Improving projected successive overrelaxation method for linear complementarity problems

DOI10.1016/S0168-9274(02)00233-7MaRDI QIDQ1873163zbMATH OpenOpenAlexFDO

Authors M. D. Koulisianis, Theodore S. Papatheodorou

Publication date 19 May 2003

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0168-9274(02)00233-7

zbMATH Keywords

American options valuation problemCrank-Nicolson methodfinite difference methodheat equationlinear complementarity problemsmethod of linesmoving boundary problemsnumerical examplesprojected successive overrelaxationtime stepping

Mathematics Subject Classification ID

Heat equation (35K05) Free boundary problems for PDEs (35R35) Iterative numerical methods for linear systems (65F10) Numerical mathematical programming methods (65K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A fixed point method for the linear complementarity problem arising from American option pricing
• An LP-based successive overrelaxation method for linear complementarity problems
• A two-stage successive overrelaxation algorithm for solving the symmetric linear complementarity problem
• On the preconditioned projective iterative methods for the linear complementarity problems
• The solution of the linear complementarity problem by the matrix analogue of the accelerated overrelaxation iterative method

Cites work

• A `moving index' method for the solution of the American options valuation problem
• A variable dimension algorithm for the linear complementarity problem
• Front-tracking finite difference methods for the valuation of American options
• scientific article; zbMATH DE number 3871841 (Why is no real title available?)
• scientific article; zbMATH DE number 3747703 (Why is no real title available?)
• scientific article; zbMATH DE number 1069618 (Why is no real title available?)
• Minkowski matrices.
• On the solution of large, structured linear complementarity problems: the block partitioned case
• On the solution of large, structured linear complementarity problems: The tridiagonal case
• The pricing of options and corporate liabilities
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

Cited in

(18)

• Nonstationary extrapolated modulus algorithms for the solution of the linear complementarity problem
• A note on the implementation of the accelerated successive orthogonal projections method for solving large scale linear feasibility problems
• A note on the implementation of the successive overrelaxation method for linear complementarity problems
• Comparison of three classes of algorithms for the solution of the linear complementarity problem with an \(H_+\)-matrix
• General fixed-point method for solving the linear complementarity problem
• On the solution of the linear complementarity problem by the generalized accelerated overrelaxation iterative method
• The solution of the linear complementarity problem by the matrix analogue of the accelerated overrelaxation iterative method
• On the choice of parameters in MAOR type splitting methods for the linear complementarity problem
• A fixed point method for the linear complementarity problem arising from American option pricing
• Two class of synchronous matrix multisplitting schemes for solving linear complementarity problems
• A new matrix splitting generalized iteration method for linear complementarity problems
• Convergence analysis of projected SOR iteration method for a class of vertical linear complementarity problems
• A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems
• Projected fixed point iterative method for large and sparse horizontal linear complementarity problem
• Valuing convertible bonds with a priority issuer call option using the finite difference method
• Convergence analysis of the projected SOR iteration method for horizontal linear complementarity problems
• Convergence of SSOR methods for linear complementarity problems
• The principle of extrapolation and the Cayley transform

This page was built for publication: Improving projected successive overrelaxation method for linear complementarity problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1873163)