Search results for "Linear Complementarity"
showing 6 items of 16 documents
The symmetric boundary element method for unilateral contact problems
2008
Abstract On the basis of the boundary integral equation method, in its symmetric formulation, the frictionless unilateral contact between two elastic bodies has been studied. A boundary discretization by boundary elements leads to an algebraic formulation in the form of a linear complementarity problem. In this paper the process of contact or detachment is obtained through a step by step analysis by using generalized (weighted) quantities as the check elements: the detachment or the contact phenomenon may happen when the weighted traction or the weighted displacement is greater than the weighted cohesion or weighted minimum reference gap, respectively. The applications are performed by usin…
An iterative method for pricing American options under jump-diffusion models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou@?s and Merton@?s jump-diffusion models show that the resulting iteration converges rapidly.
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.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
Elastic plastic analysis iterative solution
1998
The step-by-step analysis of finite element elastic plastic structures subjected to an assigned (quasi-static) loading history, is considered; it identifies with the well-known sequence of linear complementarity problems. An iterative technique devoted to solve the relevant linear complementarity problem is presented. It is based on the recursive solution of a suitable linear complementarity problem, deduced from the relevant one and easier than it. The procedure convergency is proved. Some noticing particular cases are examined. The physical meaning of the procedure is shown to be a plastic relaxation. The suitable numerical ranges for some check parameter values, to be utilized in the app…
Active macro-zone approach for incremental elastoplastic-contact analysis
2013
SUMMARY The symmetric boundary element method, based on the Galerkin hypotheses, has found an application in the nonlinear analysis of plasticity and in contact-detachment problems, but both dealt with separately. In this paper, we want to treat these complex phenomena together as a linear complementarity problem. A mixed variable multidomain approach is utilized in which the substructures are distinguished into macroelements, where elastic behavior is assumed, and bem-elements, where it is possible that plastic strains may occur. Elasticity equations are written for all the substructures, and regularity conditions in weighted (weak) form on the boundary sides and in the nodes (strong) betw…