Derivative of $\|X-\alpha Y\|_2$ with respect to $\alpha$. Let $X$ and $Y$ be operators on a real or complex Hilbert space $\mathcal{H}$ and $f(\alpha) = \|X - \alpha Y\|_2$ where $\alpha$ is real and $\|A\|_2 = \sigma_{\mathsf{max}}(A)$ is the $\ell^2$-induced operator norm. What is $\frac{df}{d\alpha}$?
Even if the function is not differentiable everywhere, $f$ is convex in which case a sub-gradient will suffice.
Also, if it helps we can assume $X=I$ and $Y$ is positive definite but I'd rather see a more general result. Also considering $f^2$ instead of $f$ is also fine if that helps.
Plots of $f$: I ran two simple numerical examples which might be enlightening. In the following plot 1, $X = I\in M_{50}(\mathbb{R})$ and $Y = Z^\mathsf{T}Z + I$ where $Z_{ij}\sim\mathcal{N}(0,1)$ is normally distributed. As we can see, the plot seems piecewise linear.

In the next plot 2, we take $X_{ij}\sim\mathcal{N}(0,1) - I \in M_{50}(\mathbb{R})$ and $Y_{ij}\sim\mathcal{N}(0,1)$. Note that neither $X$ nor $Y$ are symmetric. This example looks differentiable and practically quadratic.
 A: There's at least a subset of cases here where we can do this. Note that for any norm $\|\cdot\|$,
$$\|W\| = \sup_{\|Z\|_* \leq 1} \langle W, Z \rangle$$
where $\|\cdot\|_*$ is the dual norm. For the case of the matrix spectral norm, the dual norm is the nuclear norm (the sum of the singular values). Any maximizing value of $Z$ above is a subgradient of the norm at that point. That is, let $Z^*$ be any point satisfying
$$\|Z\|_* = 1, \quad \langle W, Z \rangle = \|W\|.$$
 then
$$\|W + \delta W\| \geq \langle W + \delta W, Z^* \rangle = \langle W, Z^* \rangle + \langle \delta W, Z^* \rangle = \|W\| + \langle Z^*, \delta W \rangle$$
so $Z^* \in \partial \|W\|$. For the matrix spectral norm, valid values of $Z^*$ are readily obtained: if $W=U\Sigma V = \sum_i \sigma_i u_i v_i^H$ is the SVD of $W$, then
$$\partial \|W\|_2 = \mathop{\textrm{Conv}}\{u_iv_i^H\,|\,\sigma_i=1\}.$$
Now in the case where $W=X-\alpha Y$ and $\delta W=-\alpha Y$, then, we have
$$\|X-(\alpha+\delta \alpha)Y\| \geq \|X-\alpha Y\| + \langle Z^*, -\delta \alpha Y\rangle = \|X-\alpha Y\| - \delta\alpha \langle Z^*, Y \rangle$$
So $-\langle Z^*, Y \rangle \in \partial f(\alpha)$. For the matrix spectral norm, the subgradient can be obtained using the above SVD approach on $X-\alpha Y$ to obtain values of $Z^*$. So we have
$$\partial f(\alpha) \subseteq \mathop{\textrm{Conv}}\{-\Re{v_i^TZu_i}\,|\,Z\in\partial \|X-\alpha Y\|_2\}.$$
