A Proof of the Convergence a Lipschitz Upper Confidence Bound

Abstract

This document presents a proof of the estimation of a lipschitz parameter by constructing a consistent lower confidence bound through hypothesis test inversion. We prove that as the number of design points grows to infinity, the test correctly identifies any underestimated Lipschitz constant with asymptotic probability 1. The convergence proofs rely on a Uniform Law of Large Numbers and analyze discrepancy metrics under both bounded and unbounded replication sampling.