Department of Mathematics

Indian Institute of Technology, Bombay

MA 106 : Linear Algebra Handout 3

Spring 2017 AR, SK

0.1 Second derivative test

 
a b
If P = (x0 , y0 ) is a stationary point of f (x, y) and H =   is the Hessian at P , then upto
b d
the second order the function near this point behaves like
 
1 h 1
f (x0 + h, y0 + k) = f (P ) + [h k]H   = c + ah2 + 2bhk + dh2 ;

c = f (P ).
2 k 2

Let  be small positive and put h =  cos θ, k =  sin θ. Then

 
1 cos θ
f (x0 + h, y0 + k) = c + 2 [cos θ sin θ]H  .
2 sin θ

To find the directions of extremal increments, we differentiate w.r.t. θ and set the expression
equal to 0. This yields,
   
cos θ − sin θ
[− sin θ cos θ]H   + [cos θ sin θ]H   = 0.
sin θ cos θ

One can see on expanding that both the summands are equal, in fact both terms are 1 × 1
and also mutual transposes.
So conclude that
  
cos θ
[− sin θ cos θ] H   = 0
sin θ
   
− sin θ cos θ
=⇒  ⊥H 
cos θ sin θ
   
cos θ cos θ
=⇒ H  k .
sin θ sin θ

1
    
cos θ cos θ
Hence   must be an eigenvector of H. Let v(θ) denote the unit vector   and let
sin θ sin θ
±v(θ0 ) be the unit eigenvectors with eigenvalue λ, then the increment in its direction will be

λ 2
∆±v(θ0 ) (f ) = .
2

The small displacement is  

x − x0
  = ±v(θ0 )
y − y0
which is parallel to the line cos θ0 y − sin θ0 x = 0.
For the second eigenvalue µ, the unit eigenvectors have to be v(θ0 ± π/2).

The corresponding direction will be orthogonal and the line will be sin θ0 y + cos θ0 x = 0. The
increment will be
µ 2
∆v(θ0 ±π/2 (f ) = .
2
Those who are very skeptical, can do the second derivative test w.r.t.θ. The values will
be −λ + µ at θ0 , θ0 + π and λ − µ at θ0 ± π/2.
For the problem done in class,
   
.8 .6
λ = −10, u =   and µ = 5, v =   .
−.6 .8

Along the directions ±u, increment is −52 and second derivative test gives 15 > 0
(minimum). Therefore, −52 is the smallest increment or ”ascent” (for the diplacement ±u)
i.e. the steepest descent due to the negative sign along ±u.
Similar remark applies to the vector ±v associated with eigenvalue 5.