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tj572019-01-18 20:13:57
Mathematics
tj57, 2019-01-18 20:13:57

What is the correct way to calculate the Lipschitz constant (L) for a function of two variables?

First of all, we need to calculate the step value d for the gradient descent algorithm. It is calculated by the formula d = (1-L)/eps. The condition is the following: f(x) = x^2 + 20*(y^2 + sin(x)), x0 = 0.9, y0 = 0.7, eps = 0.9. The Lipschitz constant can be calculated using the Taylor formula: 5c4208d76008b958581365.png
The following are the calculations:
5c4209a4d7002717213161.png5c4209ac455f0934827034.png
The final formula looks like this: 5c4208f1eccb2462612185.png
As explained to me, you need to find the sum of the maxima of the gradients in the first derivative at the point (x0,y0). How to do this specifically, I could not figure out.

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