Chain rules for nonsmooth functions

The author presents a method for deriving chain rules for compositions \(F\circ f\), where \(F: \mathbb{R}^ n\to\bar \mathbb{R}\) is nondecreasing with respect to the coordinatewise ordering, and \(f=(f_ 1,\dots f_ n)\) with \(f_ i:E\to\bar \mathbb{R}\cup\{ +\infty \}\) and \(E\) a real locally convex Hausdorff topological vector space. By definition, a tangent cone is a mapping \(A: 2^ E \times E\to 2^ E\) such that \(A(C,x)\) is a cone and \(0^ + C\subset 0^ + A(C,x)\) for each nonempty \(C\subset E\) and \(x\in C\); here \(0^ +M\) denotes the recession cone of the set \(M\). If \(A\) is a tangent cone, the \(A\) directional derivative of \(g:E\to \bar \mathbb{R}\) at \(x\) with respect to \(y\) is defined to be \(g^ A (x;y): =\inf \{ r\mid (y,r)\in A(\text{epi }g,(x,g(x)))\}\). Under certain assumptions, the author establishes an inequality for \((F\circ f)^ A(x;y)\). This result is shown to be the basis for specific (and known) chain rules both for directional derivatives and for subdifferentials of nonsmooth functions.

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