e continue research of the previous section
of backward induction and penalty term approaches I. Implementation and
We start from a function
and aim to
For an initial
form the set
where the normalization parameter
is derived from the
We calculate the components.
We apply the operation
row of the matrix
transposed into a column.
The procedure is adapted to parallel architecture because one can subtract
several functions with non-overlapping support. Most intensive pieces of
calculation may be pre-calculated.
An adaptive extension of the procedure would involve selecting
from two different classes. Indeed,
should be adapted to subtract biggest piece from the solution. The functions
should be designed not to allow a change of sign.