 Solution

For differentiable maps $F$ at $x$ and $G$ at $F(x)$, the chain rule assertsWrite $F(x+h)=F(x)+Ah+r(h)$ with $\Vert r(h)\Vert =o(\Vert h\Vert )$, and $G(F(x)+u)=G(F(x))+Bu+s(u)$ with $\Vert s(u)\Vert =o(\Vert u\Vert )$. Since $u=Ah+r(h)=O(\Vert h\Vert )$, substitution givesBoth remaining terms are $o(\Vert h\Vert )$, proving differentiability and the stated chain rule. The estimate for $s$ also holds when its argument is zero, by setting $s(0)=0$.

For the circle constraint take $H(u)=u_1^2+u_2^2$. The composite $H\circ F$ is constant, so the chain rule givesSince $\Vert F(x)\Vert =1$, this is a nonzero row vector annihilating $D{F}_x$. Thus $D{F}_x$ cannot be invertible: $\det D{F}_x=0$ at every $x$. Geometrically, the derivative of a map into a level set takes values in the tangent space to the circle.