Groupe d’études et de recherche en analyse des décisions


On Using Estimates of Lipschitz Constants in Global Optimization

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Several authors have proposed to estimate Lipschitz constants in global optimization by a multiple of the largest slope (in absolute value) between successive evaluation points. A class of univariate functions is exhibited for which the global optimum will be missed when using such a procedure, even if the multiple is arbitrarily large.

, 9 pages