Augmented Lagrangian active set methods for obstacle problems
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- Adaptive Multilevel Methods for Obstacle Problems
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Cited in
(55)- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
- Denoising of smooth images using \(L^{1}\)-fitting
- Models and numerical methods for equilibrium problems with heterogeneous agents involving two productive sectors
- Finite algorithms for the numerical solutions of a class of nonlinear complementarity problems
- Solution method for discrete double obstacle problems based on a power penalty approach
- An adaptive wavelet collocation method for solving optimal control of elliptic variational inequalities of the obstacle type
- The primal-dual active set method for a class of nonlinear problems with T-monotone operators
- An efficient primal-dual method for the obstacle problem
- Augmented Lagrangian active set methods for obstacle problems
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
- A damped semismooth Newton iterative method for solving mixed linear complementarity problems
- An Augmented Lagrangian‐Based Approach to the Oseen Problem
- Analysis of a new kind of elastic-rigid bilateral obstacle problem
- Jump-diffusion productivity models in equilibrium problems with heterogeneous agents
- Equivalent Formulations of the Oxygen Depletion Problem, Other Implicit Moving Boundary Value Problems, and Implications for Numerical Approximation
- A meshless method for solving the free boundary problem associated with unilateral obstacle
- A numerical study of a degenerate diffusion equation driven by a Heaviside function
- Nonlinearly preconditioned semismooth Newton algorithms for nonlinear nonsmooth systems
- Hybridization and stabilization for \textit{hp}-finite element methods
- Parallel primal-dual active-set algorithm with nonlinear and linear preconditioners
- Numerical analysis for a new kind of obstacle problem
- Non-smooth SOR for \(L ^{1}\)-fitting: convergence study and discussion of related issues
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models
- A new numerical method for pricing fixed-rate mortgages with prepayment and default options
- Massively parallel simulation of enhanced oil recovery with polymer flooding via the augmented Lagrangian active set algorithm
- Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
- Pricing American real options with double continuation region under Heston model
- Comparison of internal clustering validation indices for prototype-based clustering
- A damped semismooth Newton method for the Brugnano-Casulli piecewise linear system
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Least-squares finite elements for distributed optimal control problems
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems
- Uzawa block relaxation method for free boundary problem with unilateral obstacle
- A modified combined active-set Newton method for solving phase-field fracture into the monolithic limit
- A finite element method for elliptic Dirichlet boundary control problems
- A deep neural network-based method for solving obstacle problems
- First-order least-squares method for the obstacle problem
- Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- An algorithm for solving the double obstacle problems
- An augmented Lagrangian method exploiting an active-set strategy and second-order information
- Quadratic convergence of monotone iterates for semilinear elliptic obstacle problems
- Numerical solution of obstacle problem by using the mesh-free radial point interpolation method
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
- Error identities for variational problems with obstacles
- Augmented Lagrangian method applied to American option pricing
- On the Characterization of Generalized Derivatives for the Solution Operator of the Bilateral Obstacle Problem
- An iterative algorithm based on the piecewise linear system for solving bilateral obstacle problems
- A fuzzy system based active set algorithm for the numerical solution of the optimal control problem governed by partial differential equation
- A C^0 interior penalty method for elliptic distributed optimal control problems in three dimensions with pointwise state constraints
- Adaptive space-time domain decomposition for multiphase flow in porous media with bound constraints
- A Stabilized Sequential Quadratic Programming Method for Optimization Problems in Function Spaces
- Pricing pension plans under jump-diffusion models for the salary
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