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Consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=\mathrm{e}^{x}\cos y$ then $\nabla (f)$ is nothing but $\mathrm{e}^{-z} :\mathbb{C} \rightarrow \mathbb{C}$, with image neither convex nor simply connected. This gives a negative answer to the second and the third part of your question.

Regarding the first part I do not know the complete answer. But I can say only the following: for every $V\in \mathbb{R}^{n}$, $\nabla f[U]\cdot V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem; hence they send open connected sets to connected subset of $\mathbb{R}$. Moreover, as a consequence of chain rule $\nabla f[U]\cdot V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$, such that $A\cdot V$ is connected for all $V$, does this implies that $A$ is connected?

Consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=\mathrm{e}^{x}\cos y$ then $\nabla (f)$ is nothing but $\mathrm{e}^{\bar{z}} :\mathbb{C} \rightarrow \mathbb{C}$, with image neither convex nor simply connected. This gives a negative answer to the second and the third part of your question.

Regarding the first part I do not know the complete answer. But I can say only the following: for every $V\in \mathbb{R}^{n}$, $\nabla f[U]\cdot V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem; hence they send open connected sets to connected subset of $\mathbb{R}$. Moreover, as a consequence of chain rule $\nabla f[U]\cdot V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$, such that $A\cdot V$ is connected for all $V$, does this implies that $A$ is connected?

Consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=\mathrm{e}^{x}\cos y$ then $\nabla (f)$ is nothing but $\mathrm{e}^{-z} :\mathbb{C} \rightarrow \mathbb{C}$, with image neither convex nor simply connected. This gives a negative answer to the second and the third part of your question.

Regarding the first part I do not know the complete answer. But I can say only the following: for every $V\subset\mathbb{R}^{n}$, $\nabla f[U]\cdot V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem; hence they send open connected sets to connected subset of $\mathbb{R}$. Moreover, as a consequence of chain rule $\nabla f[U]\cdot V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$, such that $A\cdot V$ is connected for all $V$, does this implies that $A$ is connected?

Consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=\mathrm{e}^{x}\cos y$ then $\nabla (f)$ is nothing but $\mathrm{e}^{-z} :\mathbb{C} \rightarrow \mathbb{C}$, with image neither convex nor simply connected. This gives a negative answer to the second and the third part of your question.

Regarding the first part I do not know the complete answer. But I can say only the following: for every $V\in \mathbb{R}^{n}$, $\nabla f[U]\cdot V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem; hence they send open connected sets to connected subset of $\mathbb{R}$. Moreover, as a consequence of chain rule $\nabla f[U]\cdot V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$, such that $A\cdot V$ is connected for all $V$, does this implies that $A$ is connected?

consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=e^{x}siny$ then $\nabla (f)$ is $e^{z} :\mathbb{C} \rightarrow \mathbb{C}$ which image is not convex , not simply connected. So a negative answer to the second and third part of your question. regarding the first part I do not know the complet answer. But I can say only the following:

for every $V\in \mathbb{R}^{n}$, $\nabla f[U].V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem, namely they send open connected sets to connected subset of $\mathbb{R}$. Morover as a consequence of chain rulle $\nabla f.V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$ such that $A.V$ is connected for all $V$, does this implies that $A$ is connected?

Consider $f:\mathbb{R}^{2} \rightarrow \mathbb{R}$ with $f(x,y)=\mathrm{e}^{x}\cos y$ then $\nabla (f)$ is nothing but $\mathrm{e}^{-z} :\mathbb{C} \rightarrow \mathbb{C}$, with image neither convex nor simply connected. This gives a negative answer to the second and the third part of your question.

Regarding the first part I do not know the complete answer. But I can say only the following: for every $V\subset\mathbb{R}^{n}$, $\nabla f[U]\cdot V$ is a connected subset of $\mathbb{R}$, because the partial derivatives satisfies Darboux theorem; hence they send open connected sets to connected subset of $\mathbb{R}$. Moreover, as a consequence of chain rule $\nabla f[U]\cdot V$ is a partial derivative. In fact there is no a hyper plane which separates $\nabla f[U]$.

So it is interesting to consider the following question:

Let $A$ be a subset of $R^{n}$, such that $A\cdot V$ is connected for all $V$, does this implies that $A$ is connected?