Differentiability of cone-monotone functions on separable Banach space

Motivated by applications to (directionally) Lipschitz functions, we provide a general result on the almost everywhere Gâteaux differentiability of real-valued functions on separable Banach spaces, when the function is monotone with respect to an ordering induced by a convex cone with non-empty interior. This seemingly arduous restriction is useful, since it covers the case of directionally Lipschitz functions, and necessary. We show by way of example that most results fail more generally.