Nonlinear Analysis 69 (2008) 11121124

www.elsevier.com/locate/na
Exact calculus of Fr echet subdifferentials for Hadamard
directionally differentiable functions
Vera Roshchina
City University of Hong Kong, Tat Chee Avenue, Kowloon Tong, Hong Kong
Received 28 March 2007; accepted 5 June 2007
Abstract
We continue the study of the calculus of the generalized subdifferentials started in [V.F. Demyanov, V. Roshchina, Exhausters
and subdifferentials in nonsmooth analysis, Optimization (2006) (in press)] and [V. Roshchina, Relationships between upper
exhausters and the basic subdifferential in Variational Analysis, Journal of Mathematical Analysis and Applications 334 (2007)
261272] and provide some basic calculus rules for the Fr echet subdifferentials via collections of compact convex sets associated
with Hadamard directional derivative. The main result of this paper is the sum rule for the Fr echet subdifferential in the form of an
equality, which holds for Hadamard directionally differentiable functions, and is of signicant interest from the points of view of
both theory and applications.
c 2007 Elsevier Ltd. All rights reserved.
Keywords: Calculus of subdifferentials; Fr echet subdifferential; Upper exhausters
1. Introduction
It is well known that many of the generalized subdifferentials have poor calculus rules. One already starts to
experience difculties with calculus when trying to perform very basic operations over the functions, like summing
up a nite number of functions or even multiplying by the negative constant. For some subdifferentials, for example,
the Clarke one for a Lipschitz function, the multiplication by a negative constant still preserves an equality rule, that
is,

Cl
(f )(x
0
) =
Cl
f (x
0
),
but this does not hold for the Fr echet subdifferential. The situation with the sum rule is even worse. For the Clarke
subdifferential (see [7]) for a Lipschitz function one has an inclusion

Cl
( f
1
+ f
2
)(x
0
)
Cl
f
1
(x
0
) +
Cl
f
2
(x
0
),
which holds as an equality under a (quite restrictive) regularity condition. For example, consider f
1
(x) = x and
f
2
(x) = x, where by we denote the Euclidean norm on R
n
, and we keep this notation throughout the paper. It
E-mail address: vera.roshchina@gmail.com.
0362-546X/$ - see front matter c 2007 Elsevier Ltd. All rights reserved.
doi:10.1016/j.na.2007.06.015
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1113
is not difcult to observe that
Cl
( f
1
+ f
2
)(0
n
) = {0
n
}, while
Cl
f
1
(0
n
) +
Cl
f
2
(0
n
) = 2B, where by B we denote the
unit ball centered at the origin. For the Fr echet subdifferential the best we can get as a sum rule for a general case is

( f
1
+ f
2
)(x
0
)

f
1
(x
0
) +

f
2
(x
0
),
where the equality holds in very few cases (e.g. when one of the functions is locally Lipschitz and a lower regu-
larity condition is satised, i.e. when the basic (limiting, Mordukhovich) subdifferential coincides with the Fr echet
subdifferential (see [9])).
It was noticed by Demyanov and Rubinov (see [5]) that the key for exact calculus rules is representing
the differential properties of a function by something more than one set. First they introduced the notion of
quasidifferentiability, where the directional derivative of a function was represented by a pair of sets a
subdifferential and a superdifferential. However there was a problem with the conditions for the quasidifferentiability
(they simply do not exist so far). A notion of exhauster was introduced recently by Demyanov (see the survey papers
[1,2]), which employs a similar idea, that is, a directional derivative is represented via a collection of compact convex
sets; however, in contrast to the case for quasidifferentials, there are conditions for the existence of exhausters and
the ways of constructing them for arbitrary functions (for example, Castellani in [6] has shown how to construct an
upper exhauster of a positively homogeneous Lipschitz function). In Section 4 we provide some ideas for constructing
exhausters of some classes of functions and also give an explicit representation of an exhauster of a Lipschitz function.
In this paper we employ exhausters to obtain exact calculus rules for the Fr echet subdifferentials. It is enough
to require that all but one function is Hadamard differentiable for the sum rule to hold as an equality, while for the
multiplication by the negative constant we additionally need local Lipschitzness to hold. We also provide some basic
rules for the pointwise minimum and maximum, product and ratio. In all of these cases the conditions necessary for
the equalities are rather weak. One section is devoted to a short glance at the calculus of basic subdifferentials via
exhausters. However, there is much left to do in this direction.
The paper is organized as follows. In Section 2 we introduce the notion of the (upper) exhauster and provide the
relationship between the exhauster and the Fr echet subdifferential of an arbitrary function. Section 3 is devoted to the
calculus of the Fr echet subdifferentials via exhausters, and in Section 4 we discuss the ways to construct exhausters
of arbitrary functions. In Section 5 some preliminary results on the calculus of basic subdifferentials are presented.
Section 6 contains some illustrative examples and in Section 7 conclusive remarks can be found.
2. Representing Fr echet subdifferentials via exhausters
Recall that for a function f : X R, where X is an open set in R
n
, the lower Hadamard directional derivative of
f at x
0
in a direction g R
n
is the quantity
f

H
(x
0
; g) = liminf
t 0,
g

g
f (x
0
+tg

) f (x
0
)
t
,
while the Hadamard directional derivative of f at x
0
in a direction g is dened as
f

H
(x
0
; g) = lim
t 0,
g

g
f (x
0
+tg

) f (x
0
)
t
.
Hadamard directional differentiability is not guaranteed for an arbitrary function. However, the Hadamard directional
derivative possesses many nice properties. The continuity of f

H
(x
0
; ) is one of them (see [14], Proposition 3.1). It is
not difcult to observe that if f is Hadamard directionally differentiable then f

H
(x
0
; ) = f

H
(x
0
; ).
Denition 1. Let f : X R, where X is an open set in R
n
, and x
0
X. Let h : R
n
R be the lower Hadamard
directional derivative of f at x
0
, i.e. h() = f

H
(x
0
; ) (or h() = f

H
(x
0
; ) if f is Hadamard directionally differentiable
at x
0
). Let E f (x
0
) be a family of compact convex sets in R
n
such that h can be represented as
h(g) = inf
CE f (x
0
)
max
vC
v, g g S, (1)
where S is a unit sphere in R
n
. Then the family of sets E f (x
0
) is called an (upper) exhauster of f at x
0
.
1114 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124
If f is Hadamard directionally differentiable, E f (x
0
) always exists. Indeed, by Theorem 5.1 in [2] the
representation (1) exists for every continuous positively homogeneous (p.h.) function, and we know that f

H
(x
0
; )
is continuous and positively homogeneous. If f is not Hadamard differentiable at x
0
, then the representation (1) exists
if f

H
(x
0
; ) is continuous.
Once we have introduced the notion of the exhauster, we shall see how it is related to the Fr echet subdifferential of
f at x
0
. Recall that the Fr echet subdifferential of f at x
0
is the set

f (x
0
) =
_
v R
n
| liminf
xx
0
f (x) f (x
0
) v, x x
0

x x
0

0
_
.
The following lemma holds due to Proposition 1.17 in [8].
Lemma 1. For a positively homogeneous function h : R
n
R the Fr echet subdifferential at 0
n
can be represented
as

h(0
n
) = {v R
n
| h(g) v, g g R
n
}.
Observe that the Fr echet subdifferential of the function coincides with the Fr echet subdifferential of its lower
Hadamard directional derivative (e.g. see [4]).
Lemma 2. For every f : X R, where X is an open subset of R
n
and x
0
X, it holds that

f (x
0
) =

h(0
n
),
where h() = f

H
(x
0
; ).
Theorem 1. Let f : R
n
R, where X is an open subset of R
n
and x
0
X. If E f (x
0
) is an exhauster of f at x
0
,
then the following relation holds:

f (x
0
) =
_
CE f (x
0
)
C. (2)
Proof. It was proven in [3] that this result holds for any positively homogeneous function which can be represented
as (1); hence by Lemma 2 we immediately get (2).
Remark 1. Note that Theorem 1 holds even when

f (x
0
) is empty. In this case we simply have an empty intersection
of sets in an exhauster.
3. Exact calculus rules for Fr echet subdifferentials
In this section we extensively use the calculus of exhausters (see [1,2]), relating it to the calculus of Fr echet
subdifferentials. Some of the results are new; for example, we provide a rule for calculating an exhauster of the
pointwise maximum of two functions and relax the condition on Hadamard directional differentiability in some cases.
Throughout this section we assume that all the functions considered here are dened on an open subset X of R
n
and are continuous at x
0
X.
3.1. Some operations over families of compact convex sets
We rst introduce some operations over families of compact convex sets to be used in what follows for the exact
subdifferential calculus.
Denition 2. Let E
1
and E
2
be two families of compact convex sets. We dene E
1
+ E
2
as
E
1
+ E
2
= {C R
n
| C = C
1
+C
2
, C
1
E
1
, C
2
E
2
},
where the sum of the sets is dened in a usual sense:
C
1
+C
2
= {v R
n
| v = v
1
+v
2
, v
1
C
1
, v
2
C
2
}.
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1115
Denition 3. Let E be a family of compact convex sets. For every 0 we dene
E = {C | C E},
where for any set C R
n
C = {v | v C}.
Denition 4. Let E be a family of compact convex sets. For every g S put

C(g) = cl co
_
CE
{arg max
vC
v, g}
and let
E = {

C(g) | g S}.
Denition 5 (Inner Union). We dene an inner union of two families of compact convex sets E
1
and E
2
by
E
1
_
inn
E
2
= {C | C = co(C
1
C
2
), C
1
E
1
, C
2
E
2
}.
3.2. Sum rule
Theorem 2. Let E f
1
(x
0
) and E f
2
(x
0
) be exhausters of the functions f
1
and f
2
respectively at the point x
0
; then for
f = f
1
+ f
2

f (x
0
)
_
CE f
1
(x
0
)+E f
2
(x
0
)
C. (3)
If in addition one of the functions f
1
or f
2
is Hadamard directionally differentiable, then the exhauster of f at x
0
can
be obtained as
E f (x
0
) = E f
1
(x
0
) + E f
2
(x
0
), (4)
and, hence,

f (x
0
) =
_
CE f
1
(x
0
)+E f
2
(x
0
)
C. (5)
Proof. Note that for every g R
n
inf
CE f
1
(x
0
)+E f
2
(x
0
)
max
vC
v, g = inf
C
1
E f
1
(x
0
)
inf
C
2
E f
2
(x
0
)
max
v
1
C
1
,
v
2
C
2
v
1
+v
2
, g
= inf
C
1
E f
1
(x
0
)
inf
C
2
E f
2
(x
0
)
[ max
v
1
C
1
v
1
, g + max
v
2
C
2
v
2
, g]
= inf
C
1
E f
1
(x
0
)
[ max
v
1
C
1
v
1
, g + inf
C
2
E f
2
(x
0
)
max
v
2
C
2
v
2
, g]
= inf
C
1
E f
1
(x
0
)
max
v
1
C
1
v
1
, g + inf
C
2
E f
2
(x
0
)
max
v
2
C
2
v
2
, g.
Dene h
i
() = ( f
i
)

H
(x
0
; ), i 1 : 2, h() = f

H
(x
0
; ). For every g R
n
we have h(g) h
1
(g) + h
2
(g). Then it
follows from the above that
h(g) inf
CE f
1
(x
0
)+E f
2
(x
0
)
max
vC
v, g,
which by Lemma 1 yields (3). Observe that if one of the functions f
1
or f
2
is Hadamard directionally differentiable
at x
0
, then for every g R
n
,
h(g) = h
1
(g) + h
2
(g).
1116 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124
From the above discussion we immediately obtain
h(g) = inf
CE f
1
(x
0
)+E f
2
(x
0
)
max
vC
v, g,
and, hence, E f
1
(x
0
) + E f
2
(x
0
) is an exhauster of h at 0
n
, and by Lemma 2 it is also an upper exhauster of f at x
0
,
which yields (5).
It is well known (e.g. see [8]) that if f
1
and f
2
are convex or one of these functions is Fr echet differentiable at x
0
,
then

f
1
(x
0
) +

f
2
(x
0
) =

( f
1
+ f
2
)(x
0
).
This result easily follows from Theorem 2. Indeed, for a convex function f the Fr echet subdifferential coincides with
the subdifferential in the sense of Convex Analysis, which means that
f

H
(x
0
; g) = max
v

f (x
0
)
v, g g R
n
,
and, hence, E f (x
0
) = {

f (x
0
)} is an exhauster of f at x
0
. Hence, for f = f
1
+ f
2
, f
1
and f
2
being convex, we have
E f (x
0
) = E f
1
(x
0
) + E f
1
(x
0
) = {

f
1
(x
0
) +

f
2
(x
0
)},
which by Theorem 2 is an exhauster of f at x
0
. Hence,

f (x
0
) =
_
CE f (x
0
)
C =

f
1
(x
0
) +

f
2
(x
0
).
Analogously, for f = f
1
+ f
2
, where f
1
is Fr echet subdifferentiable and f
2
is Fr echet differentiable at x
0
, we have
E f
2
(x
0
) = {{ f (x
0
)}}, where f (x
0
) is the Fr echet derivative of f at x
0
. Then for f = f
1
+ f
2
we have
E f (x
0
) = E f
1
(x
0
) + E f
2
(x
0
) = {C +{ f
2
(x
0
)} | C E f
1
(x
0
)},
and

f (x
0
) =
_
CE f
1
(x
0
)
(C +{ f (x
0
)}) =
_
CE f
1
(x
0
)
C +{ f (x
0
)} =

f
1
(x
0
) +

f
2
(x
0
).
These results can be generalized by the following proposition.
Proposition 1. Let f
1
and f
2
be Hadamard directionally differentiable at x
0
. If E f
1
(x
0
) and E f
2
(x
0
) are exhausters
of f
1
and f
2
respectively, and it holds that
_
CE f
1
(x
0
)+E f
2
(x
0
)
C =
_
C
1
E f
1
(x
0
)
C
1
+
_
C
2
E f
2
(x
0
)
C
2
,
then the exact sum rule for the Fr echet subdifferentials holds, i.e.

( f
1
+ f
2
)(x
0
) =

f
1
(x
0
) +

f
2
(x
0
).
Proof. Follows directly from Theorem 2.
3.3. Multiplication by a constant
Theorem 3. If E f (x
0
) is an exhauster of f at x
0
, then for 0 the family of sets E(f )(x
0
) = E f (x
0
) is an
upper exhauster of f at x
0
, and

(f )(x
0
) =
_
CE f (x
0
)
C.
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1117
The proof of this result is straightforward; moreover, we already know (see [8], Proposition 1.11) that if f is Fr echet
subdifferentiable, then for > 0 it holds that

(f )(x
0
) =

f (x
0
). Hence, Theorem 3 is not of great interest
from the point of view of the calculus of Fr echet subdifferentials. Multiplication by a negative constant is much more
interesting in this respect (though recall that both

f (x
0
) and

(f )(x
0
) exist only if f is Fr echet differentiable at x
0
(e.g. see [8], Proposition 1.3)).
Theorem 4. If E f (x
0
) is an upper exhauster of a Hadamard directionally differentiable function f at x
0
, then for
every g R
n
,
(f )

H
(x
0
; g) = inf
CE f (x
0
)
sup
vC
v, g,
where E f (x
0
) is as in Denition 4. Moreover, if E f (x
0
) is totally bounded (i.e. there exists a ball B
r
R
n
of radius
r such that C B
r
for all C E f (x
0
)), then E(f )(x
0
) = E f (x
0
) and

f (x
0
) =
_
CE f (x
0
)
C.
Proof. The proof follows directly from the results in Section 7 of [2] and the calculus of biexhausters (Section 12
in [2]).
Remark 2. It is always possible to construct a totally bounded upper exhauster of a Lipschitz function, and hence the
last part of Theorem 4 holds for every Hadamard directionally differentiable Lipschitz function.
3.4. Product, ratio, pointwise minimum and maximum
The proofs of the following three results are straightforward and analogous to the proofs of the results in
Sections 3.2 and 3.3, and hence omitted. Also note that these results were already obtained in [2] for Hadamard
differentiable functions, but were not related to the Fr echet subdifferential.
Theorem 5. Let E f
1
(x
0
) and E f
2
(x
0
) be exhausters of f
1
and f
2
respectively at x
0
. Then

( f
1
f
2
)(x
0
) f
1
(x
0
)
_
CE f
2
(x
0
)
C + f
2
(x
0
)
_
CE f
1
(x
0
)
C.
If in addition one of the functions f
1
and f
2
is Hadamard directionally differentiable, then E( f
1
f
2
)(x
0
) = f
1
(x
0
)E f
2
(x
0
) + f
2
(x
0
)E f
1
(x
0
) is an exhauster of f
1
f
2
at x
0
and therefore

( f
1
f
2
)(x
0
) = f
1
(x
0
)
_
CE f
2
(x
0
)
C + f
2
(x
0
)
_
CE f
1
(x
0
)
C.
Theorem 6. Let f
1
and f
2
be Hadamard directionally differentiable at x
0
and f
2
(x
0
) = 0. Let E f
1
(x
0
) and E f
2
(x
0
)
be exhausters of f
1
and f
2
respectively at x
0
, E f
2
(x
0
) totally bounded. Then
E( f
1
/f
2
)(x
0
) =
1
f
2
(x
0
)
2
[ f
2
(x
0
)E f
1
(x
0
) f
1
(x
0
)E f
2
(x
0
)]
is an upper exhauster of f
1
/f
2
at x
0
; therefore

( f
1
/f
2
)(x
0
) =
1
f
2
(x
0
)
2
_
f
2
(x
0
)
_
CE f
1
(x
0
)
C f
1
(x
0
)
_
CE f
2
(x
0
)
C
_
.
Theorem 7 (Pointwise Minimum). Let f
1
and f
2
be Hadamard differentiable at x
0
, E f
1
(x
0
) and E f
2
(x
0
) being their
exhausters. Then the exhauster of min{ f
1
, f
2
} at x
0
is given by the relation
E(min{ f
1
, f
2
})(x
0
) =
_
_
_
E f
1
(x
0
), f
1
(x
0
) < f
2
(x
0
),
E f
2
(x
0
), f
1
(x
0
) > f
2
(x
0
),
E f
1
(x
0
) E f
2
(x
0
), f
1
(x
0
) = f
2
(x
0
),
(6)
and, therefore,
1118 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124

(min{ f
1
, f
2
})(x
0
) =
_
CE(min{ f
1
, f
2
})(x
0
)
C,
where E(min{ f
1
, f
2
})(x
0
) is given by (6).
The following result is essentially new; therefore, we supply it with a proof.
Theorem 8 (Pointwise Maximum). Let f
1
and f
2
be Hadamard directionally differentiable at x
0
, E f
1
(x
0
) and
E f
2
(x
0
) being their exhausters. Then the exhauster of max{ f
1
, f
2
} at x
0
is given by the relation
E(max{ f
1
, f
2
})(x
0
) =
_

_
E f
1
(x
0
), f
1
(x
0
) > f
2
(x
0
),
E f
2
(x
0
), f
1
(x
0
) < f
2
(x
0
),
E f
1
(x
0
)
_
inn
E f
2
(x
0
), f
1
(x
0
) = f
2
(x
0
),
(7)
where the operation
inn
is the inner union (Denition 5). Therefore,

(max{ f
1
, f
2
})(x
0
) =
_
CE(max{ f
1
, f
2
})(x
0
)
C,
where E(max{ f
1
, f
2
})(x
0
) is given by (7).
Proof. The relation (7) obviously holds when f
1
(x
0
) = f
2
(x
0
). We only have to show that (7) holds when f
1
(x
0
)
= f
2
(x
0
). First of all, note that for every g R
n
,
(max{ f
1
, f
2
})

H
(x
0
; g) = max{ f

H
(x
0
; g), f

H
(x
0
; g)}
= max{ inf
C
1
E f
1
(x
0
)
max
v
1
C
1
v
1
, g, inf
C
2
E f
2
(x
0
)
max
v
2
C
2
v
2
, g}.
Since the two inma under max depend on different parameters we can rewrite this expression as
(max{ f
1
, f
2
})

H
(x
0
; g) = inf
C
1
E f
1
(x
0
)
max{ max
v
1
C
1
v
1
, g, inf
C
2
E f
2
(x
0
)
max
v
2
C
2
v
2
, g}
= inf
C
1
E f
1
(x
0
)
inf
C
2
E f
2
(x
0
)
max{ max
v
1
C
1
v
1
, g, max
v
2
C
2
v
2
, g} = inf
C
1
E f
1
(x
0
)
C
2
E f
2
(x
0
)
max
vC
1
C
2
v, g,
which immediately yields
(max{ f
1
, f
2
})

H
(x
0
; g) = inf
CE f
1
(x
0
)

inn
E f
2
(x
0
)
max
vC
v, g,
and hence (7).
4. Constructing exhausters
So far we have provided many calculus rules for the Fr echet subdifferentials on the assumption that the exhausters
of the functions are already known, but we have not provided any ideas on how to calculate the exhausters of the initial
functions. This section is devoted solely to this topic. We provide some results related to calculation of exhausters of
some classes of functions (smooth, convex, concave, quasidifferentiable and Lipschitz).
Theorem 9. Let f be Fr echet differentiable at x
0
. Then an exhauster of f at x
0
is given by
E f (x
0
) = {{ f (x
0
)}}, (8)
where f (x
0
) is the Fr echet derivative of f at x
0
.
Proof. Note that since f is Fr echet differentiable, then it is also Hadamard directionally differentiable and
f

H
(x
0
; g) = f (x
0
), g g S,
which corresponds to the representation (1) and yields (8).
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1119
Theorem 10. Let f be convex. Then an upper exhauster of f is given by
E f (x
0
) = {

C
f (x
0
)}, (9)
where

C
f (x
0
) is the subdifferential of f at x
0
in the sense of Convex Analysis (see [12]).
Proof. Note that since f is convex, it is Hadamard directionally differentiable at x
0
and
f

H
(x
0
; g) = max
v

C
f (x
0
)
v, g,
which yields (9).
Theorem 11. Let f be concave. Then an upper exhauster of f is given by
E f (x
0
) = {{v} | g S : v {arg max
v
+
C
f (x
0
)
v, g}}, (10)
where
+
C
f (x
0
) is the superdifferential of f at x
0
.
The proof of this theorem is analogous to the proof of the previous one.
Remark 3. Note that the family of sets
E f (x
0
) = {{v} | v
+
C
f (x
0
)}
is an upper exhauster of a concave function f ; however, this family is much bigger than the one given by (10).
Theorem 12. Let f be Hadamard differentiable and quasidifferentiable, that is, there exists a pair of compact convex
sets [ f (x
0
), f (x
0
)] called a quasidifferential, such that the directional derivative h() = f

H
(x
0
; ) of f at x
0
can
be represented as
h(g) = max
v f (x
0
)
v, g + min
w f (x
0
)
w, g g R
n
. (11)
Then the family of sets
E f (x
0
) = {C = w + f (x
0
) | w f (x
0
)}
is an exhauster of f at x
0
.
More details on representing quasidifferentiable functions via exhausters can be found in [2].
The following theorem gives an explicit representation of an exhauster of a Lipschitz positively homogeneous
function. Note that this result can be applied to all Hadamard differentiable Lipschitz functions due to Lemma 2.
Theorem 13. Let h : R
n
R be a p.h. Lipschitz function. For every p S construct a set
C( p) = co{B
l
B
L
(h( p) p)} {v | v, p h( p)},
where
B
L
(h( p) p) = {v | v h( p) p L}, B
l
= {v | v l},
l is the Lipschitz constant and L = (1 +

2)l. Then the family of sets

E = {C( p) | p S}
is an exhauster of h at 0
n
.
Proof. Fix p S. Note that
max
vC( p)
v, p = h( p). (12)
Indeed, for every v C( p) we have v, p h( p), and hence, max
vC( p)
v, p h( p). On the other hand, the point
v
0
= ph( p) belongs to C( p) and v
0
, p = h( p), and hence (12) holds.
1120 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124
We shall show next that for every g S it holds that
max
vC( p)
v, g h(g). (13)
Consider the case when 1 > g, p 0 (when g, p = 1 we get g = p). Then let
v
0
=
u
u
L + h( p) p, u = g g, p p.
It is not difcult to observe that v
0
, p = h( p) and v
0
B
L
(h( p) p), and hence v
0
C( p). Observe that
gg, p p =
_
1 g, p
2
, h( p)h(g) lpg =

2l

1 p, g and h( p)

1 g, p l. Keeping
this in mind we have
v
0
, g = L
_
1 g, p
2
+ h( p)g, p
= L
_
1 g, p
2
+ h( p)(g, p 1) +(h( p) h(g)) + h(g)

_
1 p, g(L
_
1 +g, p l

2l) + h(g) h(g).

In the case when g, p < 0 and h( p) 0 we put v
0
= gl. We have v
0
C(g); moreover v
0
, g = l h(g). It
remains to consider the case when g, p < 0 and h( p) < 0. We let v
0
= gL + h( p) p. Then v
0
, p = Lg, p
+ h( p) < h( p) and v
0
B
L
(h( p) p), and hence v
0
C( p). We have
v
0
, g = L + h( p)g, p > L.
It follows from the above that for every g and p in S it holds that
max
vC( p)
v, g h(g). (14)
Now (12) and (14) and the positive homogeneity of h yield
h(g) = min
CE
max
vC
v, g g R
n
,
i.e. E is an exhauster of h.
5. Expressing the basic subdifferentials via exhausters
In this section we concentrate our attention on calculus rules for the basic subdifferentials for positively
homogeneous functions improving some of the results from [10]. First of all, recall that for a continuous function
f : X R the basic subdifferential at a point x
0
R
n
can be dened as follows (see Theorem 1.89 in [9]):
f (x
0
) = Limsup
xx
0

f (x), (15)
where

f (x) is the Fr echet subdifferential of the function f at the point x X, and by Limsup we denote the
Painlev eKuratowski outer limit (more details on set convergence can be found in [13]).
Let h be a p.h. continuous function, and let Eh(0
n
) be its upper exhauster at 0
n
. For every C Eh(0
n
) we put
h
C
(g) = max
vC
v, g g R
n
,
and then
h(g) = inf
CEh(0
n
)
h
C
(g) g R
n
.
Let E f (x
0
) be an exhauster of f at x
0
such that the following condition is satised:

h(g) =
_
CEh(0
n
),
h(g)=h
C
(g)
{arg max
vC
v, g} g S. (16)
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1121
Then taking into account the representation of the basic subdifferential of a p.h. function
h(0
n
) = cl
_
gS{0
n
}

h(g)
we arrive at the following result. If the condition (16) is satised, then
h(0
n
) = cl
_
gS{0
n
}
_
Ccl Eh(0
n
),
h
C
(g)=h(g)
{arg max
vC
v, x}. (17)
In particular, (17) always holds for positively homogeneous functions with nite exhausters and for polyhedral
functions (see [10]).
Remark 4. Note that the condition (16) depends not only on the function, but also on the exhauster. Since exhausters
are not uniquely dened, it may happen that this condition holds for one exhauster and does not hold for another one
(of the same function). In the case when the condition (16) is not satised, an inclusion
h(0
n
) cl
_
gS{0
n
}
_
Ccl Eh(0
n
),
h
C
(g)=h(g)
{arg max
vC
v, x}
holds for p.h. Lipschitz functions (see [10]).
The calculus rules for the basic subdifferentials of positively homogeneous functions can be stated in a similar way
to the calculus of the Fr echet subdifferentials. We only have to ensure that the condition (16) is satised. Also note
that since for locally Lipschitz functions the Clarke subdifferential is a convex hull of the basic subdifferential, all the
calculus rules which hold for the basic subdifferential can be applied to the Clarke subdifferentials.
6. Examples
The next example demonstrates the advantages of the calculus rules provided in Section 3.
Example 1. Consider f
1
(x) = x and f
2
(x) = x, x R
n
. We shall show that our calculus rules via exhausters
provide exact results for the Fr echet and the basic subdifferentials. First of all, by Theorems 10 and 11 we have
E f
1
(0
n
) = {B}, E f
2
(0
n
) = {{v} | v S}.
Now by Theorem 2 we can calculate an exhauster of f :
E f (0
n
) = E f
1
(0
n
) + E f
2
(0
n
) = {{v} +B | v S}.
It is not difcult to observe that
_
CE f (0
n
)
C = {0
n
}
which equals the Fr echet subdifferential.
Note that the condition (16) is satised for both E f
1
(x
0
) and E f
2
(x
0
). Hence we may use (17) to calculate the
basic subdifferential, which gives us the same set {0
n
}.
The next example demonstrates how to calculate the Fr echet subdifferential of f . Note that in this example the
Fr echet subdifferential of the initial function is empty.
Example 2. Consider the function f : R
2
R, f (x
1
, x
2
) = max{|x
1
|, |x
2
|}. We rst obtain the exhauster of f
at 0
2
and show that the Fr echet subdifferential of f at 0
2
is empty. Then we calculate an exhauster and the Fr echet
subdifferential of f at 0
2
.
Dene f
1
(x
1
, x
2
) = |x
1
|, f
2
(x
1
, x
2
) = |x
2
|. Note that
E f
1
(0
2
) =
___
1
0
__
,
__
1
0
___
, E f
2
(0
2
) =
___
0
1
__
,
__
0
1
___
.
1122 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124
Fig. 1. Example 2.
Then by Theorem 8 we have
E f (0
2
) = {C
1
, C
2
, C
3
, C
4
},
where (see Fig. 1(a))
C
1
= co
__
1
0
_
,
_
0
1
__
, C
2
= co
__
1
0
_
,
_
0
1
__
,
C
3
= co
__
1
0
_
,
_
0
1
__
, C
4
= co
__
1
0
_
,
_
0
1
__
.
It is not difcult to observe that the Fr echet subdifferential of f at 0
2
is empty. Indeed,

f (0
2
) =
4
_
i =1
C
i
= .
We use Theorem 4 to nd an exhauster of f . It is not difcult to observe that

C(g) =
_

C
0
, |g
1
| = |g
2
|,

C
1
, g
1
> |g
2
|,

C
2
, g
2
> |g
1
|,

C
3
, g
1
< |g
2
|,

C
4
, g
2
< |g
1
|,
where (see Fig. 1(b))

C
0
= co
__
1
0
_
,
_
0
1
_
,
_
1
0
_
,
_
0
1
__
,

C
1
= co
__
1
0
_
,
_
0
1
_
,
_
0
1
__
,

C
2
= co
__
1
0
_
,
_
0
1
_
,
_
1
0
__
,

C
3
= co
__
0
1
_
,
_
1
0
_
,
_
0
1
__
,

C
4
= co
__
1
0
_
,
_
1
0
_
,
_
0
1
__
.
By Theorem 4 we know that E(f )(0
n
) = {

C
i
, i 0 : 4} is an exhauster of f at 0
n
. Now by Theorem 1 we nd
the Fr echet subdifferential of f as the intersection of the sets in the exhauster. We have

(f (0
n
)) =
4
_
i =0

C
i
= {0
n
}.
The following example serves to illustrate the sum rule for calculation of the Fr echet and the basic subdifferentials
of complicated polyhedral functions. We do not provide the calculations since they are straightforward, but require
lots of writing and are direct applications of the calculus of exhausters. We only outline some basic moves and provide
plots in Fig. 2.
V. Roshchina / Nonlinear Analysis 69 (2008) 11121124 1123
Fig. 2. Example 3.
Example 3. Let f
1
(x
1
, x
2
) = 2|x
1
| + 3 max{|x
1
|, |x
2
|}, f
2
(x
1
, x
2
) = min{|x
1
|, 2|x
2
|}. Exhausters of f
1
and f
2
at
0
2
are
E f
1
(0
2
) = {C
1
, C
2
}, E f
2
(0
2
) = {C
3
, C
4
},
where (see Fig. 2(a), (b))
C
1
= co
__
5
0
_
,
_
2
3
_
,
_
1
0
_
,
_
2
3
__
,
C
2
= co
__
1
0
_
,
_
2
3
_
,
_
5
0
_
,
_
2
3
__
,
C
3
= co
__
1
0
_
,
_
1
0
__
, C
4
= co
__
0
2
_
,
_
0
2
__
.
Let f = f
1
+ f
2
. By Theorem 2 the family of sets
E f (0
2
) = {C
1
+C
3
, C
2
+C
3
, C
1
+C
4
, C
2
+C
4
}
is an exhauster of f at 0
2
(see Fig. 2(c)). Now we are able to compute the Fr echet and basic subdifferentials of
f via (2) and (17) respectively. The graphical representations of the resulting sets are provided in bold black in
Fig. 2(d)(e).
For more examples we refer the reader to [2,3] and [10].
7. Summary
We have provided some calculus rules for the Fr echet subdifferentials via exhausters and have given some ideas on
constructing calculus rules for the basic and Clarke subdifferentials in some special cases.
This study gives only theoretical results on how the Fr echet subdifferentials can be constructed via exhausters and
the related calculus. We assumed that the exhausters are known and we are able to perform the operations introduced
in Section 3. However, the numerical algorithms for constructing good approximations to exhausters are of great
interest and to the best of our knowledge nothing has been done in this direction so far.
There is a problem of growing up in the calculus of exhausters, that is, after performing the operations dened in
Section 3, the amounts of sets in an exhauster as well as the sizes of the sets themselves increase, while at the same
time the resulting functions may have a much smaller exhauster. This problem was addressed in [11], where some
rules for reducing the amounts and sizes of sets in exhausters were proposed.
1124 V. Roshchina / Nonlinear Analysis 69 (2008) 11121124
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