MA2AA1 (ODE s): The inverse and implicit function theorem
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1 MA2AA1 (ODE s): The inverse and implicit function theorem Sebastian van Strien (Imperial College) February 3, 2013 Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 0
2 Some of you did not do multivariable calculus. This note provides a crash course on this topic. This note also includes some important theorems which are not covered in 2nd year courses. These notes include examples that are taken from the internet. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 0
3 Definition of Jacobian Suppose that F : U V where U R n and V R p. We say that F is differentiable at x U if there exists a linear map A: R n R m (i.e. a m n matrix A) (F(x + u) F(x)) Au u 0 as u 0. In this case we define DF x = A. In other words F(x + u) = F(x) + Au + o( u ). (A is the linear part of the Taylor expansion of F). How to compute DF x? This is just the Jacobian matrix, see next slide. If f : R n R then Df x is a 1 n matrix which is also called grad(f ) or f (x). Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 1
4 ( x Example 1. Let F(x, y) = 2 + yx xy y DF x,y = ( 2x + y x y x 1 ). ) then (Df 0 )u is the directional derivative of f (in the direction u). ( x Example 2. If F(x, y) = 2 ) ( ) + yx 1 and e xy y 1 = then 0 ( ) ( ) 2x + y x 2x + y (DF x,y )e 1 = e y x 1 1 =. This is what y you get when you fix y and differentiate w.r.t. x in ( F(x, y). x For each fixed y one has a curve x F(x, y) = 2 ) + yx xy y ( ) 2x + y and (DF x,y )e 1 = gives its speed vector. y Remark: Sometimes one writes DF (x, y)u instead of DF x,y u. If u is the i-th unit vector e i then one often writes D i F x,y and if i = 1 something like D x F (x, y). Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 2
5 Theorem 1. Multivariable Mean Value Theorem If f : R R m is differentiable then for each x, y R there exists ξ [x, y] so that f (x) f (y) Df ξ x y. Proof: By the Main Theorem of integration, f (y) f (x) = y x Df s ds (where Df t is the n 1 matrix (i.e. vertical vector) of derivatives of each component of f. So f (x) f (y) = y x Df s ds y x Df s ds max s (x,y) Df s x y Df ξ x y for some ξ [x, y]. Corollary: If f : R n R m is continuously differentiable then for each x, y R n there exists ξ in the arc [x, y] connecting x and y so that f (x) f (y) Df ξ (u) x y where u = (x y)/ x y. Proof: just consider f restricted to the line connecting x, y and apply the previous theorem. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 3
6 The inverse function theorem Theorem 2. Let U R n be open, p U and F : U R n be continuously ifferentiable and suppose that the matrix DF p is invertible. Then there exist open sets W U and V R n with p W and F(p) V, so that F : W V is a bijection and so that its inverse G : V W is also differentiable. Definition A map F : U V which has a differentiable inverse is called a diffeomorphism. Proof: Without loss of generality we can assume that p = 0 = F(p) (just apply a translation). By composing with a linear transformation we can even also assume DF 0 = I. Since we assume that x DF x is continuous, there exists δ > 0 so that I DF x 1/2 for all x R with x 2δ. (1) Here, as usual, we define the norm of a matrix A to be A = sup{ Ax ; x = 1}. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 4
7 Given y with y δ/2 define the transformation Note that T y (x) = y + x F(x). T y (x) = x F(x) = y. So finding a fixed point of T y gives us a point x for which G(y) = x. We will find x using the Banach Contraction Mapping Theorem. (Step 1) By (1) we had I DF x 1/2 when x 2δ. Therefore, the Mean Value Theorem applied to x x F(x) gives x F(x) (0 F(0)) 1 x 0 for x 2δ 2 Therefore if x δ then T y (x) y + x F(x) δ/2 + δ/2 = δ. So T y maps the closed ball B := B δ (0) into itself. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 5
8 (Step 2) T y : B B is a contraction since if x, z B δ (0) then x z 2δ and so we obtain by the Mean Value Theorem again T y (x) T y (z) = x F(x) (z F(z)) 1 x z. (2) 2 (Step 3) Since B δ (0) is a Banach space, there exists a unique x B δ (0) with T y (x) = x i.e. so that F(x) = y. (Step 4) The upshot is that for each y B δ/2 (0) there is precisely one solution x B δ (0) of the equation F(x) = y. Hence there exists W B δ (0) so that the map F : W V := B δ/2 (0) is a bijection. So F : W V has an inverse, denoted by G. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 6
9 (Step 5) G is continuous: Set u = F(x) and v = F(z). Applying the triangle and the 2nd inequality in equation (2), x z = (x z) (F(x) F(z)) + (F(x) F(z)) (x z) (F(x) F(z)) + F(x) F(z) 1 2 x z + F(x) F(z). So G(u) G(v) = x z 2 F(x) F(z) = 2 u v. (Step 6) G is differentiable: (G(u) G(v)) (DF z ) 1 (u v) = x z (DF z ) 1 (F(x) F(z)) (DF z ) 1 DF z (x z) (F(x) F(z)) = o( x z ) = 2o( u v ). as (DF z ) 1 is bounded, using the definition and the last inequality in step 5. Hence G(u) G(v) (DF z ) 1 (u v) = o( u v ) proving that G is differentiable and that DG v = (DF z ) 1. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 7
10 Example 3. Consider the set of equations x 2 + y 2 = u, sin(x) + cos(y) = v. x Given (u, v) near (u 0, v 0 ) = (2, cos(1) + sin(1)) is it possible to find a unique (x, y) near to (x 0, y 0 ) = (1, 1) satisfying this set of equations? To check this, we define ( ) x 2 +y 2 F(x, y) = x. sin(x) + cos(y) The Jacobian matrix is ( x 2 y 2 x 2 cos(x) 2y x sin(y) The determinant of this is y 2 x 2 sin(y) 2y x 2 x cos(x) which is non-zero near (1, 1). So for every (u, v) sufficiently close to (u 0, v 0 ) one can find a unique solution near to (x 0, y 0 ) to this set of equations. Near (π/2, π/2) probably not. ). Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 8
11 Theorem 3. Implicit Function Theorem Let F : R p R n R n be differentiable and assume that F(0, 0) = 0. Moreover, assume that n n matrix obtained by deleting the first p columns of the matrix DF 0,0 is invertible. Then there exists a function G : R p R n so that for all (x, y) near (0, 0) y = G(x) F(x, y) = 0. The proof is a fairly simple application of the inverse function theorem, and won t be given here. The R p part in R p R n can be thought as parameters. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 9
12 Example 4. Let f (x, y) = x 2 + y 2 1. Then one can consider this as locally as a function y(x) when f / y = 2y 0. Example 5. What can you say about solving the equations x 2 y 2 u 3 + v = 0 2xy + y 2 2u 2 + 3v = 0 for u, v in terms of x, y in a neighbourhood of the solution (x, y, y, v) = (2, 1, 2, 1). Define F (x, y, y, v) = (x 2 y 2 u 3 + v 2 + 4, 2xy + y 2 2u 2 + 3v 4 + 8). We have to consider the part of the Jacobian matrix which concerns the derivatives w.r.t. u, v at this point. That is ( ) ( ) 3u 2 2v u 12v 3 = 8 12 (2, 1,2,1) which is an invertible matrix. So locally, near (2, 1, 2, 1) one can write (u, v) = G(x, y) that is F(x, y, G 1 (x, y), G 2 (x, y)) = 0. Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 10
13 To determine G 1 / x (i.e. u/ x) we differentiate this. Indeed, writing u = G(x, y) and v = G(x, y) and differentiating x 2 y 2 u 3 + v = 0, 2xy + y 2 2u 2 + 3v = 0, w.r.t. x one has So ( u x v x ) 2x 3u 2 u v x + 2v x = 0, 2y 4u u x + 12v 3 v x = 0. ( ) ( ) 3u 2 2v 2x = 4u 12v 3 2y ( 1 12v 3 2v = 8uv 36u 2 v 2 4u 3u 2 Hence u x = ( 24xv 3 + 4vy) 8uv 36u 2 v 2. ) ( 2x 2y ) Differential Equations MA2AA1 Sebastian van Strien (Imperial College) 11
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