What is the Jacobian matrix?

The Jacobian $df_p$ of a differentiable function $f : \mathbb{R}^n \to \mathbb{R}^m$ at a point $p$ is its best linear approximation at $p$, in the sense that $f(p + h) = f(p) + df_p(h) + o(|h|)$ for small $h$. This is the "correct" generalization of the derivative of a function $f : \mathbb{R} \to \mathbb{R}$, and everything we can do with derivatives we can also do with Jacobians.

In particular, when $n = m$, the determinant of the Jacobian at a point $p$ is the factor by which $f$ locally dilates volumes around $p$ (since $f$ acts locally like the linear transformation $df_p$, which dilates volumes by $\det df_p$). This is the reason that the Jacobian appears in the change of variables formula for multivariate integrals, which is perhaps the basic reason to care about the Jacobian. For example this is how one changes an integral in rectangular coordinates to cylindrical or spherical coordinates.

The Jacobian specializes to the most important constructions in multivariable calculus. It immediately specializes to the gradient, for example. When $n = m$ its trace is the divergence. And a more complicated construction gives the curl. The rank of the Jacobian is also an important local invariant of $f$; it roughly measures how "degenerate" or "singular" $f$ is at $p$. This is the reason the Jacobian appears in the statement of the implicit function theorem, which is a fundamental result with applications everywhere.


Here is an example. Suppose you have two implicit differentiable functions

$$F(x,y,z,u,v)=0,\qquad G(x,y,z,u,v)=0$$

and the functions, also differentiable, $u=f(x,y,z)$ and $v=g(x,y,z)$ such that

$$F(x,y,z,f(x,y,z),g(x,y,z))=0,\qquad G(x,y,z,f(x,y,z),g(x,y,z))=0.$$

If you differentiate $F$ and $G$, you get

\begin{eqnarray*} \frac{\partial F}{\partial x}+\frac{\partial F}{\partial u}\frac{\partial u}{ \partial x}+\frac{\partial F}{\partial v}\frac{\partial v}{\partial x} &=&0\qquad \\ \frac{\partial G}{\partial x}+\frac{\partial G}{\partial u}\frac{\partial u}{ \partial x}+\frac{\partial G}{\partial v}\frac{\partial v}{\partial x} &=&0. \end{eqnarray*}

Solving this system you obtain

$$\frac{\partial u}{\partial x}=-\frac{\det \begin{pmatrix} \frac{\partial F}{\partial x} & \frac{\partial F}{\partial v} \\ \frac{\partial G}{\partial x} & \frac{\partial G}{\partial v} \end{pmatrix}}{\det \begin{pmatrix} \frac{\partial F}{\partial u} & \frac{\partial F}{\partial v} \\ \frac{\partial G}{\partial u} & \frac{\partial G}{\partial v} \end{pmatrix}}$$

and similar for $\dfrac{\partial u}{\partial y}$, $\dfrac{\partial u}{\partial z}$, $\dfrac{\partial v}{\partial x}$, $\dfrac{\partial v}{\partial y}$, $% \dfrac{\partial v}{\partial z}$. The compact notation for the denominator is

$$\frac{\partial (F,G)}{\partial (u,v)}=\det \begin{pmatrix} \frac{\partial F}{\partial u} & \frac{\partial F}{\partial v} \\ \frac{\partial G}{\partial u} & \frac{\partial G}{\partial v} \end{pmatrix}$$

and similar for the numerator. Then

$$\dfrac{\partial u}{\partial x}=-\dfrac{\dfrac{\partial (F,G)}{\partial (x,v)}}{% \dfrac{\partial (F,G)}{\partial (u,v)}}$$

where $\dfrac{\partial (F,G)}{\partial (x,y)},\dfrac{\partial (F,G)}{\partial (u,v)}$ are Jacobians (after the 19th century German mathematician Carl Jacobi).


The absolute value of the Jacobian of a coordinate system transformation is also used to convert a multiple integral from one system into another. In $\mathbb{R}^2$ it measures how much the unit area is distorted by the given transformation, and in $\mathbb{R}^3$ this factor measures the unit volume distortion, etc.


Another example: the following coordinate transformation (due to Beukers, Calabi and Kolk)

$$x=\frac{\sin u}{\cos v}$$

$$y=\frac{\sin v}{\cos u}$$

transforms (see this question of mine) the square domain $0\lt x\lt 1$ and $0\lt y\lt 1$ into the triangle domain $u,v>0,u+v<\pi /2$ (in Proofs from the BOOK by M. Aigner and G. Ziegler).

For this transformation you get (see Proof 2 in this collection of proofs by Robin Chapman)

$$\dfrac{\partial (x,y)}{\partial (u,v)}=1-x^2y^{2}.$$


Jacobian sign and orientation of closed curves. Assume you have two small closed curves, one around $(x_0,y_0)$ and another around $u_0,v_0$, this one being the image of the first under the mapping $u=f(x,y),v=g(x,y)$. If the sign of $\dfrac{\partial (x,y)}{\partial (u,v)}$ is positive, then both curves will be travelled in the same sense. If the sign is negative, they will have opposite senses. (See Oriented Regions and their Orientation.)


In single variable calculus, if $f:\mathbb R \to \mathbb R$, then \begin{equation} f'(x) = \lim_{\Delta x \to 0} \frac{f(x + \Delta x) - f(x)}{\Delta x}. \end{equation} A very useful way to think about $f'(x)$ is this: \begin{equation} \tag{$\spadesuit$} f(x + \Delta x) \approx f(x) + f'(x) \Delta x. \end{equation}

One of the advantages of equation $(\spadesuit)$ is that it still makes perfect sense in the case where $f:\mathbb R^n \to \mathbb R^m$:

\begin{equation} f(\underbrace{x}_{n \times 1} + \underbrace{\Delta x}_{n\times 1}) \approx \underbrace{f(x)}_{m \times 1} + \underbrace{f'(x)}_{?} \underbrace{\Delta x}_{n \times 1}. \end{equation} You see, if $f'(x)$ is now an $m \times n$ matrix, then this equation makes perfect sense. So, with this idea, we can extend the idea of the derivative to the case where $f:\mathbb R^n \to \mathbb R^m$. This is the first step towards developing calculus in a multivariable setting. The matrix $f'(x)$ is called the "Jacobian" of $f$ at $x$, but maybe it's more clear to simply call $f'(x)$ the derivative of $f$ at $x$.

The matrix $f'(x)$ allows us to approximate $f$ locally by a linear function (or, technically, an "affine" function). Linear functions are simple enough that we can understand them well (using linear algebra), and often understanding the local linear approximation to $f$ at $x$ allows us to draw conclusions about $f$ itself.