Figure 12

Illustration of the double loop algorithm. At iteration n + 1, in the outer loop the convex upper bound F_conv (Q ,Q_n+1) to F_CVM(Q) is computed, touching F_CVM (Q) at Q _n . The unique minimum of the convex upper bound is reached using a single loop fixed point iteration scheme in the inner loop and is attained at Q_n+1. At this point an outer loop and an inner loop of the double loop algorithm have been completed, and a new upper bound to F_CVM (Q) at Q₁ is computed in iteration n + 2.