This paper is devoted to the study of partition-based deterministic algorithms for global optimization of Lipschitz-continuous functions without requiring knowledge of the Lipschitz constant. First we introduce a general scheme of a partition-based algorithm. Then, we focus on the selection strategy in such a way to exploit the information on the objective function. We propose two strategies. T...

We introduce a typed lambda calculus in which real numbers, real functions, and in particular continuously differentiable and more generally Lipschitz functions can be defined. Given an expression representing a real-valued function of a real variable in this calculus, we are able to evaluate the expression on an argument but also evaluate the generalised derivative, i.e., the L-derivative, equ...

Giles (Multilevel Monte Carlo path simulation Operations Research, 2008; 56: 607–617) introduced a multi-level Monte Carlo method for approximating the expected value of a function of a stochastic differential equation solution. A key application is to compute the expected payoff of a financial option. This new method improves on the computational complexity of standard Monte Carlo. Giles analy...

We give, in a non-smooth setting, some conditions under which (some of) the minimizers of ∫ Ω f (∇u(x)) dx + g(x,u(x)) dx among the functions in W1,1(Ω) that lie between two Lipschitz functions are Lipschitz. We weaken the usual strict convexity assumption in showing that, if just the faces of the epigraph of a convex function f :Rn → R are bounded and the boundary datum u0 satisfies a generali...

Optimal control problems with convex costs, for which Hamiltonians have Lipschitz continuous gradients, are considered. Examples of such problems, including extensions of the linear-quadratic regulator with hard and possibly state-dependent control constraints, and piecewise linear-quadratic penalties are given. Lipschitz continuous differentiability and strong convexity of the terminal cost ar...

Let T be the unit circle with an irrational rotation T : x 7→ x+α mod 1, F a real or circle valued cocycle (i.e. we consider cylinder flows and Anzai skew products). A0 and L0 are the Banach spaces of zero mean absolutely continuous, respectively Lipschitz (real or T-valued) cocycles. Two cocycles on T are said to be cohomologous if they differ in a coboundary, i.e. a function G − G ◦ T where G...

In binary classification and regression problems, it is well understood that Lipschitz continuity and smoothness of the loss function play key roles in governing generalization error bounds for empirical risk minimization algorithms. In this paper, we show how these two properties affect generalization error bounds in the learning to rank problem. The learning to rank problem involves vector va...

We show that the Scott topology induces a topology for real-valued Lipschitz maps on Banach spaces which we call the L-topology. It is the weakest topology with respect to which the L-derivative operator, as a second order functional which maps the space of Lipschitz functions into the function space of non-empty weak* compact and convex valued maps equipped with the Scott topology, is continuo...

The goal of the paper is to design sequential strategies which lead to efficient optimization of an unknown function under the only assumption that it has a finite Lipschitz constant. We first identify sufficient conditions for the consistency of generic sequential algorithms and formulate the expected minimax rate for their performance. We introduce and analyze a first algorithm called LIPO wh...