Author: Cornelis W. Oosterlee

0000000001194604

AUTHOR

Cornelis W. Oosterlee

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A Projected Algebraic Multigrid Method for Linear Complementarity Problems

2011

We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical AMG algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.

Mathematical optimizationPartial differential equationIterative methodMathematicsofComputing_NUMERICALANALYSISComputer Science::Numerical AnalysisLinear complementarity problemMathematics::Numerical AnalysisFinancial engineeringMultigrid methodObstacleComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATIONObstacle problemComputer Science::Mathematical SoftwareApplied mathematicsAlgebraic numberMathematicsSSRN Electronic Journal

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