Abstract
A number of global optimisation algorithms rely on the value of the Lipschitz constant of the objective function. In this paper we present a stochastic method for estimating the Lipschitz constant. We show that the largest slope in a fixed size sample of slopes has an approximate Reverse Weibull distribution. Such a distribution is fitted to the largest slopes and the location parameter used as an estimator of the Lipschitz constant. Numerical results are presented.
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Wood, G.R., Zhang, B.P. Estimation of the Lipschitz constant of a function. J Glob Optim 8, 91–103 (1996). https://doi.org/10.1007/BF00229304
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DOI: https://doi.org/10.1007/BF00229304