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Lesson 4 Derivatives: 1. Derivatives in Multi-Variables Functions
Lesson 4 Derivatives: 1. Derivatives in Multi-Variables Functions
Lesson 4 Derivatives: 1. Derivatives in Multi-Variables Functions
DERIVATIVES
LESSON 4
DERIVATIVES
1. Derivatives in multi-variables functions.
Let us suppose that we want to analyse the local behaviour of a function f : n .
For real-valued functions of one real variable we know that:
f ( x ) > 0 Increasing
f ( x ) < 0 Decreasing
f ( x) > 0 Convex
f ( x) < 0 Concave
f ( x0 + v ) f ( x0 )
f
xi
Example
f ( x1 , x2 , x3 ) = x1 + x2 x3 + 1
2
f ( x + e1 ) f ( x) ( x1 + ) 2 + x2 x3 + 1 ( x1 + x2 x3 + 1) ( x1 + ) 2 x1
f
= lim
=
=
=
x1 0
2x1 + 2
= 2 x1 +
2 x1
0
f ( x + e1 ) f ( x) x1 + ( x2 + ) x3 + 1 ( x1 + x2 x3 + 1) x3
f
= lim
=
=
= x3
x2 0
f
So, in the same way
= x2
x3
2
Mathematics 2009/2010- 38 -
LESSON 4. DERIVATIVES
Remark
We can get the
f
through the common rules of derivation of f ( x,..., xn ) , by taking into
xi
Definition
Let the gradient of a function at a point, written as f ( x0 ) , be the vector of partial
derivatives at point x0
f ( x0 )
f ( x0 )
,...,
f ( x0 ) =
xn
x1
If f = ( f1 ,..., f m ) : n m
Each function f1 ,..., f m has a gradient vector f1 ,..., f m associated.
Example:
f : R3 R 2
( x1 , x2 , x3 ) y = f ( x1, x2 , x3 ) = ( x1 + x2 , x2 x3 )
Let the Jacobian matrix, written as Jf ( x0 ) , the matrix which has got the m gradients as
row vectors.
f1
f1
...
xn
f1 ( x0 ) x1
Jf ( x0 ) = ...
...
= ...
f ( x )
m 0 f m ... f m
x
xn mn
1
Example
f ( x, y ) = ( x 2 y, ln xy ) Find Jf (1,1)
Mathematics 2009/2010- 39 -
LESSON 4. DERIVATIVES
f : 2 2
f 2 = ln( xy )
f1
= 2 xy
x
f1 = x 2 y
f 2 1
=
x x
f 2 1
=
y
y
f1
= x2
y
x2
2 1
1 Jf (1,1) =
1
1
2 xy
Jf = 1
v = (1,2)
Try to get f v(1,1)
f = (e y , xe y )
f (1,1) = (e, e)
f v(1,1) = (e, e) (1,2) = e 1 + e 2 = 3e
Remark
Every partial derivative
f
is a function
xi
f
: n
, . Therefore, it is possible to
xi
2 f
f
, i.e.,
xi
xi x j
Example
f ( x, y ) = x 2 y 4 + x 3 y x
f
= 4x2 y3 + x3
y
2 f
f
= = 2 y 4 + 6 xy
2
x
x x
2 f
f
= = 12 x 2 y 2
2
y
y y
2 f
f
= = 8 xy 3 + 3x 2
yx y x
Mathematics 2009/2010- 40 -
LESSON 4. DERIVATIVES
2 f
f
= = 8 xy 3 + 3 x 2
xy x y
Definition
We call Hessian matrix the second partial derivatives matrix of f
2 f
2
x1
Hf = ...
2 f
x x
1 n
2 f
x2 x1
2 f
xi x j
2 f
xn xi
2 f
2
xn
2. Economic applications
In economic analysis we can distinguish four main measures, and each one of them has
a mathematical expression:
a) Total value: y = f ( x1 ,..., xn ) it expresses the value of a magnitude (y) at each point
of its domain.
Example: the demand of a good in terms of its price can be expressed by:
d = 100 p 2
5 p 15
b) Mean value: the mean value of y with respect to the xi variable is the division of y
into xi
y = f ( x1 ,..., xn )
Ym, xi ( x) =
f ( x)
xi
f ( x + ei ) f ( x)
f
( x); It can be interpreted as the increase of a function
xi
LESSON 4. DERIVATIVES
f
f ( x + ei ) f ( x) xi
x
=
i xi
0
f ( x)
x
f ( x)
The limit of the previous expression is known as the elasticity at a point and
represents
the
quotient
of
marginal
and
mean
values.
f , x = ed , p =
i
2 p
2 p
p=
2
400 p
400 p 2
Mathematics 2009/2010- 42 -