + h)a1 )1 , this is equivalent to saying
that (1 u)1 goes to 1 when u goes to 0. Since
X
X
|| 1 (1 u)1 || = ||
un ||
||u||n ,
n1
n1
1.1. DIFFERENTIAL
11
P
this follows from the fact that n1 n goes to 0 when goes to 0.
(ii) Let us prove that J is differentiable and calculate its differential. We
have
(a + h)1 a1 = a1 a(a + h)1 a1 (a + h)(a + h)1
= a1 h(a + h)1
= a1 ha1 a1 h (a + h)1 a1 .
Therefore, (a + h)1 a1 (a1 ha1 ) = ||h||(a, h), with
(a, h) = a1
h
(a + h)1 a1 .
||h||
: N , E,
x 7 x,
a = + a,
x 7 x + a.
The map a is called an affine map, it is the sum of the linear map and the
constant map x 7 a.
f
d
f (a + tv)(0).
dt
12
f
:= fE0 j or else j f := fE0 j or else fx0 j := fE0 j .
xj
Then we get
f
f
(a)dx1 +
(a)dx2
x1
x2
= fx0 1 (a)dx1 + fx0 2 (a)dx2 .
f 0 (a) =
One shall be aware that the existence of partial derivatives does not imply
the existence of the differential.
Example 1.1.9. Let E = R R and consider the function f : E
R given
by
xy
f (x, y) = 2
for (x, y) 6= 0, f (0, 0) = 0.
x + y2
Then f admits partial derivatives along {0} R and along R {0} at each
(x, y) R2 but f is not differentiable at (0, 0) since it is not continuous at
this point.
1.1. DIFFERENTIAL
13
Jacobian matrix
Assume that E = E1 En . Let a U E, with U open, and let
f: U
F be a map. Assume f 0 (a) exists. This is a linear map from E to
F . Recall the notation 1.8. Hence
f
(a) L(Ej , F )
xj
and for h = (h1 , . . . , hn ) E1 En , we have
n
X
f
f (a) =
(a)hj .
xj
j=1
0
f
(a) is the derivative at t = 0
xj
of the function R 3 t 7 f (a + t ej ). Moreover, denote by (e1 , . . . , en ) the
dual basis to (e1 , . . . , en ). Then ej is the linear map
When E is endowed with a basis (e1 , . . . , en ),
x=
n
X
xi ei 7 xj ,
i=1
f1
(a)
x1
(1.9)
f 0 (a) =
f
p
(a)
x1
Hence Jf (a) = {
where
fi
(a) belongs to the i-th
xj
f1
(a)
xn
fp
(a)
xn
14
1.2
15
16
Lagranges multipliers
First, we need a lemma of linear algebra.
Lemma 1.2.2. Let E be a vector space over R, let u1 , . . . , ud be d continuous
linear maps from E to R. Set
(1.10)
T
In other words, N = dj=1 u1
R be a continuous linear
j (0). Let u : E
map P
and assume that u|N = 0. Then there exist 1 , . . . , d in R such that
u = dj=1 j uj .
Proof. We shall only give the proof when dim E < . In this case, we set
E = L(E, R). Let L E be the linear space generated by u1 , . . . , ud and
let L denote its orthogonal:
L = {x E; hu, xi = 0 for all u L}.
Clearly, x L if and only if uj (x) = 0 for j = 1, . . . , d. Hence, N = L .
The hypothesis u|N = 0 means that u N . Since (L ) = L, we get that
u L, that is, u belongs to the space generated by (u1 , . . . , ud ).
q.e.d.
Corollary 1.2.3. Let f : E U
R be a map and let a U . Let N E
be the vector subspace given by the equations (1.10) and let Na = a + N be
the affine space passing through a and parallel to N . Assume that f 0 (a) exists
and f |Na has a local extremum at a on Na U . Then
P there exist 1 , . . . , d
in R (the Lagrange multipliers) such that f 0 (a) = dj=1 j uj .
Proof. Let a : N
E be the map x 7 a+x. Then the map f a has a local
extremum at 0 on N . Applying Theorem 1.2.1, we get that (f a )0 (0) = 0.
Hence, f 0 (a)|N = 0 and it remains to apply Lemma 1.2.2.
q.e.d.
Theorem 1.2.4 below will be easily deduced from Corollary 1.2.3 in Chapter 3.
Theorem 1.2.4. (The Lagranges multipliers Theorem.) Let E be a finite
dimensional vector space, U an open subset and let a U . Let f : E
U
R be a map and assume that f 0 (a) exists. Also assume that there
exist d functions {j }j=1,...,d of class C 1 on U such that their differentials
at a, {0j (a)}j=1,...,d , are linearly independent. Set S = {x U ; j (x) =
0 for all j = 1, . . . , d}. Now assume that f |S has a local extremum at a.
Then
exist 1 , . . . , d in R (the Lagrange multipliers) such that f 0 (a) =
Pd there
0
j=1 j j (a).
17
R1
0
(t)dt = 1} and
Let us find
R the linear map
R 1 the extrema of f on N . Denote by u : E
u : 7 0 (t)dt. Then N = { E; u() = 1}. On the other hand,
R1
f = h g where g() = 2 and h() = 0 (t)dt. Since g 0 () = 2 and
h is linear, we get
1
f () = 2
(t)(t)dt.
0
f () =
(t)dt
0
R1
for all E. Choosing = 2 , we get 0 (2 )2 dt = 0, hence
1
= . Since N , this implies 1. On the other hand, one has the
2
Cauchy-Schwarzs inequality
Z
(
(t)(t)dt)
(t)dt
0
2 (t)dt.
2 (t)dt,
18
Then
0
f () =
0
(t)
dt.
(t)
1
. One gets
Z 1
1
( )2 dt = 0,
0
(x1 xn ) n
(x1 + + xn )
for all (x1 , . . . , xn ) (R>0 )n .
n
(1.12)(x1 xn ) n
1
for all (x1 , . . . , xn ) (R>0 )n with x1 + + xn = 1.
n
19
K = {x R ; xi 0 for all i,
n
X
xi = 1}.
i=1
1
U = (R>0 ) E = R , N = {x R ;
n
X
xi = 1}.
i=1
P
Applying Corollary 1.2.3, there exists R such that f 0 (a) = ( ni=1 dxi ).
Hence
n
n
X
X
1 dxi
n
= (
dxi ).
(a1 an )
ai
i=1
i=1
P
This implies a1 = = an and since ni=1 ai = 1, we get ai = n1 for all i. At
1
this point a, we have f (a) = (( n1 )n ) n = n1 , which proves (1.12).
Example 1.2.8. Consider the plane curve defined by the equation
= {(x, y) R2 ; (x, y) = 0}, where (x, y) = 3x2 + 2xy + 2y 2 1.
First remark that since |(x, y)| x2 + y 2 , the function |(x, y)| goes to
infinity when (x, y) goes to infinity. This implies that is bounded, hence
compact since is continuous.
We search the Euclidian distance
of 0 to . Hence, the problem is to find
p
the minimum of the function x2 + y 2 on the compact set .
Since d 6= 0 on , we may apply Theorem 1.2.4 to the function f (x, y) =
2
x + y 2 . If this function admits a minimum on at (x, y), we will have
2(xdx + ydy) = ((6x + 2y)dx + (4y + 2x)dy.
Hence
x
y
= 2x2 + 4xy 2y 2 6xy = 0.
6x + 2y 4y + 2x
x2 y 2 xy = 0,
1
which gives 5x2 = 1, hence x = . Then one calculates y and among the
5
four solutions for (x, y) one chooses that which minimizes x2 + y 2 .
20
2x
1
0
0
0
0
has rank 2.
0
0
0
0
xx yy x x y y
We get
(y y 0 ) (x x0 ) = 0,
2x(y 0 y) + (x0 x) = 0.
The first equation tells us that the line passing through (x, y) and (x0 , y 0 ) is
orthogonal to and the second equation tells us that this line is orthogonal
to the tangent to at (x, y). Assuming for simplicity that 6= 0, we find
.
x = 2
Let us be more explicit and assume = {yx+1 = 0}, = {yx2 = 0}.
Then x = 21 , y = 14 and x0 = 78 , y 0 = 1
. Therefore, the value of the distance
8
3
0
2
0
2 12
is d = ((x x) + (y y) ) = 8 2.
1.3
21
Lemma 1.3.1. Assume that the right derivatives fd0 (x) and gd0 (x) exist for
all x ]a, b[ and that ||fd0 (x)|| gd0 (x) for all x ]a, b[. Then ||f (b) f (a)||
g(b) g(a).
Proof. Let > 0 and consider the relation
()
(f (x) f (c))
||
||fd0 (c)||,
(x c)
2
(g(x) g(c))
gd0 (c)
+ .
(x c)
2
Since c
/ U , we have
(1.14)
22
Proof. Set M = sup0t1 ||f 0 (a + th)|| and apply Theorem 1.3.3 with x = a,
y = a + h and A = [a, a + h].
q.e.d.
Corollary 1.3.6. Let f : U
F be a map and assume that f is differentiable
on U . Let a U and let > 0 such that the closed ball B(a, ) is contained
in U . Then for any h E with ||h|| , one has
||f (a + h) f (a) f 0 (a) h|| ||h|| sup ||f 0 (a + th) f 0 (a)||.
0t1
q.e.d.
23
||fx0 1 (a1 , a2
+ h2 ) h1 fx0 1 (a1 , a2 ) h1 ||
||h1 || ||fx0 1 (a1 , a2 + h2 ) fx0 1 (a1 , a2 )||,
||f (a1 , a2 + h2 ) f (a1 , a2 ) fx0 2 (a1 , a2 ) h2 ||
||h2 || sup ||fx0 2 (a1 , a2 + th2 ) fx0 2 (a1 , a2 )||.
0t1
The first and third inequalities follow from Corollary 1.3.6 and the second
one is obvious. By adding these inequalities we obtain
||f (a1 + h1 , a2 + h2 ) f (a1 , a2 ) fx0 1 (a1 , a2 ) h1 + fx0 2 (a1 , a2 ) h2 ||
(||h1 || + ||h2 ||)(1 + 2 + 3 )
24
with
1 = sup ||fx0 1 (a1 + th1 , a2 + h2 ) fx0 1 (a1 , a2 + h2 )||
2 =
3 =
0t1
||fx0 1 (a1 , a2 + h2 ) fx0 1 (a1 , a2 )||
sup ||fx0 2 (a1 , a2 + th2 ) fx0 2 (a1 , a2 )||.
0t1
25
Hence, choosing y = a
(1.16) ||fn (x) fp (x)|| ||fn (a) fp (a)|| + ||x a|| sup ||fn0 (z) fp0 (z)||.
zB
By the hypotheses, for any > 0 there exists N such that for n, p N , we
have
(1.17)
Let > 0.
(i) By making p going to in (1.15) (with y = x0 ), we see that there exists
N1 0 such that n N1 implies:
(1.18)
By adding (1.18), (1.19) and (1.20), we obtain that for for each > 0,
there exists > 0 such that ||x x0 || implies that the left hand side
of (1.17) is less or equal to 3||x x0 ||.
(B) We have proved the theorem when U is an open ball. Assume that
U = B1 B2 where B1 and B2 are open balls and B1 B2 6= . Assume for
example that the point a given in the statement belongs to B1 . Then the
26
U=
N
[
j=1
(D) To conclude, remark that U being connected, for any pair a, b U there
exists a finite set of open balls as in (1.21) whose union contains both a and
b. To check this point, notice that U being connected and locally arcwise
connected, it is arcwise connected. Hence, there exists a continuous map
: [0, 1]
U such that (0) = a and (1) = b. The set K = ([0, 1]) U
being compact, there exists a finite covering of K by open balls conained in
U.
q.e.d.
Exercises to Chapter 1
Exercise 1.1. We follow the notations of Example 1.1.7: A is a Banach
algebra, denotes the open set of invertible elements and J :
is the
1
map x 7 x . Without using the fact that J J = id, check directly that
J 0 (J(a)) J 0 (a) = idA for any a .
Exercise 1.2. Consider the map f = (f1 , f2 ) : R2
R2 given by:
0 if (x, y) = (0, 0)
f1 (x, y) = x,
f2 (x, y) =
y 2 x4
y
otherwise.
y 2 + x4
(i) Show that 2x2 |y| x4 + y 2 then that |y f2 (x, y)| x2 .
(ii) Deduce that f2 and f are differentiable at each (x, y) R2 and calculate
the differential of f at (0, 0).
Exercise 1.3. Let A, B, C be 3 points on the unit circle of R2 . How to
choose these points in order that the perimeter of the triangle (A, B, C) is
maximum?
n
Exercise 1.4.
i 6= j and
Pn Let 2{bi }i=1 be positive numbers with bi 6= bj forn1
let fP
(x) = i=1 bi xi . find the extrema of f on the unit sphere S
= {x
n
n
2
R ; i=1 xi = 1}.
Exercises to Chapter 1
27
28
Chapter 2
Higher differentials
As in Chapter 1, E and F will denote real normed vector spaces.
2.1
x = (x1 , . . . , xn ) 7 u(x)
sup
||xi ||1,1in
29
||u(x1 , . . . , xn )||.
30
Therefore
||u(x1 , . . . , xn )|| ||u|| ||x1 || ||xn ||.
If Ei = E for all i, a multilinear map is called an n-linear map. For n N,
we shall denote by Ln (E, F ) the space of continuous n-linear maps from E
to F .
Note that for n = 1, L1 (E, F ) = L(E, F ). For n = 0 one sets L0 (E, F ) =
F . Also note that
(2.1)
for any permutation of the set {1, . . . , n}. One denotes by Lns (E, F ) the
subspace of Ln (E, F ) consisting of symmetric maps.
If u Lns (E, F ) is a symmetric n-multilinear map on E with values in
F , one associates to it a polynomial u
e homogeneous of order n by setting for
xE
(2.3)
u
e(x) = u(x, . . . , x) = u xn .
e is differentiable on E
Lemma 2.1.1. Let u Lns (E, F ). Then the map u
and
(2.4)
u
e0 (x) h = n u xn1 h.
x 7 (x, . . . , x)
n
X
j=1
q.e.d.
31
Differential of order n
Let U be an open subset of E and let f : E U
F be a map. One defines
by induction the notion of differential of order m at a U .
Definition 2.1.2. (a) One says that f admits a differential of order m at
a U , denoted f (m) (a) if there exists an open neighborhood V of a
such that f (m1) (x) exists for any x V and the function f (m1) is
differentiable at a. One then defines f (m) (a) = (f (m1) )0 (a).
(b) If f admits a differential of order m at any x U and the function
x 7 f (m) (x) from U to Lm (E, F ) is continuous, one says that f if of class
C m on U . One denotes by C m (U, F ) the R-vector space of functions of
class C m on U .
(c) If f admits a differential of order m for all m N one says that f is of
class C and one denotes by C (U, F ) the R-vector space of functions
of class C on U .
Recall that f (1) (a) = f 0 (a) L(E, F ). Hence, f (n1) is a map V
n1
(n)
n
L (E, F ) and f (a) L (E, F ) by (2.1). One sets for short
f 00 = f (2) .
For x, y E we write f 00 (a)xy instead of f 00 (a)(x, y).
Theorem 2.1.3. (The Schwarz Lemma.) If f (n) (a) exists, then the multilinear map f (n) (a) is symmetric, that is, f (n) (a) Lns (E, F ).
Proof. (i) Let us reduce the problem to the case n = 2. We argue by induction
and assume the result is proved for n 1, with n 2. Therefore
f (n) (a) L(E, Lsn1 (E, F )).
Hence, f (n) (a)(x1 , . . . , xn ) is symmetric with respect to (x1 , . . . , xn1 ). On
the other hand, f (n) (a) = (f (n2) )(2) (a). Hence
f (n) (a)(x1 , . . . , xn ) = (f (n2) )(2) (a)(x1 , . . . , xn2 , xn1 , xn )
is symmetric with respect to (xn1 , xn ). To conclude, notice that is an nmultilinear map u(x1 , . . . , xn ) is symmetric with respect to (x1 , . . . , xn1 ) and
with respect to xn1 , xn ), then it is symmetric. Indeed, any permutation of
the set {1, . . . , n} is a composition of permutations of the set {1, . . . , n 1}
and transposition of the set {n 1, n}.
32
33
f
(a) =
(a) for any i, j {1, . . . , n}.
that f 00 (a) exists. Then
xi xj
xj xi
Proof. Let h = (h1 , . . . , hn ) E1 En . One has
n
X
f
(a) hj ,
f (a) h =
xj
j=1
0
n X
n
X
2f
f (a) h h =
(a) hj hi .
xi xj
i=1 j=1
00
q.e.d.
2f
= fx00i ,xj ,
xi xj
3f
= fx(3)
,
i ,xj ,xk
xi xj xk
and so on.
Second differential of a composition
We shall consider the situation of Proposition 1.1.5 and calculate the second
derivative. First we need a lemma.
34
Lemma 2.1.8. Let E, F1 , F2 , F3 be normed spaces, let U be an open subset of E and let a U . Let u : U
L(F1 , F2 ) and v : U
L(F2 , F3 ) be
two maps. For x U , set w(x) = v(x) u(x) L(F1 , F3 ). Assume that
u0 (a) L(E, L(F1 , F2 )) and v 0 (a) L(E, L(F2 , F3 )) exist. Then w0 (a)
L(E, L(F1 , F3 )) exists and for h E, one has:
w0 (a) h = (v 0 (a) h) u(a) + v(a) (u0 (a) h).
Proof. The proof is left as an exercise.
q.e.d.
2.2
f (a + h) = f (a) +
1 0
1
f (a) h + + f (n) (a) hn + Rn (a, h).
1!
n!
Theorem 2.2.1. (i) One has Rn (a, h) = ||h||n (a, h) where (a, h) goes to
0 when h goes to 0.
(ii) Assume moreover that f (n+1) (x) exists on the interval [a, a + h] U
and ||f (n+1) (x)|| M for some constant M on this interval. Then
||Rn (a, h)|| M
||h||n+1
.
(n + 1)!
35
(1 t)n (n+1)
f
(a + th)hn+1 dt.
n!
1 0
1
f (a) x + + f (n) (a) xn .
1!
n!
Then
g 0 (x) = f 0 (a + x) f 0 (a) +
1
1 00
f (a) x + x + +
f (n) (a) xn1 .
1!
(n 1)!
Note that g(x) F and g 0 (x) L(E, F ). Also note that g(0) = 0 and
g(h) = Rn (a, h).
The induction hypothesis, applied to the function f 0 (a + x), gives
g 0 (x) = ||x||n1 (x)
where (x) goes to 0 when x goes to 0. In other words, for any > 0 there
exists > 0 such that ||x|| implies (x) . Hence,
||g 0 (x)|| ||x||n1 for ||x|| .
Applying Theorem 1.3.3 (more precisely, applying Corollary 1.3.5), we get
||g(x)|| ||x||n for ||x|| .
This shows that the function
g(h)
||h||n
t[0,1]
||w(t)||
tn+1
C
(n + 1)!
36
tn
C.
n!
1
1 0
v (0) + + v (n) (0)
1!
n!
we get
||v(t) v(0) +
(2.8)
t 0
tn
tn+1
v (0) + + v (n) (0) ||
C.
1!
n!
(n + 1)!
(1 t) 0
(1 t)n (n) (1 t)n (n+1)
(t) + +
(t) =
(t).
(t) +
t
1!
n!
n!
(1 t) (p)
(t) dt =
t
p!
(1) (0)
(p)
(0)
p!
if p = 0,
if p > 0,
we obtain
1
1
(1) (0) + 0 (0) + + (n) (0) =
1!
n!
Since (p) (t) = f (p) (a + th) hp , we get the result.
Z
0
(1 t)n (n+1)
(t)dt.
n!
q.e.d.
37
Let
the particular case where E = Rn . In this case f 0 (a) h =
Pn us consider
f
i=1 hi xi (a). Denote by h the differential operator
h =
n
X
hi
i=1
xi
(2.10)
! = 1 ! . . . n !
(2.11)
(2.12)
X p!
y.
!
||=p
38
2.3
Applications to extremum
In Section 1.2, we have given a necessary condition for a real valued function
to have a local extremum. Here, we shall refined it and also give a sufficient
condition.
Positive definite forms
Definition 2.3.1. Let (E, ||||) be a real normed space and let u : E E
R
be a symmetric bilinear form.
(i) One says that u is positive semidefinite if u(h, h) 0 for any h E.
(ii) One says that u is positive definite if there exists a constant c > 0 such
that u(h, h) c ||h||2 for any h E.
(iii) One says that u is negative semidefinite (resp. negative definite) if u
is positive semidefinite (resp. positive definite).
We shall concentrate our study on positive forms.
Lemma 2.3.2. Assume that E is finite dimensional. Then u is positive
definite if and only if u(h, h) > 0 for any h 6= 0.
Proof. The unit sphere being compact, there exists c > 0 such that u(h, h) >
c for any h with ||h|| = 1. For h 6= 0 one has
u(h, h) = ||h||2 u(
and the result follows.
h
h
,
)
||h|| ||h||
q.e.d.
39
Now consider a real vector space E endowed with a basis (e1 , . . . , en ) (e.g.,
E = Rn ) and let u be a symmetric bilinear form on E. To u one associates the symmetric (n n)-matrix with entries u(ei , ej ). Conversely, if
A = {aij }i,j=1,...,n is a symmetric (n n)-matrix, it defines a bilinear form on
E by setting for h = (h1 , . . . , hn ):
a11 a1n
h1
(2.13)
u(h, h) = (h1 , . . . , hn )
an1 ann
hn
For a square matrix A = {aij }i,j=1,...,n and for 1 p n let us denote by p
the determinant of the matrix {aij }1i,jp .
The next classical result will be admitted without proof.
Lemma 2.3.3. Let u be a symmetric bilinear form on the vector space E endowed with a basis (e1 , . . . , en ) and let A be the associated symmetric matrix.
Then u is positive definite if and only if p > 0 for all p with 1 p n.
One says that a symmetric square matrix is positive semidefinite (resp.
positive definite) if the bilinear form it defines on Rn is positive semidefinite
(resp. positive definite) and similarly with negative instead of positive.
One shall be aware that for a matrix, to be negative definite does not
imply and is not implied by the condition that p < 0 for all p with 1 p
n.
Necessary and sufficient conditions for extremum
f
1
f (a + x) f (a) = f 00 (a) x2 + ||x||2 (x)
2
where (x) goes to 0 when x goes to 0. There exists c > 0 such that f 00 (a)
x2 c ||x||2 and there exists > 0 such that ||(x)|| 4c for ||x|| .
Therefore,
c
f (a + x) f (a) + ||x||2 for ||x|| .
4
40
(ii) Let us argue by contradiction and assume there exists h E with f 00 (a)
h2 = c < 0. Then f 00 (a) (th)2 = t2 c. Let us choose > 0 such that
c
|(x)| 4||h||
2 for ||x|| , where (x) is given in (2.14). For ||th|| we
have:
1 2 00
t f (a) h2 + ||th||2 (th)
2
c
= t2 + t2 ||h||2 (th).
2
f (a + th) f (a) =
Since |t2 ||h||2 (th)| t2 4c , we get f (a + th) f (a) t2 4c < 0 and a is not a
local minimum.
q.e.d.
f
Exercises to Chapter 2
Exercise 2.1. We follow the notations of Example 1.1.7: A is a Banach
algebra, denotes the open set of invertible elements and J :
is the
1
00
2
map x 7 x . Calculate J (a) h for a and h A.
Exercise 2.2. Calculate the Taylor series at (0, 0) of the function f (x, y) =
1
.
1x2 +y 2
Exercise 2.3. Calculate the Taylor series to the order 3 at (0, 0) of the
1 x2 y 2 1
x
functions f (x, y) = xy exp( 1y
) and g(x, y) = (
)2 .
1y
Exercise 2.4. Search the local extrema of the functions from R2 to R given
by f (x, y) = x4 + y 2 , g(x, y) = xy and h(x, y) = x2 y 2 14 y 4 and discuss
their nature (local/global, minimum/maximum).
Exercises to Chapter 2
41
42
Chapter 3
Submanifolds
3.1
space G. If f : U
V and g : V
W are C k -isomorphisms, then
gf: U
W is a C k -isomorphism.
A linear C 0 -isomorphism u L(E, F ) is a C -isomorphism. Indeed, a
continuous linear map is of class C .
f
E U
F be a map of class C 1 . Then the set of a U such that
f 0 (a) is a linear C 0 -isomorphism is open in U .
Example 3.1.2. The map t 7 t3 from R to R is a C 0 -isomorphism and is
of class C , but it is not a C 1 -isomorphism.
43
44
CHAPTER 3. SUBMANIFOLDS
f |W : W
V .
Proof. (i) Since f 0 (a) is an isomorphism, we may replace f with f 0 (a)1 f
and assume from the beginning that F = E and f 0 (a) = idE . We set b = f (a).
Morover, since f 0 (x) is invertible in a neighborhood of a and by replacing U
with another neighborhood of a we may assume from the beginning that
f 0 (x) is invertible for x U .
(ii) Set (x) = f (x) x. Then is C k and 0 (a) = 0. Hence, for any C > 0
there exists r > 0 such that ||x a|| r implies ||0 (x)|| C. Applying
Theorem 1.3.3, we get
x, x0 B(a, r) ||(x) (x0 )|| C ||x x0 ||.
We shall repeat the argument of the fixed point theorem. Let us choose C
with 0 < C < 1. For y B(b, (1 C)r), we define a sequence (xn )n as
follows. We start with x0 = a and we set
xn+1 = y (xn ).
(3.1)
45
This shows that xn+1 B(a, r). Moreover, (xn )n is a Cauchy sequence since
||xn+p xn || (C n + + C n+p )||x1 x0 ||
n
C
and C n + + C n+p 1C
goes to 0 when n goes to . Since E is complete,
the sequence (xn )n has a limit x. Since
||xn x0 ||
1
||y b||,
1C
1
we get ||x x0 || 1C
||y b|| < r which shows that x B(a, r). Making n
goes to infinity in (3.1), we get
(3.2)
or equivalently
1
||y y 0 ||.
1C
1
||y y0 ||.
1C
46
CHAPTER 3. SUBMANIFOLDS
It follows that
||x x0 || 2 (x0 , x) = ||y y0 || 4 (y0 , y)
where 4 (y0 , y) goes to 0 when y goes to y0 . Then (3.4) reads as
(3.5)
g 0 (y0 ) = f 0 (x0 )1 .
Recall Example 1.1.7 and denote by the open subset of L(E, E) consisting
of invertible maps and by J :
the map u 7 u1 . Then (3.6) reads as
0
01
1
g (y0 ) = f (f (y0 )), that is,
(3.7)
g 0 = J f 0 f 1 .
47
Example 3.1.7. Let E = C 0 ([0, 1], R). Denote by U the subset of E consisting of functions such that (t) > 0 for all t [0, 1]. We have already
noticed that U is open in E. Let us show that for |||| 1, the equation
Z 1
(t)dt
= ln
0
admits a solution U .
Consider the map
Z
f: U
E,
7 ln
(t)dt.
0
Then
f () =
Z
(t)dt + ln
(t)dt.
0
Hence, f 0 (1) = idE . (We denote by 1 the function t 7 1.) Applying Theorem 3.1.3, we deduce that there exists a neighborhood W of 1 and a neigh
borhood V of 0 such that f |W is an isomorphism W
V .
The implicit functions theorem
Before to state the theorem, let us take an example. Consider the circle
{(x, y) R2 ; x2 + y 2 = 1}, that is, the set {(x, y) R2 ; f (x, y)
= 0} where
2
2
2
f (x, y) = x +y 1. For y > 0 it is the graph
of the function y = 1 x , for
2
y < 0 it is the graph p
of the function y = 1 x , for x > 0, it is the graph
of the function
x = 1 y 2 and for x < 0, it is the graph of the function
p
x = 1 y 2 . One sees that, locally on R2 , the equation f (x, y) = 0 is
equivalent to either an equation y = g(x) or an equation x = h(y).
In the sequel, for a function f defined on an open subset of E F , we
write for short fx0 and fy0 instead of fE0 and fF0 .
Theorem 3.1.8. The implicit functions theorem. Let E, F, G be three Banach spaces, U an open subset of E F , f : U
G a map of class C k
(k 1) and let (a, b) U with f (a, b) = 0. Assume that fy0 (a, b) L(F, G)
is invertible. Then there exists an open neighborhood V of (a, b) in U , an
open neighborhood W of a in E and a map g : W
F of class C k such that
(x, y) V, f (x, y) = 0 x W, y = g(x).
Moreover g 0 (x) = fy0 1 (x, g(x)) fx0 (x, g(x)) for (x, y) V .
48
CHAPTER 3. SUBMANIFOLDS
3.2
q.e.d.
49
If E and F are endowed with basis, then the Jacobian matrix Jf (a) is
well-defined, and the rank of f at a is the rank of this matrix.
Assume that f is C 1 on U . If rk(f)(a) = r, then rk(f)(x) r for x in a
neighborhood of a. Indeed, we may endow E and F with basis. Then
Jf has rank r at a if there exists a square (r r)-matrix extracted
from Jf (x) with non zero-determinant at x = a. This determinant will
remain different from 0 for x in a neighborhood of a.
f
e
e open in E and let e
e.
Consider another map E U
F with U
aU
e
Definition 3.2.2. Let us say that the germ of f at a and the germ of fe at
e
a are C k -equivalent if there exist:
f of e
(i) open neighborhoods W of a and W
a in E,
(ii) open subsets V and Ve in F ,
f and : V
(iii) C k -isomorphisms : W
W
Ve
such that (a) = e
a and fe = f 1 .
This is visualized by the commutative diagram
(3.8)
EW
V F
f
EW
fe
Ve F .
50
CHAPTER 3. SUBMANIFOLDS
f
(3.9)
f
F GW
e
/V
F.
J =
D(f1 ,...,fp )
D(x1 ,...,xp )
D(f1 ,...,fp )
D(xp+1 ,...,xn )
Inp
!
.
Therefore, is a C k -isomorphism of Rn in a neighborhood W of a by Theorem 3.1.3. Set G = Rnp and denote by : Rp Rnp
Rp the projection,
we have f = .
q.e.d.
f
EW
V EG
Ve F
51
D(f1 ,...,fn )
D(x1 ,...,xn )
D(fn+1 ,...,fp )
D(x1 ,...,xn )
0
Ipn
!
.
52
CHAPTER 3. SUBMANIFOLDS
3.3
Submanifolds
Again in this section, the vector spaces E, F , etc. are finite dimensional.
Recall that a subset S of a topological space X is said locally closed if
it is the intersection of an open subset U and a closed subset Z of X. Of
course, U and Z are not unique. This is equivalent to saying that for each
x S, there exists an open neighborhood Ux of x in X such that S Ux is
closed in Ux . For example, an open interval of R is locally closed in C.
In the sequel, k is an integer 1 or k = +.
Definition 3.3.1. Let S be a subset of a real finite vector space E. One
says that S is a submanifold of class C k of E if for each a S there exists
an open neighborhood U of a, an open subset V of E, a C k -isomorphism
: U
V such that (S U ) = N V and N is a linear subspace.
isomorphism V1
V2 and (V1 N1 ) = V2 N2 . It follows that dim N1 =
dim N2 . This allows us to set
Definition 3.3.2. Let S be a submanifold and let a S. The dimension of
S at a is the dimension of the linear space N given in Definition 3.3.1. The
codimension of S at a is the dimension of E minus the dimension of S at a.
The dimension of S at x is a locally constant function. One denotes it by
dim S. One denotes by codimS the codimension.
Remark 3.3.3. (a) A submanifold S of E is locally closed in E.
(b) If S is an affine space, that is, S = a + N where N is a linear subspace,
then S is a submanifold.
(c) An open subset U of E is a submanifold of codimension 0. A discrete
subset of E is a submanifold of dimension 0.
(d) Let : E U
V F be a C k -isomorphism from an open subset U
of E to an open subset V of F . If S is a submanifold of E, then (S) is
a submanifold of F of the same dimension.
(e) If S is a sumanifold of E and Z is a submanifold of F , then S Z is a
submanifold of E F .
We shall give many examples of submanifolds below.
3.3. SUBMANIFOLDS
53
Construction by submersion
f
(ii) Let E U
F be a map of class C k and denote by f the graph of f :
f = {(x, y) U F ; y = f (x)}.
Then f = {(x, y) U F ; g(x, y) = 0} where g : U F
F is the map
g(x, y) = y f (x). Then rk(g)(x, y) = dim F at each (x, y) which shows that
g is a submersion. Hence f is a submanifold and its dimension is that of E.
(iii) The surface {(x, y, z) R3 ; z = xy} is a submanifold since it is a graph.
The change of variable (x, y) 7 (x + y, x y) interchanges it with the submanifold {(x, y, z) R3 ; z = x2 y 2 } which is easier to draw.
Construction by immersion
f
54
CHAPTER 3. SUBMANIFOLDS
Example 3.3.8. (i) One can also define the circle S1 as the image of R in R2
by the map t 7 (cos t, sin t). For each (x, y) S1 R2 , there exists an open
neighborhood U of (x, y) and an open interval I R such that U S1 = f (I).
Therefore, S1 is a submanifold of dimension 1.
(ii) The torus T2 = S1 S1 R3 is the image of R2 by the map
(R + r cos ) cos ,
(, ) 7
(R + r cos ) sin ,
r sin .
Here 0 < r < R. One proves as for the circle that T2 is a submanifold of
dimension 2.
(iii) A graph f U F , as in Example 3.3.5 (ii), may also be obtained by
the immersion E U , U F , x 7 (x, f (x)).
3.4
Tangent space
Definition 3.4.1. Let E be a finite dimensional real vector space and let S
be a submanifold. Let a S. A vector v E is tangent to S at a if there
exists a C 1 -map : I
E, where I is an open interval of R and t0 I such
that (t) S for all t I, (t0 ) = a and 0 (t0 ) = v.
One denotes by Ta S the subset of E consisting in vectors tangent to S at
a and calls it the tangent vector space to S at a.
Intuitively, one can think to as an object moving along S. Then a
tangent vector v to S at a is the speed at time t = t0 of this object, assuming
it is at a at time t0 .
f
55
a bijection Ta S
Tf (a) N . Hence, it is enough to check the result when
S = N . In this case, this is clear since any vector v N is the derivative at
t = 0 of a C 1 -map : R
N , namely the map (t) = t v.
q.e.d.
Definition 3.4.4. The affine tangent space to S at a is the affine space
a + Ta S.
Tangent space for submersions
Proposition 3.4.5. Let S be a submanifold of E and let a S. Assume
f
that there exists a submersion E U
F of class C 1 and b f (U ) such
that S = f 1 (b). Then Ta S = Ker f 0 (a).
Proof. Since f (S) {b}, f 0 (a)Ta S {0} by Lemma 3.4.2. Hence, Ta S
Ker f 0 (a). Since both spaces have the same dimension, the result follows.
q.e.d.
If F = Rp and f = (f1 , . . . , fp ), then the affine tangent space a + Ta S is given
by the equations
a + Ta S = {x E; hx a, fj0 (a)i = 0, 1 j p}.
Example 3.4.6. Let
S = {(x, y, z) R3 ; z 2 x2 y 2 = 0, 2x + y + 1 = 0}.
Consider the map f : R3
R2 , (x, y, z) 7 (z 2 x2 y 2 , 2x + y + 1), so that
1
S = f (0). The Jacobian matrix of f is given by
2x 2y 2z
Jf (x, y, z) =
2
1
0
Hence f is a submersion at each (x, y, z) S and S is a submanifold of
dimension 1.
= {(x, y, z) R3 ; x 2y + 5z = 0, 2x + y = 0}.
The affine tangent space is a + , that is the set
56
CHAPTER 3. SUBMANIFOLDS
57
0
R be a map and assume that f (a) exists. Let S U be a closed submanifold
with a S. Assume that f |S has a local extremum at a. Then the restriction
of f 0 (a) to the tangent space Ta S vanishes, that is, f 0 (a)|Ta S = 0.
Proof. We may assume that there exist an open neighborhood V of a and
a submersion g : V
Rd such that S V = g 1 (0). By Theorem 3.2.4
(with other notations), there exists a local isomorphism : E
E defined
in a neighborhood of b := 1 (a) such that g is linear. Set N = {x
E; (g )(x) = 0}. Then f has a local extremum on N at b. Let us write
g = (1 , . . . , d ). Applying Corollary 1.2.3, we find scalars (1 , . . . , p ) such
that
0
(f ) (b) =
d
X
j (j )0 (b),
j=1
that is
0
f (a) (b) =
d
X
j 0j (a) 0 (b).
j=1
d
X
j 0j (a),
j=1
q.e.d.
58
CHAPTER 3. SUBMANIFOLDS
(i) Assume that f 00 (a)|Ta S is positive definite. Then f |S has a local strict
minimum at a.
(ii) Assume that f |S has a local minimum at a. Then f 00 (a)|Ta S is positive
semidefinite.
Proof. The proof goes as for Theorem 3.4.8. We may assume that there
exist an open neighborhood V of a and a submersion g : V
Rd such that
1
S V = g (0). By Theorem 3.2.4 (with other notations), there exists a
local isomorphism : E
E defined in a neighborhood of b := 1 (a) such
that g is linear. Set N = {x E; (g )(x) = 0}. Then f has a local
(resp. strict local) minimum at a if and only if f has a local (resp. strict
local) minimum on N at b.
On the other hand, f 00 (a)|Ta S is positive definite (resp. semidefinite) if
and only if (f )00 (b)|N is positive definite (resp. semidefinite). Indeed,
Proposition 2.1.9 gives
(f )00 (b) = f 00 (a) 0 (b) + f 0 (a) 00 (b)
and the hypothesis that f 0 (a) = 0 gives
(f )00 (b) = f 00 (a) 0 (b).
To conclude, we apply Theorem 2.3.4 on N .
q.e.d.
One shall be aware that the condition that f 0 (a) = 0 cannot be weaken by
only assuming that f 0 (a)|Ta S = 0. For example, consider E = R2 , a = (0, 0),
S = {(x, y) R2 ; y x2 = 0} and f (x, y) = x2 y. Then Ta S = {(x, y); y =
0}, f 0 (a)|Ta S = 0, f 00 (a)|Ta S (x, x) = x2 is positive definite, but f has not a
strict minimum at a on S.
Exercises to Chapter 3
Exercise 3.1. (This exercise is a continuation of Exercise 1.2.) Consider the
map f = (f1 , f2 ) : R2
R2 given by:
0 si (x, y) = (0, 0)
f1 (x, y) = x,
f2 (x, y) =
y 2 x4
y
sinon.
y 2 + x4
(i) Show that 2x2 |y| x4 + y 2 then that |y f2 (x, y)| x2 .
(ii) Deduce that f2 and f are differentiable at each (x, y) R2 and calculate
the differential of f at (0, 0).
Exercises to Chapter 3
59
60
CHAPTER 3. SUBMANIFOLDS
b2 + c 2 2
) = R2 },
c
x2 y 2
z2
+
=
}.
a2
b2
c2
which intersects the coordinates axis along intervals of the same length.
Exercise 3.7. Consider the map f : R4
R2
(x, y, z, t) 7 (u = x2 + 2y 2 + 3z 2 + 4t2 4, v = x + y z t)
and let S = {(x, y, z, t) R4 ; f (x, y, z, t) = 0}.
(i) Prove that S is a compact submanifold of dimension 2.
(ii) Calculate the affine tangent plane a + Ta S at a = (1, 0, 1, 0).
(iii) Prove that the equation f (x, y, z, t) = 0 in a neighborhood of a is equivalent to (z, t) = g(x, y) for a C -function g with values in R2 and calculate
z z t
t
, ,
and y
.
x y x