Ma201-Mathematics-Iii: Multivariable Calculus For Partial Differential Equations

MA201- MATHEMATICS-III
Multivariable Calculus for Partial Differential Equations
Dr. Pratibhamoy Das
Department of Mathematics
Indian Institute of Technology Patna
India 801103
July 27, 2021
Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

MA201- MATHEMATICS-III Patna[4pt]India
27, 2021 801103)
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Figure : Happiness

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Curves and Orientations
Curve
A curve C is a continuous geometric object which can be described by the image of
the function C : [a, b] → Rn , i.e., the image of the map
t → (x1 (t) , x2 (t) , · · · , xn (t)) , where xi : [a, b] → R.
Very often, by means of a curve, we mean continuous curve, (by def.).

Choice of parameterization of a curve is not unique.
Example: A Circle of radius 1 has equation x2 + y 2 = 1.
(i) Define
√ a function
f : [0, 1) → R2 parametric representation of f is
t → t, 1 − t . 2
(ii) Define a function f : [0, 2π) → R2 parametric representation of f is

t → (cos t, sin t) .
Orientation
An orientation of a curve C is the orientation given by a consistent direction given by
an arrow along the length of C.
This means length of a curve can be also considered as a parameter.

Graphical representation of Real line also has an ’Orientation’.
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Note: For the curve C with parametric representation r(t), t ∈ [a, b], the orientation
of C is given by the direction of travel along the curve C, as t increases from a to b.
Q: Consider
the parabola y = x2 , whose parametric
representation C : {(t, t2 ), t ∈ [0, 1]}.
Here, Domain of t= Domain
of x. Find the orientation of this parabola.
Note: Let y = f (x) , where f : [a, b] → R is
a function. The graph of f is a curve
C in R2 . The parametric representation
is given by x(t) = t, y(t) = f (t).
Q: Where can you plot the
graph of the following curve t → (x(t), y(t))?
Example: A circle Figure : Parabola (t, t2 ) with t ∈ [0, 1]
of radius r0 has equation x2 + y 2 = r0 2 .
A parametric representation
x(t) = r0 cos t , y(t) = r0 sin t ,
t ∈ [0, 2π) .
Equation of the circle in polar
coordinates r = r0 . It’s parametric
representation r(t) = r0 , θ (t) = t,
t ∈ [0, 2π).
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Q: What will happen if the first bracket is closed ?
Example: Consider the curve
C : {(x(t), y(t), z(t)), x(t) = cos(t), y(t) = sin(t), z(t) = t, t ∈ [0, 4π]}. The curve C
is called a Helix. The curve Helix is of radius 1. Range space is R3 .
h
Figure : Helix Curve of radius 1
We see that in the xy-plane (projection), this is just a circle !! In the z-direction, we
have linear growth.

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3
Figure : Cylinder defined by the parametric curve y(t) = t, z(t) = e−t in the yz-plane.

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Figure : A hyperbolic paraboloid with its traces: a hyperbola for the horizontal trace and
two parabolae, one for each vertical trace.

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Figure : Cone obtained from revolving the line x = 2y around the x axis.

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Curve in Rn
Observation: This curve needs to be plotted in R4 (dim(Domain)=1,

dim(Codomain)=3). However, by means of curve, we mean only the image part,
which is in R3 .
Curve in Rn
A convenient way to write parametric representation of a curve in Rn , is using vector
form- ~r : R → Rn , where ~r(t) = (x1 (t) , x2 (t) , · · · , xn (t)) , t ∈ R.
Vector form ~r (t) = (t, f (t)) describes the same curve as f (x), where
f : [a, b] → R.
Try to understand the difference between - plot of a function, and Curve’s figure.

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Limit
Limit
Limit of ~r (t) for t0 ∈ [a, b] exists if lim xj (t) = Lj ∈ R where Lj is finite.
t→t0
This means limit should exist component-wise (to all components), for a vector
valued function.

−1, t ∈ [−1, 0),
Example: Take y (t) =
1, t ∈ (0, 1]
Now consider, the vector valued function ~r (t) = t, y (t) , t2 , t ∈ [−1, 1] .

Figure : Discontinuous vector function
Note here, x = t. Then in x − z plane, it is a parabola, if one keeps y as constant as t

varies.
Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly
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Continuity and Differentiability
Continuity
A vector function ~r (t) where ~r : [a, b] → Rn is continuous at t0 ∈ [a, b] if
~r (t0 ) = r0 ∈ Rn and lim ~r (t) = r0 .
t→t0
Note that- there are several ways (directions) through which t → t0 .

Limit is componentwise as r0 is a vector.
Analysis can be done componentwise (means- just like one variable case).
Differentiability
~
r (t)−~
r (t0 )
A vector function ~r (t) is differentiable at t = t0 if lim t−t0
exists. The limit
t→t0
0
is denoted by r (t0 ) and called the derivative of ~r (t) .
An equivalent definition: By setting t = t0 + h, we have
r0 (t0 ) = lim ~r(t0 +h)−~
h
r (t0 )
h→0
Note: Derivative is obtained by the limit of [a ratio of vector and scalar].

Here h and t are scalar.
Q. How does r0 (t0 ) look like. Its a function from where to where??
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Easy Version
~r (t) = (x1 (t), x2 (t), · · · , xn (t)) is differentiable at t ∈ (a, b) if each component xj (t)
of ~r (t) is differentiable on (a, b) .
Q: Is there any graphical/conceptually/heuristically differences with scalar function

and vector function (in terms of curves) from where you can not generalize the
heuristical idea from scalar to vector?
If a scalar function y = f (x) has pick/sharpness
in its graph, we say it is not differentiable at that point.
Example: Take f (x) = |x| , x ∈ R is not differentiable at x = 0.
What about vector forms ?
Take r (t) = (t, |t|) is not
differentiable at t = 0, as
it is componentwise not differentiable.
Now note ~r (t) = t2 , t3 , t ∈ [−1, 1] is
differentiable as both t2 and t3 are componentwise differentiable.
However, note the Parametric
representation in x − y plane of x = t2 , y = t3 ⇒ x3 = y 2 . Figure : The cusp
This curve is called a curve has a sharp
corner at (0, 0)
Cusp Curve, which has a pick/sharpness at its image for t = 0.

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Note: From figure, it is not possible to guess the differentiability of (x(t), y(t)).
Concept of derivative and the smoothness of the curve C corresponding to the vector
function are not equivalent.
We will deal with curves in x − y plane (than on the parameterized version with t)
Q. Why Smoothness ?
Smoothness at a point p of a curve C corresponds to the existence of a tangent
line to C at p.
Note: Consider the cusp curve ~r (t) = t2 , t3 , Cusp curve does not have

tangent at t = 0.
Smooth Parameterization
A curve C has smooth parameterization by ~r (t) , t ∈ [a, b] , if ~r0 (t) 6= 0 ∀t ∈ (a, b) .
If C has a smooth parameterization, we say C is a smooth curve.
Note: Differentiation is not sufficient for smooth curve. Cusp curve is not smooth.
Example: Consider the curve ~r (t) = t2 , t3 , t ∈ [−1, 1] is not smooth curve as

~r0 (t) = (0, 0) (pecular example as very good looking parameterization).

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Definition
Piecewise Smooth Parameterization

A curve is piecewise smooth if there exist a parameterization ~r (t) such that
~r0 (t) = 0 (derivative of ~r(t) is nonzero) only at a finite number of points
t1 , t2 , · · · , tn ∈ (a, b) .
Staright Line in 3D, x−x

l
0
= y−y
m
0
= z−zn
0
= s, s ∈ R. Here s can be considered as
parameter and straight line as a curve.
Time to time, we shall assume the smoothness (continuous, differentiable, ~r0 (t) 6= 0
etc) for our purpose.
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Similar parameterizations are possible for 3D surface. Two representations of
the sphere x2 + y 2 + z 2 = a2 are
 x = a sin u cos v
(i) y = a sin u sin v
z = a sin u


1−v 2
 x = a 2 cos u
1+v2


(ii) 1−v
 y = a 1+v2 sin u
 z = 2av

1+v 2

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Parametric Curve
Parametric Curve
Let I ⊆ R, F : I → R3 . The set of points {F (t) : t ∈ I} is called graph of F . If F is
continuous, then such graph is called a curve with parameter t.
This definition includes continuity. Whereas previously, we gave one example

where the curve is not continuous.
F1 (t) = (cos t, sin t) , 0 ≤ t ≤ 2π,
Example:
F2 (t) = (cos t, sin t, t) , −∞ < t < ∞.
Geometrically F1 varies on a circle (one point is repeating twice as t = 2π ) and
F2 varies on a helix.

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Tangent Vector and Tangent Line
Suppose the curve C is differentiable vector valued function, represented by the
parameterization R(t). Suppose R0 (t0 ) 6= 0. The vector R0 (t0 ) is called tangent
vector to C and the line X (t) = R (t0 ) + tR0 (t0 ) is called tangent line to C at R (t0 )
Note: Equation of a line can be given by a point (from which it passes through),
~
and the direction d, i.e., by ~x = x~0 + td.
Here R (t0 ) (is a vector) defines the point from which it passes through, and R0 (t0 )
defines the direction of the tangent line, (which by def, is nonzero).
Remark: Note that R0 (t0 ) is a vector !! Why? From where to where?
Why do I need R0 (t0 )? What happens in Cusp Curve? Why do we want to get
rid of Cusp type curves?

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For the definition of curve, we took F : R → Rn .
However, we need G : Rn → R to define PDE. Here, Rn contains independent
variable, and R contains the dependent variable.
Note: The solution of PDE is a surface. Therefore we have to work on the limit,
continuity, partial derivative, differentiability for a function G : Rn → R.
PDE
A general scalar PDE of 2nd order in 3D, is given by
F (x, y, z, ux , uy , uz , uxx , uxy , uxz , uyx , uyy , uyz , uzx , uzy , uzz ) = 0.
Q. How do you be sure that the solution will be in C 2 by looking into the given PDE.
Note that partial derivatives exist may not imply function is continuous.
Q: Is it always necessary that uxy = uyx . If required, under what condition ?
Hint: Schwarz Theorem which provides a sufficient condition and states that uxy and
uyx should exist and continuous.

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Prerequisite
Limit
L is the limit of f : R3 → R at x0 ∈ R3 if f (xn ) → L whenever xn ∈ Rn , xn 6= x0
xn → x0 as n → ∞ .
The convergence xn → x0 is a vector convergence, which includes infinitely many

directions. This convergence will be checked by using (plenty of) norm/s.
Componentwise convergence for vector seq is also sufficient.
The convergence f (xn ) → L is scalar convergence.
Notation: lim f (x) = L .
x→x0
Continuity
f : R3 → R is continuous at x0 ∈ R3 if lim f (x) = f (x0 ) .
x→x0
For non convergence of limit (or to show f is not continuous), we generally take
different paths to get different values.
For the existence, we can use the upper bound of the function → 0 as
(x, y) → (0, 0) .
To check limit/continuity existence at (0, 0), we generally use the kind of
Sandwich argument.
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u(x, y)
Q: Consider f (x, y) = . Assume f is continuous at x = 0. But you dont know,
v(x, y)
beforehand. Then you are choosing the path u = mv and took xn → 0 as n → ∞.
Where exactly you are doing wrong.

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Partial Derivative
Partial Derivative
The partial derivative of f : R3 → R at x0 = (x0 , y0 , z0 ) with respect to x is
∂f
= lim f (x0 +h,y0 ,z0h)−f (x0 ,y0 ,z0 ) .

∂x x=x 0 h→0

∂f ∂f

Similarly, it is defined with respect to y and z is ∂y
and ∂z x=x0
.
x=x0
Q: The limit def looks complicated. Can you give an example of a function whose
derivative can only be find out by using Limit definition, (not by differentiating the
function). Hint: Think about something with sin(1/x).
In 1D → Only one independent direction.
Partial derivative = Derivative (there is only one direction, -ve is omitted)
Hence partial derivative ⇒ continuty.
In 2D/nD → Infinitely many directions.
Partial derivative
xy does not impliy continuty. Take
x2 +y 2
, (x, y) 6= (0, 0)
f (x, y) =
0, (x, y) = (0, 0)
Q: When can we say partial derivative impiles continuity ?
Ans: Sufficient condition: Take S = (x, y) ∈ R2 ; x ∈ (a, b) , y ∈ (a, b)

If the partial derivative of f exist and bounded on S then f is continuous on S.

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Q: Why do we need continuity, when we want to deal with only PDEs?
Ans: Let us take the ODE ay 00 + by 0 + cy = f . If a, b, c, f ∈ C[a, b] , then the
solution y should be atleast two times differentiable. This automatically implies y is
continuous.
Note: However the previous information
xy is not straight forward for PDEs.
x2 +y 2
, (x, y) 6= (0, 0)
To show this, take f (x, y) =
0, (x, y) = (0, 0) .
Choose the path y = mx then,
mx2 m
lim f = lim = 1+m2
(We get different values for different m).
(x,y)→(0,0) x→0 x2 (1+m2 )
So limit of f at (x, y) = (0, 0) does not exist.

Q: Does limit exist at other points ? Ans: Yes.
∂f f (h,0)−f (0,0) 0 ∂f
Now ∂x
(0, 0) = lim h
= lim 2 = 0 . Similarly, ∂y
(0, 0) = 0 (f is
h→0 h→0 h
symmetric).
Q: Do the partial derivatives of f exist at all other points ?
Observation: Take the above function f and put in 2fx + 3fy to get a value, say g.
2fx + 3fy = g (this g would be unbounded !!)
This is a PDE whose solution is not continuous, but partial derivatives exist.
Note: Partial derivative exist and they are bounded, implies continuty of the
function.
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Note: If we have a differentiable solution (implies continuous), we can find the
bound of the solution. We can find maximum/minimum and do all analysis. However
if the solution is not continuous, it will be a big problem !!
Q: For this example, g will not be continuous. What if, we assume g to be
continuous and find the analytical properties?
Q: In other words, under what condition, we can ensure the continuty (and
differentiability) of the solution ?
Ans: By giving enough smoothness and compatibility to the initial function and the
initial data.
If I pose continuity on g for 2fx + 3fy = g , will f be continuous/differentiable ?
Of course I need to assure the compatible data.
Q: Till now, the definition of differentiability is not yet clear (or given) for
F : Rn → R ?
Note that Differentiability will freely implies continuous.
Note: Before going to the definition of the derivative, we have to understand the
partial derivative and it’s consequences better.

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Partial Derivative in n dimension
∂f f (ā+t ēi )−f (āj )
If f : Rn → R , a ∈ Rn ; ∂xi
(ā) = lim t
where ēi = (0, 0, ...1, ....0)
t→0
(ith place =1, all other are zero)
Note that t and f (āj ) are scalars.
Note/Observations:
In Rn , partial derivative looks into only n independent directions.
In R2 , we have two independent directions for partial derivatives.
∂f
∂x
checks the increment along x-axis.
∂f
∂y
checks the increment along y-axis.
There are other directions also, which are not considered in the definitions of fx
and fy .
xy
x2 +y 2
, (x, y) 6= (0, 0)
Take (i) f (x, y) =
0, (x, y) = (0, 0) ,
x sin y1 + y sin x1 ; x 6= 0, y 6= 0



x sin x1 ; x 6= 0, y = 0

(ii) f (x, y) =

 y sin y1 ; x = 0, y 6= 0

0 ; x = 0, y = 0
In (i) partial derivative exist does not imply continuity.
In (ii), continuity does not imply partial derivatives exist.
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In addition, we have observed
Partial Derivative ; Continuity ; Partial Derivative
Examples are already provided.

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Gradient
Let f : Rn → R . Consider a function φi : R → R defined by

φi (t) = f (ā + t ēi ) , then
f (ā+t ēj )−f (ā) φi (t)−φi (0)
∂f
= φ0i (0) = d

∂xi
(ā) = lim t
= lim t dt
f (ā + t ēj )t=0
t→0 t→0
Physical Significance
∂f
∂xi
(ā) is the rate of change of f at ā in the direction ēi .
Gradient

∂f ∂f ∂f
Gradiant of f at ā is given by ∇f (ā) = ∂x1
(ā) , ∂x2
(ā) , ..., ∂xn
(ā) ∈ Rn .
This is just a formula.

Note: Till now, we have observed.
(i) There is no relation between continuity and partial derivatives.
(ii) Only two directions are considered in partial derivative for f : R2 → R .
Q: What about the other directions ?

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Directional Derivative
Directional Derivative
The directional derivative of f : Rn → R at ā ∈ Rn is given by
Du f (ā) = lim f (ā+tū)−f (ā) = d f (ā + tū)

t→0 t dt t=0
Du f (ā) is the rate of chnge of f at ā in the direction ū (if it exists).

Here ū ∈ Rn is the direction. We assume, in general, kuk = 1 .
ā ∈ Rn is the point at which we have to find out the directional derivative.
Note: Directional derivative is a scalar for f : Rn → R !!! (whereas the Derivative is
not a scalar in Rn !!!)
p
Example 1: Let f : R2 → R defined by f (x, y) = |xy| .
∂f ∂f
Check : (i) ∂x
(0, 0) = 0 = ∂y
(0, 0) (This means partial derivatives exist)
(ii) f is continuous at (0, 0).
(iii) Du f (0, 0) does NOT exist for u1 u2 6= 0 .

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(
x2 y
2 x4 +y 2
; (x, y) 6= (0, 0)
Example 2: Let f : R → R defined by f (x, y) =
0 ; (x, y) = (0, 0)
(i) f is not continuous at (0, 0).(But, continuous at other points though).
∂f ∂f
(ii) ∂x
(0, 0) = 0 = ∂y
(0, 0) .
(iii) Du f (0, 0) exist for all u.
u1 2
(iv) Du f (0, 0) = u2
for u1 u2 6= 0 .
Moral: For n > 1,
Partial Derivative ; Directional Derivative ; Continuity ; Directional Derivative
Note: Directional derivative consider only directions, however continuity

(differentiability) also includes path ( infinitely many independent paths).
Partial derivative is a special type of directional derivative.

Directional derivative (at all directions) ⇒ Partial derivative.
Definition of Directional derivative is missing something (as continuity is not
guranteed), which needs to be extended for defining the definition of derivative.
First I will give the definition of differentiability technically, which will be extended
from f : R → R to f : Rn → R .

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Differentiability
f (x+h)−f (x)
The derivative of f : R → R is defined by f 0 (x) = lim h
(if limit exists).
h→0
Differentiability
|f (x+h)−f (x)−αh|
f is differentiable at x ∈ R ⇔ ∃ α ∈ R such that |h|
→ 0 as h → 0 .
Here, both α and h are scalars.
Note: If f is differentiable at x then f 0 (x) = α .
Differentiablity
Let f : R3 → R and x = (x1 , x2 , x3 ) . f is differentiable at x if
∃α = (α1 , α2 , α3 ) ∈ R3 such that the error function ε (H) = f (x+H)−f
kHk
(x)−α.H
→0
as H → 0
Note: Derivative of f is f 0 (x) = (α1 , α2 , α3 ) ∈ R3
Here H is vector, (so vector convergence is taken, when H → 0), whereas
f (x + H) is scalar.
Numerator is scalar. We took dot product to make α.H a scalar. Hence α must
be a vector !!
To make denominator scalar, we took norm from the domain space.
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Consider f : R3 → R.
Note:
If f is differentiable at x ∈ R3 , then f is continuous at x.
∂f
This implification was not there when ∂xi
exist or f is continuous or f has
directional derivative.
If f is differentiable at x then fx |x , fy |x , fz |x will exist and
f 0 (x) = (α1 , α2 , α3 ) = ∂f
∂f ∂f
,
∂x x ∂y
, ∂z x .
x
Observations
(i) f : R3 → R , but f 0 ∈ R3 i.e. f 0 : R3 → R3 .
(ii) The above formula requires the partial derivatives of f . However partial
derivative of f exist, does not imply f is continuous (forget the differentiability).
(iii) So if f is differentiable theoretically, then we can find the derivative of f by
evaluating partial derivatives.
Q: Can you give me a proof to have a look insight?

I want to see- where are you using differentiability of f to derive this formula.

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Now, let us give an alternative definition of differentiability based on Taylor’s series
(vaguely).
Increment Theorem
Let f (x, y) is differentiable at (x0 , y0 ) . Then
f (x0 + ∆x, y0 + ∆y) − f (x0 , y0 ) = fx (x0 , y0 ) ∆x + fy (x0 , y0 ) ∆y + ε1 ∆x + ε2 ∆y ,
where ε1 (∆x, ∆y) , ε2 (∆x, ∆y) → 0 as ∆x → 0 and ∆y → 0 .
Note: We are not exactly using the Taylor series here, as ε1 and ε2 can not depend
on fxx , fxy , fyy when I am giving the definition of first order derivative.
Exercise:(Use the above definition to show that
2 2
xy xx2 −y
+y 2
; (x, y) 6= (0, 0)
f (x, y) = is differentiable at (0, 0).
0 ; (x, y) = (0, 0)
Remark: If f is differentiable at x , then the directional derivative of f at x̄ in the
u
direction u is ∇u f (x̄) = ∇f (x̄) . |u| .

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Note that this formula is valid if f is differentiable (which is stronger
assumption, as- having the existence of directional derivative for f , may not
imply f is differentiable).
Similarly- f has partial derivative does NOT imply f has directional derivative.
So formula is INVALID, even if f has only partial derivative.
Directional derivative is a scalar though derivative is a vector (for f : Rn → R ).
Q: If f is a vector valued function, say f : Rn → Rm , then Df (derivative of f ) is a
function from where to where ?? What about D2 f . How do you define it for
f : Rn → R ?
Q: Why are we interested as f : Rn → Rm ? Is it realistic for PDE ?
Ans: Consider the ODE system X ~ 0 = AX and X ~ : R → Rn . Here X~ 0 ∈ Rn ,
A ∈ Rn×n , i.e., For ODE , we are considering a function from R → Rn (for system of
ODEs).
Similarly for PDE system, the solution u will be u : Rn → Rm . Here
Rn is the number of independent variables.
Rm is the number of components in the solution.
Hence, we have to know the calculus for the functions from Rn → Rm .

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Differentiablity
The derivative of the function f : R → R at x = a is given by
f 0 (a) = lim f (x)−f
x−a
(a)
h x→a i
⇔ lim f (x)−fx−a
(a)
− f 0 (a) = 0
x→a h
0
i
⇔ lim f (x)−f (a)−(x−a)f
x−a
(a)
=0
x→a
h i
f (x)−h(x)
If f is differentiable, we get lim x−a
=0.
x→a
0
h (x) = f (a) + (x − a) f (a) [an affine map (not linear map)] approches faster
to f (x) than x → a .
h(x) is a good linear approximation to the values of f (x) at x = a.
h(x)(= 0) is tangent line of f (x) at x = a. (But not a linear
map/transformation, as, linear map takes zero to zero).
Definition (Using Linear Transformation)

A function
h f is saidito be differentiable if ∃ a linear function (!!) L(x) such that
lim f (x)−fx−a
(a)−L(x)
= 0 , where L (x) = (x − a) f 0 (a) is a linear function.
x→a
h (x) = f (a) + (x − a) f 0 (a) is the tangent line (for one variable case) for 1D.
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Two Variable Case
2D/nD Differentiability
Consider a function f : R2 → R (can be extended for f : Rn → R ). Analogous to 1D,
the following notions are required for 2D differentiability at (a, b).
(i) fx , fy exist at (a, b).
(ii) The tangent plane h (x, y) = f (a, b) + fx (a, b) (x − a) + fy (y − b) be a good
linear approx for f (x, y) when (x, y) is near to (a, b).
This means lim √f (x,y)−h(x,y)
2 2
= 0 (Analogous to 1D).
(x,y)→(a,b) (x−a) +(y−b)
Note:
(i) The denominator is the length of the vector (x − a, x − b) to (0, 0).
(ii) Analogous to 1D, h(x, y)(= 0) is the tangent plane of f at (a, b).
Q: Can I replace the length in denominator by any other norm?
Remark: f (x, y) = ||x| − |y|| − |x| − |y| has partial derivative at (0, 0). However
h (x, y) = f (0, 0) + fx (0, 0) (x − 0) + fy (0, 0) (y − 0) is not a ’good linear approx’ of
f near (0, 0). f is not differentiable at (0, 0).

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Q: How to guess the derivative of f : R2 → R by the above tangent plane based
definition?

x−a
Ans: h (x, y) = f (a, b) + fx (a, b) fy (a, b)
y−b

Hence D (a, b) = fx (a, b) fy (a, b) is the derivative of f at (a, b).
Q: How do you extend this definition for f : Rn → Rm ?
Definition of Derivative in Multidimension

Let f : Rn → Rm , a ∈ Rn . f is differentiable at a, if ∃ a linear map such that
kf (x)−f (a)−L(x)kRm
lim kx−ak n
=0.
x→a R
Note: f (x) − f (a) − L(x) is a vector in Rm and x − a is a vector in Rn .

k.k makes everything scalar. So division is possible.
L(x) = Df (x)(x − a) , where Df (a) is the derivative of f at a .
Q: Can you give an example of a sequence in Rn which is not convergent in one
(some) norm but convergent in another norm ?
Q: How to compute the derivative for f : Rn → Rm ?

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Jacobian (First Derivative of a function)
First Derivative
 0 of a function at ~
x = ~a is written as
f 0 x2 (a) . . . f 0 xn (a)

f x1 (a)

 . . . . 

Df (a) =  . . . .  ∈ Rmn .
 
 . . . . 
f m x1 (a) f m x2 (a) . . . f m xn (a)
This derivative matrix is known as Jacobian.
Q: For f : R → Rm , Df (x) = (f 0 (x) , f 00 (x) , ..., f m (x)) ∈ Rm ?
Q: What is double derivative of f : Rn → Rm ? What is Hessian matrix ?
If f : Rn → R, Jacobian is the Gradient.

Df (a) can also be denoted as Jf (a).
Note: Jf (a) is just a formula (not the definition of first order derivative of f ).
Jf (x) can be computed before checking the existence of the derivative. If the
partial derivative does not exist, Jf (x) will not exist. However, existence of
Jf (x) does not imply existence of the derivative of f .
Q: Can the Derivative exist at the points where Jacobian matrix can not be
computed ?
Hint: Think about some function like x2 sin x1 , where we have to use the definition
to compute derivative, not the Jacobian formula.
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Best Linear Approximation and Tangency of Two curves
Tangency of Two curves

Consider mappings f : Rn → Rm and g : Rn → Rm . We say f and g are tangent at
kf (x)−g(x)kRm
x0 ∈ Rn if f (x0 ) = g(x0 ) and lim kx−x0 k n
= 0.
x→x0 R
Geometrically: Tangency occurs if the approach

of f (x) − g(x), towards zero as x → x0 , happens at a rate
much faster than the linear rate of approach given by x − x0 .
Example:
In case of f (x) = x2 and g(x) = x3 at x = 0, we have
f (x)−g(x) x2 −x3
lim x−0
= lim x
=0.
x→x0 x→0
Figure : Tangency of
x2 and x3 at x = 0.
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Best Linear Approximation
Best Linear Approximation

Consider mappings f : Rn → R and x0 ∈ Rn then,
If g(x) = a + Lx where a ∈ Rm , L : Rn → Rm and g is tangent to f at x = x0 then
g(x) is called the best linear approximation to f at x0 .
L can be thought of a matrix m × n .

One can also write L(x) as Lx. Then Lx = Lm×n xn×1 = (Lx)m×1 ∈ Rm

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Q: In the previous definition where you used x0 (through the bext approximation is
at x0 ?)
Ans: g is tangent to f at x0 . But in the expression of g = a + Lx, which term is
depending on x0 ?
Consider f : R → R and h (x) = f (b) + (x − b) f 0 (b) .
Let f : U → V , where U is Domain and V is co-domain and h : U → V where
b ∈ U and f (b), f 0 (b) ∈ U .
Here h(x) is the best approximation of f (x) as x → b and b ∈ U .
Therefore h(x) = f (b) + L(x) ; where L(x) = (x − b)f 0 (b).
Therefore, for f : R → R in the definition (1) g = a + Lx ; where a = f (x0 ) and
Lx = (x − x0 )f 0 (x0 ).
The operator h will change based at the point x0 .

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Consequences of Differentiability and Jacobian
Consequences
Let f : Rn → Rm is differentiable at x = x0 then it is continuous at x = x0 .
2
x sin x1 ; x 6= 0,
Example: Consider f (x) =
0 ; x = 0.
We begin by noting that f (x) is continuous at x = 0. The Jacobian is given by
Jf (x) = 2x sin x1 − cos x1 ,
and this function is not defined at x = 0. By any way, it cannot be made continuous
at x = 0 because of the oscillating nature of the term cos(1/x).
However f is differentiable at 0, since
f (h)−f (0) h2 sin h
1
Df (0) = f 0 (0) = lim h−0
= lim h
= lim h sin 1
h
=0
h→0 h→0 h→0
1
− cos x1 ; x 6= 0,

2x sin x
Hence the derivative of f is Df (x) =
0 ; x = 0.
Hence Df (x) is defined for all x, but Jf (x) is not.
This means Jf (x) is not a good indicator of whether Df (x) exists at x = 0 or not.

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Sufficient Condition of Differentiability in Multidimension
Let U ⊂ Rn be an open set and consider f : U → Rm with f = (f1 , f2 , ..., fm )T .
Then, f is differentiable on U if f is continuous on U and all the partial derivatives
∂fj
∂xj
(x0 ) ; j = 1, 2., .., m; i = 1, 2, ..., n exist and are continuous functions U .
Definition of C 1 map
A mapping f : U → Rm which is differentiable on U ⊂ Rn and Df (x) is a
continuous function on U, is said to be of class C 1 on U . We write f ∈ C 1 for
U ⊂ Rn , or f ∈ C 1 (U) .

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Higher Derivative
The derivative of a mapping f : Rn → Rm is also a mapping. Consider the set

L(Rn , Rm ) of all real linear transformations from Rn to Rm . This set is a vector
space since for any two linear transformations L1 , L2 ∈ L(Rn , Rm ) and α ∈ R , then
αL1 + L2 is also an element of L(Rn , Rm ) .
We know that Mm×n (R)(set of all m × n matrices with real entries) and L(Rn , Rm )
are isomorphic as vector spaces.
Note-1: Let f : R → R , then Df (x) is a 1 × 1 matrix. Consider f (x) = sin(x) then,
Df : R → L(R , R )
x → cos(x) .
Note-2: Let f : R4 → R2 , then Df (x) is a 2 × 4 matrix.
Df : R4 → L(R4 , R2 )

f1,x f1,y f1,z f1,w
(x, y, z, w) →
f2,x f2,y f2,z f2,w
Q: Let f (x, y, z, w) = (x2 + yzw, y 2 + xw)T . Find the derivative of f ?
In general: If f : Rn → Rm is differentiable, Df is a mapping
Df : Rn → L(Rn , Rm )

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Let f : R → R be an infinitely differentiable function. Then, for any k ∈ N ,
Dk f : R → L(R, R) .
Example: Let f : R2 → R , then Df (x, y) ∈ L(R2 , R) . That is, it can be
represented as a 1 × 2 matrix. Note that the space of 1 × 2 matrices can be
identified with R2 . Thus, we can write Df : R2 → R2 .
The derivative of Df is a mapping, represented by D(Df ) : R2 → L(R2 , R2 ) .
Therefore D2 f (x, y) = D(Df )(x, y) and it is a 2 × 2 matrix at a fixed point (x, y).
Remark:
(i) Continuing in this way D3 f (x, y) should be a three dimensional 2 × 2 × 2 array.
Can you visualize it ?
(ii) However for Dk f for k ≥ 4 we cannot visualize the derivatives and can be
written in an abstract way.

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Second Order Derivative Formula of f in Multidimension
Let f : Rn → R be a twice differentiable function. Let x = (x1 , x2 , ..., xn ). Then the
matrix D2 f : Rn → L(Rn , L(Rn , R)) can be represented by a n × n matrix given by
 
fx1 x1 fx2 x1 . . . fxn x1
 fx1 x2 fx2 x2 . . . fxn x2 
 
 . . . . 
D2 f =  .

 . . . . 

 . . . . 
fx1 xn fx2 xn . . . fxn xn
Note: The above matrix may not be symmetric as second order partial derivatives
may not be commutative !!
Q: How do represent of the first and second order derivatives of a function
f : Rn → Rn ?
Definition of C 2 function space

A mapping f : Rn → R is of class C 2 if D2 f : Rn → L(Rn , L(Rn , R)) exists and is a
continuous function.

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Clairault’s Theorem
Clairault’s Theorem
Suppose that f : Rn → R is a C 2 mapping, then the matrix D2 f (x) is symmetric ;
i.e fxi xj = fxj xi .
If f ∈ C 2 , then we can use the above symmetric matrix (with less

computations).
If f is given, then I can check the symmetry for each fi .
Query: But for PDE, without solving it, how do you guarantee that the solution is
two times differentiable.

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Mean Value Theorem
Mean Value Theorem (One variable case)

Let f : U → V be a differentiable function, U, V ⊆ R . Take a, b ∈ U then,
f (b) − f (a) = (b − a) f 0 (ξ) ; a < ξ < b .
a, b, ξ are comparable, as we are working in R .

ξ is not unique (Take f (x) = 1).
Domain of Existence of ξ is easy to propose in R.
Q: How do you write the Mean value theorem from R2 → R , since R2 is not
comparable ?
Mean Value Theorem in R2

Let f : R2 → R be differentiable and X0 = (x0 , y0 ) , X = (x0 + h, y0 + k), then exists
a vector c which lies on the line joining X0 , X such that
f (X) = f (X0 ) + f 0 (C) (X − X0 ) .
Here
f (X), f (X0 ) are in R .
f 0 (C) ∈ R1×2 and (X − X0 ) ∈ R2×1 .
f 0 (C)(X − X0 ) ∈ R is a scalar.
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Observations
In other words: ∃ c1 ∈ (0, 1) such that
f (x0 + h, y0 + k) = f (x0 , y0 ) + hfx (C) + kfy (C) , where C = (x0 + c1 h, y0 + c1 k) .
Note:
In the MVT, we have just used the differentiability on the line joining X and X0 .
Hence the assumption on f (differentiable on whole R2 ) ) can be weakened, if we
fix X and X0 .
Extended Mean Value Theorem (Just like in Taylor Series in 1D)

Let f : R2 → R is differentiable and X0 = (x0 , y0 ) , X = (x0 + h, y0 + k), and fx , fy
are continuous and they have two times continuous partial derivatives. Then, there
exists C which lies on the line joining X0 , X such that
f (X) = f (X0 ) + f 0 (C) (X − X0 ) + 21 (X − X0 )T f 00 (C) (X − X0 ) .

fxx (x, y) fxy (x, y)
Here f 00 (x, y) = .
fyx (x, y) fyy (x, y)
The term (X − X0 )T f 00 (C) (X − X0 ) can not be altered as otherwise matrix
multiplications will not be possible.
Other words: There exists C = (x0 + c1 h, y0 + c1 k) for some c1 ∈ (0, 1) such that
f (x0 + h, y0 + k) = f (x0 , y0 ) + hfx (x0 ) + kfy (x0 ) + 12 h2 fxx + 2hkfxy + k2 fyy (C) .
Note: You may assume that both fxy and fyx are same (by considering f ∈ C 2 ).
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Maxima/Minima/Extremum/Critical point
Local Maxima
Let f : [a, b] → R . Then x0 ∈ [a, b] is said to be local maxima of f if there exists a
δ > 0 such that f (x) ≤ f (x0 ) for all x ∈ [a, b] ∩ (x0 − δ, x0 + δ) .
Note: This definition is fully mathematical. It depends on the existence of δ.

What if we remove the equal sign from above def.
2
− x sin x1 ; x 6= 0
Example: Let f (x) = .
0 ; x=0
Here x = 0 is the point of local maxima.
Q: Can you find δ ? Draw the graph of f . How many maximas are in [−1, 1].
Necessary condition for Local Maximum/Minimum

Let f : [a, b] → R . Suppose f has local maximum/minimum at x0 ∈ [a, b]. If f is
differentiable at x0 , then f 0 (x0 ) = 0.
Note-1: Converse is not true, f 0 (x0 ) = 0 may imply x0 is a point of inflection.

(Ex: f (x) = x3 , x0 = 0)
The above condition is necessary for differentiable f . But not sufficient.
Note-2: If x0 = a or x0 = b (i.e the boundary points). Then, the previous necessary
condition is not true.
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Example: Let f : [0, 1] → R and f (x) = x.
Here f 0 (1) = 1, for all x. f has maximum at x = 1.
Remark: Continuity or differentiability is not at all required for the existence of
maximum or minimum.

1; x 6= 0,
Example: Take f (x) =
0; x = 0.
Note: There are plenty of sufficient conditions or necessary conditions for having
maximum or minimum. Few of them are listed here.
Sufficient Condition
Let c ∈ (a, b) and f is continuous at c. Assume for some δ > 0, f is increasing in
(c − δ, c) and decreasing in (c, c + δ). Then f has local maximum at c.
Note: This condition is not necessary. Give an example !!
Other Sufficient condition:

(i) Let c ∈ (a, b) . If f 0 (x) ≤ 0 ∀x ∈ (c − δ, c) and f 0 (x) ≥ 0 ∀x ∈ (c, c + δ) . Then
f has local maximum at c.
(ii) Let c ∈ (a, b) . If f 0 (c) = 0 and f ”(c) < 0. Then f has a local maximum at c.
Note: The above conditions are not necessary.

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Converse is not true.
Let f be continuous at c and f has a local maximum at c. Then f may not be

increasing in (c − δ, c) and decreasing in (c, c + δ) for any δ > 0. (This means
there may not exist any δ > 0.)
2
− x sin x1 ; x 6= 0
Example: f (x) =
0 ;x = 0
Q: Let f has maximum at c. Does it imply f 0 (x0 ) = 0 and f 00 (x0 ) < 0 at the
maximum point x0 ? Ans: No.
Take f (x) = −x4 . Here f 0 (0) = 0 , f 00 (0) = 0 and f has maximum at x = 0.
Question: We did not get any condition which is necessary and sufficient for
maximum/minimum till now. Did we?

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Point of Inflection
Point of Inflection
Le f : (a, b) → R be continuous at c ∈ (a, b). Then c is said to be point of inflection
if ∃δ > 0 such that either f is convex on (c − δ, c) and concave on (c, c + δ), OR f is
concave on (c − δ, c) and convex on (c, c + δ).
Necessary condition for point of inflection

Let c ∈ (a, b)and f 00 (c) exist. If f has a point of inflection at c, then f 00 (c) = 0.
But this condition is not sufficient.

Ex: Take f (x) = x4 . f 00 (0) = 0. Then x = 0 is local minimum(global), but not a
point of inflection.
Existence of f 00 is not necessary for point of inflection.
Ex: Take f (x) = x1/3 , x0 = 0
Sufficient condition for point of inflection

If f 00 (c) = 0 and f 000 (c) 6= 0 , then c is a point of inflection.
But this condition is not necessary.

Ex: Take f (x) = x5 , c = 0.
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Critical Point
Critical Point
Let f : R → R . A point x0 is called is called a critical point of f if f 0 (x0 ) = 0.
Critical Point in Multidimension

A point x0 ∈ Rn is called a critical point of a differentiable function f : Rn → R if
Df (x0 ) = 0, i.e ∇f (x0 ) = 0 .
For a multi-variable function, finding critical point leads to solving a system of

non-linear equations.
Note: Definition of extremum (say, minimum/maximum) is independent of concept
of critical points.
Example: Take f (x) = |x|. Here x = 0 is an extremum, but x = 0 is not a critical
point as f is not differentiable at x = 0.

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Local Minimum
Let f : Rn → R . A point x0 ∈ Rn is said to be a local minimum of f if ∃δ > 0 such
that f (x) ≥ f (x0 ) ∀x ∈ Rn satisfying ||x − x0 ||< δ .
Note: You have to use a norm as x ∈ Rn .

Codomain is a subset of R and hence f (x) is comparable.
Q: Is it always possible to find this δ?
Note: Similarly we will define local maximum.
For an differentiable map, if x0 is local minimum/maximum, then x0 is a critical

point.
The above information gives us all the probable candidates for local
maximum/minimum. [This also includes point of inflection for f : R → R ]
Example: Consider the Hyperbolic Paraboloid z = f (x, y) = x2 − y 2 .
Check Df = 0 (fx = 0, fy = 0) at (0, 0). Here (0, 0) is a critical point (but not
extremum).
For x = 0 , z = f (0, y) = −y 2 , which is a parabola with maximum at (0, 0).
For y = 0 , z = f (x, 0) = −x2 , which is a parabola with minimum at (0, 0).
This type of critical points are known as Saddle point.
Remark: Critical points in multidimension are very complicated (not like the
graphs for point of inflection).
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Saddle Point and Point of Inflection
Saddle Point
A critical point which is a local minimum in at least one direction and a local
maximum in at least one direction is known as saddle point.
Example: Consider z = f (x, y) = x3 − 3xy 2 .

Here Df (0, 0) = 0 is only one critical point. This is neither local extrema nor a
saddle point. This point is called as point of inflection.
[A path through (0, 0) has a point of inflection at (0, 0) except the three lines y = mx
where m = 0, m = ± √13 ]

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Theorem on Extremum
Let f : R2 → R be a C 2 function with critical point u0 = (x0 , y0 ). Let
2
D = D(x0 , y0 ) = fxx (x0 , y0 )fyy (x0 , y0 ) − fxy (x0 , y0 ),
(a) If fxx (x0 , y0 ) > 0 and D > 0, then (x0 , y0 ) is the point of local maximum.
(b) If fxx (x0 , y0 ) < 0 and D > 0, then (x0 , y0 ) is the point of local minimum.
(c) If D < 0, then f has neither maximum nor minimum at (x0 , y0 ).
(d) If D = 0, there is no conclusion.
Q: In the previous statement, what will happen, if we assume fyy (x0 , y0 ) < 0 or
fyy (x0 , y0 ) > 0 instead of fxx (x0 , y0 ) < 0 or fxx (x0 , y0 ) > 0 ?
If f : Rn → R be a C 2 function, then Hessian matrix of f is

H(f )(x0 ) = D2 f (x0 ).
Now the above theorem can be written in terms of Hessian matrices
determinant. The only extra assumption is f should be a C 2 function.
Note: H(x0 , y0 ) is a matrix with real entries. Hence we can find the eigen values of
H(x0 , y0 ).

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Theorem (Indentification of Extremum Points)
Let f : R2 → R be a C 2 function.
(1) If eigenvalues of H(f )(x0 ) are both positive, then (x) , y0 ) is local maximum.
(2) If eigenvalues of H(f )(x0 ) are both negative, then (x) , y0 ) is local minimum.
(3) If eigenvalues of H(f )(x0 ) are different sign, then f has neither minimum nor
maximum , but a saddle point.
(4) If H(f )(x0 ) has zero eigen value, then test is inconclussive.
Non-degenerate Critical Point

A critical point u0 of f : Rn → R is said to be a non-degenerate critical point of f if
Determinant of H(f )(u0 ) 6= 0.

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Ma201-Mathematics-Iii: Multivariable Calculus For Partial Differential Equations

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Ma201-Mathematics-Iii: Multivariable Calculus For Partial Differential Equations

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MA201- MATHEMATICS-III

Multivariable Calculus for Partial Differential Equations

Dr. Pratibhamoy Das

July 27, 2021

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Very often, by means of a curve, we mean continuous curve, (by def.).

(ii) Define a function f : [0, 2π) → R2 parametric representation of f is

This means length of a curve can be also considered as a parameter.

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Observation: This curve needs to be plotted in R4 (dim(Domain)=1,

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of Technology July

Figure : Discontinuous vector function

Note here, x = t. Then in x − z plane, it is a parabola, if one keeps y as constant as t

Note that- there are several ways (directions) through which t → t0 .

Note: Derivative is obtained by the limit of [a ratio of vector and scalar].

Q: Is there any graphical/conceptually/heuristically differences with scalar function

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

~r0 (t) = (0, 0) (pecular example as very good looking parameterization).

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Piecewise Smooth Parameterization

Staright Line in 3D, x−x

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

This definition includes continuity. Whereas previously, we gave one example

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

The convergence xn → x0 is a vector convergence, which includes infinitely many

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

If the partial derivative of f exist and bounded on S then f is continuous on S.

So limit of f at (x, y) = (0, 0) does not exist.

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Partial Derivative ; Continuity ; Partial Derivative

Examples are already provided.

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Let f : Rn → R . Consider a function φi : R → R defined by

This is just a formula.

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Du f (ā) is the rate of chnge of f at ā in the direction ū (if it exists).

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Partial Derivative ; Directional Derivative ; Continuity ; Directional Derivative

Note: Directional derivative consider only directions, however continuity

Partial derivative is a special type of directional derivative.

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Note: If f is differentiable at x then f 0 (x) = α .

Q: Can you give me a proof to have a look insight?

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Definition (Using Linear Transformation)

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

Definition of Derivative in Multidimension

Note: f (x) − f (a) − L(x) is a vector in Rm and x − a is a vector in Rn .

Dr. Pratibhamoy Das ( Department of Mathematics[4pt]Indian Institute of TechnologyJuly

If f : Rn → R, Jacobian is the Gradient.

Tangency of Two curves

Geometrically: Tangency occurs if the approach

Best Linear Approximation

L can be thought of a matrix m × n .