Amidst the growing interest in actual scientific activity, the process of discovery became a legitimate, sometimes even central topic in philosophies of science. It can be studied from psychological, historical, sociological and philosophical points of view, as well. Instead of emphasising its irrational or unconscious aspect, some philosophers tried to grasp it in rational terms. Among them, Pólya and Lakatos studied the classic problems of the,"art of discovery," and elaborated their views with respect to the more general problems of knowledge and understanding. In this paper, I compare their approaches to mathematical heuristic.