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Lesson 4 Derivatives: 1. Derivatives in Multi-Variables Functions

This document provides an overview of derivatives in multi-variable functions. It defines the partial derivative of a function f with respect to a vector v at a point x0. The gradient vector is introduced as the vector of partial derivatives at a point. The Jacobian matrix is defined as the matrix with the gradient vectors as rows. Economic applications of derivatives are also discussed, including total value, mean value, marginal value, and elasticities.

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Jorge Toran Sierra
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115 views5 pages

Lesson 4 Derivatives: 1. Derivatives in Multi-Variables Functions

This document provides an overview of derivatives in multi-variable functions. It defines the partial derivative of a function f with respect to a vector v at a point x0. The gradient vector is introduced as the vector of partial derivatives at a point. The Jacobian matrix is defined as the matrix with the gradient vectors as rows. Economic applications of derivatives are also discussed, including total value, mean value, marginal value, and elasticities.

Uploaded by

Jorge Toran Sierra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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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

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

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

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

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


Mathematics 2009/2010- 41 -

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

Mathematics 2009/2010- 42 -

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