Take the 2-minute tour ×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

I have a function $f:\mathbb{R}^{50} \rightarrow \mathbb{R}$ and I need to compute the Lipschitz constant of $f$ to solve an optimization problem using a specific algorithm. Does any one have suggestions on how to estimate such Lipschitz constants?

Suggestions are greatly appreciated. Thanks!

share|improve this question

1 Answer 1

Rather than compute "the" Lipschitz constant, it is much easier to do a backtracking line search that roughly upper-bounds the Lipschitz constant.

To get some ideas, on how one might do a simple line-search, search google for "line search", "backtracking line search" and the ilk, and you'll find several useful ideas.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.