e continue research of the previous section
(
Mix
of backward induction and penalty term approaches I. Implementation and
results
).
We start from a function
and aim to
construct
For an initial
,
form the set
s.t.
Calculate
Find
Set
where the normalization parameter
is derived from the
requirements
Thus
We calculate the components.
Let
then
We apply the operation
to
and
obtain
Let
then
where
is
th
row of the matrix
,
transposed into a column.
The procedure is adapted to parallel architecture because one can subtract
several functions with nonoverlapping support. Most intensive pieces of
calculation may be precalculated.
An adaptive extension of the procedure would involve selecting
and
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.
