A penalty approach to a discretized double obstacle problem with derivative constraints

DOI10.1007/S10898-014-0262-3zbMath1354.90143OpenAlexW2066207284MaRDI QIDQ496614

Songgui Wang

Publication date: 22 September 2015

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/43515

zbMATH Keywords

convergence ratesvariational inequalitiespenalty methoddouble obstacle problemglobal optimizerbounded linear constraintsmixed nonlinear complementarity problem

Mathematics Subject Classification ID

Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Related Items (8)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering ⋮ Numerical solution of an obstacle problem with interval coefficients ⋮ A numerical scheme for pricing American options with transaction costs under a jump diffusion process ⋮ An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints ⋮ An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem ⋮ A power penalty approach to a mixed quasilinear elliptic complementarity problem ⋮ A power penalty approach to a discretized obstacle problem with nonlinear constraints

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