Fréchet derivative 1

Fréchet derivative
In mathematics, the Fréchet derivative is a derivative defined on Banach spaces. Named after Maurice Fréchet, it is
commonly used to formalize the concept of the functional derivative used widely in the calculus of variations.
Intuitively, it generalizes the idea of linear approximation from functions of one variable to functions on Banach
spaces. The Fréchet derivative should be contrasted to the more general Gâteaux derivative which is a generalization
of the classical directional derivative.
The Fréchet derivative has applications throughout mathematical analysis, and in particular to the calculus of
variations and much of nonlinear analysis and nonlinear functional analysis. It has applications to nonlinear
problems throughout the sciences.

Definition
Let V and W be Banach spaces, and be an open subset of V. A function f : U → W is called Fréchet
differentiable at if there exists a bounded linear operator such that

The limit here is meant in the usual sense of a limit of a function defined on a metric space (see Functions on metric
spaces), using V and W as the two metric spaces, and the above expression as the function of argument h in V. As a
consequence, it must exist for all sequences of non-zero elements of V which converge to the zero vector
If the limit exists, we write and call it the (Fréchet) derivative of f at x. A function f that is
Fréchet differentiable for any point of U, and whose derivative Df(x) is continuous in x on U, is said to be C1.
This notion of derivative is a generalization of the ordinary derivative of a function on the real numbers f : R → R
since the linear maps from R to R are just multiplication by a real number. In this case, Df(x) is the function
.

Properties
A function differentiable at a point is continuous at that point.
Differentiation is a linear operation in the following sense: if f and g are two maps V → W which are differentiable at
x, and r and s are scalars (two real or complex numbers), then rf + sg is differentiable at x with D(rf + sg)(x) = rDf(x)
+ sDg(x).
The chain rule is also valid in this context: if f : U → Y is differentiable at x in U, and g : Y → W is differentiable at y
= f(x), then the composition g o f is differentiable in x and the derivative is the composition of the derivatives:
Fréchet derivative 2

Finite dimensions
The Fréchet derivative in finite-dimensional spaces is the usual derivative. In particular, it is represented in
coordinates by the Jacobian matrix.
Suppose that f is a map, f:U⊂Rn → Rm with U an open set. If f is Fréchet differentiable at a point a ∈ U, then its
derivative is

where Jf(a) denotes the Jacobian matrix of f at a.

Furthermore, the partial derivatives of f are given by

where {ei} is the canonical basis of Rn. Since the derivative is a linear function, we have for all vectors h ∈ Rn that
the directional derivative of f along h is given by

If all partial derivatives of f exist and are continuous, then f is Fréchet differentiable (and, in fact, C1). The converse
is not true: a function may be Fréchet differentiable and yet fail to have continuous partial derivatives.

Relation to the Gâteaux derivative

A function f : U ⊂ V → W is called Gâteaux differentiable at x ∈ U if f has a directional derivative along all
directions at x. This means that there exists a function g : V → W such that

for any chosen vector h in V, and where t is from the scalar field associated with V (usually, t is real).[1] If f is Fréchet
differentiable at x, it is also Gâteaux differentiable there, and g is just the linear operator A = Df(x). However, not
every Gâteaux differentiable function is Fréchet differentiable. If f is Gâteaux differentiable on an open set U ⊂ V,
then f is Fréchet differentiable if its Gâteaux derivative is linear and bounded at each point of U and the Gâteaux
derivative is a continuous map U → L(V, W).
For example, the real-valued function f of two real variables defined by

is continuous and Gâteaux differentiable at (0, 0), with its derivative being

The function g is not a linear operator, so this function is not Fréchet differentiable.
More generally, any function of the form , where r and φ are the polar coordinates of (x,y),
is continuous and Gâteaux differentiable at (0,0) if g is differentiable at 0 and , but the
Gâteaux derivative is only linear and the Fréchet derivative only exists if h is sinusoidal.
In another situation, the function f given by
Fréchet derivative 3

is Gâteaux differentiable at (0, 0), with its derivative there being g(a, b) = 0 for all (a, b), which is a linear operator.
However, f is not continuous at (0, 0) (one can see by approaching the origin along the curve (t, t3)) and therefore f
cannot be Fréchet differentiable at the origin.
A more subtle example is

which is a continuous function that is Gâteaux differentiable at (0, 0), with its derivative being g(a, b) = 0 there,
which is again linear. However, f is not Fréchet differentiable. If it were, its Fréchet derivative would conincide with
its Gâteaux derivative, and hence would be the zero operator; hence the limit

would have to be zero, whereas approaching the origin along the curve (t, t2) shows that this limit does not exist.
These cases can occur because the definition of the Gâteaux derivative only requires that the difference quotients
converge along each direction individually, without making requirements about the rates of convergence for different
directions. Thus, for a given ε, although for each direction the difference quotient is within ε of its limit in some
neighborhood of the given point, these neighborhoods may be different for different directions, and there may be a
sequence of directions for which these neighborhoods become arbitrarily small. If a sequence of points is chosen
along these directions, the quotient in the definition of the Fréchet derivative, which considers all directions at once,
may not converge. Thus, in order for a linear Gâteaux derivative to imply the existence of the Fréchet derivative, the
difference quotients have to converge uniformly for all directions.
The following example only works in infinite dimensions. Let X be a Banach space, and φ a linear functional on X
that is discontinuous at x = 0 (a discontinuous linear functional). Let

Then f(x) is Gâteaux differentiable at x = 0 with derivative 0. However, f(x) is not Fréchet differentiable since the
limit

does not exist.

Higher derivatives
If f is a differentiable function at all points in an open subset U of V, it follows that its derivative

is a function from U to the space L(V, W) of all bounded linear operators from V to W. This function may also have a
derivative, the second order derivative of f, which, by the definition of derivative, will be a map

To make it easier to work with second-order derivatives, the space on the right-hand side is identified with the
Banach space L2(V×V, W) of all continuous bilinear maps from V to W. An element φ in L(V, L(V, W)) is thus
identified with ψ in L2(V×V, W) such that for all x and y in V

(intuitively: a function φ linear in x with φ(x) linear in y is the same as a bilinear function ψ in x and y).
One may differentiate
Fréchet derivative 4

again, to obtain the third order derivative, which at each point will be a trilinear map, and so on. The n-th derivative
will be a function

taking values in the Banach space of continuous multilinear maps in n arguments from V to W. Recursively, a
function f is n+1 times differentiable on U if it is n times differentiable on U and for each x in U there exists a
continuous multilinear map A of n+1 arguments such that the limit

exists uniformly for h1, h2, ..., hn in bounded sets in V. In that case, A is the n+1st derivative of f at x.

Notes
[1] It is common to include in the definition that the resulting map g must be a continuous linear operator. We do not adopt this convention here
so that the widest possible class of pathologies can be examined.

References
• Cartan, Henri (1967), Calcul différentiel, Paris: Hermann, MR0223194.
• Dieudonné, Jean (1969), Foundations of modern analysis, Boston, MA: Academic Press, MR0349288.
• Munkres, James R. (1991), Analysis on manifolds, Addison-Wesley, ISBN 978-0-201-51035-5, MR1079066.
• Previato, Emma, ed. (2003), Dictionary of applied math for engineers and scientists, Comprehensive Dictionary
of Mathematics, London: CRC Press, ISBN 978-1-58488-053-0, MR1966695.

External links
• B. A. Frigyik, S. Srivastava and M. R. Gupta, Introduction to Functional Derivatives (http://www.ee.
washington.edu/research/guptalab/publications/functionalDerivativesIntroduction.pdf), UWEE Tech Report
2008-0001.
• http://www.probability.net.This webpage is mostly about basic probability and measure theory, but there is
nice chapter about Frechet derivative in Banach spaces (chapter about Jacobian formula). All the results are given
with proof.
Article Sources and Contributors 5

Article Sources and Contributors

Fréchet derivative  Source: http://en.wikipedia.org/w/index.php?oldid=419587081  Contributors: Albmont, Ancaruci, Ashigabou, BadriNarayan, Bdmy, Beanyk, Bender235, Benglitz,
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