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LESSON 4.

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

How can we use these tools to analyse functions in n ?


Remember that given a point x0 and a vector v the function f v ( x) = f ( x0 + v) : ,
where the function is in one real variable.
Definition
Let us define a derivative of f with respect to a vector v at x0 as
f v( x0 ) = lim

f ( x0 + v ) f ( x0 )

We consider all the canonical directions


e1 = (1,0,0,K0); e2 = (0,1,0,K,0); e3 = (0,0,1,K,0); K ; en = (0,0,0,K,1) ,

so f e ( x0 ) is called as i-th partial derivative and it can be written as


i

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

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LESSON 4. DERIVATIVES

Remark
We can get the

f
through the common rules of derivation of f ( x,..., xn ) , by taking into
xi

consideration that xi is a variable and x1 ,..., xi 1 , xi +1 ,..., xn are constant.


Example
Try to get the partial derivatives of f ( x, y ) = x sin( x y )
f
= sin( xy ) + x cos( xy ) y = sin( xy ) + xy cos( xy )
x
f
= x cos( xy ) x = x 2 cos( xy )
y

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

Properties of the gradient


1. f v( x0 ) = f ( x0 ) v
2. The gradient vector shows the greatest increasing direction at point x0.
Example
f ( x, y ) = x e y

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

- Which is the greatest increasing direction at (0,0) ?


f (0,0) = (e 0 ,0e 0 )

Remark
Every partial derivative

f
is a function
xi

calculate the second partial derivatives of

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

Try to work out the second partial derivatives


f
= 2 xy 4 + 3 x 2 y 1
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

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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

There are as many mean value functions as the parameters:


100 p 2
represents the slope of a straight line which links the origin point to
p
the point ( p, d ( p))
dM =

c) Marginal value: It is defined as


lim
0

f ( x + ei ) f ( x)

f
( x); It can be interpreted as the increase of a function
xi

f ( x1 ,..., xn ) when there is an infinitesimal change in the xi variable keeping

constant all the other variables. d = 2 p


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LESSON 4. DERIVATIVES

d) Elasticities: The elasticity is a measure of the variation ratio.


f ,x

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

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