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I have calculated the Gradient and Hessian of log-sum-exp as mentioned in the accepted answer here. I would like to find Lipschitz constant L, in $|F(x)-F(x^{'})| \leq L ||x-x'||_2$. I have been at this problem for 2 days but unable to find a solution. What am I missing?

user529295
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  • You need an estimate for the largest eigenvalue of the Hessian. I think that the second (negative) term can be neglected. – gerw Oct 02 '20 at 11:53
  • But how do we find eigenvalues of the first term? Also, I found out that, to get the Lipschitz constant of the above inequality, one can use the Gradient of the function. Is this true? If so, how? – user529295 Oct 04 '20 at 09:39

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