Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/u/u2/b/iv/solution

At , the derivative and curvature are , , so the next iterate is . At , they are , , so the next iterate is . Hence
The undamped algorithm does not converge to a minimum; it has an exact two-cycle. The implementation in (iii) detects this after returning to one and reports failure. This example illustrates why the local convergence result in (ii) does not justify global success.

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