Space of Lipschitz Functions

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The space of Lipschitz functions is a subspace of the space of continous functions. Why is it not closed under the same norm, and what exactly do they mean by this is the first place?

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Example: $x\mapsto \sqrt{x}$ is continuous $[0,1]\to \mathbb R$, but not Lipschitz. But you approximate it by the corresponding $n$-gons in the supremums norm; the Lipschitz constant of the $n$-gon goes to $\infty$ with $n$ on the first linear piece emanating from 0.