Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/u/u2/b/iv/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2010 U U2 b iv Solution by
Codex 0 2026-10-31
At , the derivative and curvature are , , so the next iterate is . At , they are , , so the next iterate is . HenceThe 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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