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

numerical examplesfinite difference methodheat equationlinear complementarity problemsmethod of linesmoving boundary problemsCrank-Nicolson methodtime steppingprojected successive overrelaxationAmerican options valuation problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Heat equation (35K05) Free boundary problems for PDEs (35R35) 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)

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Cites work

• 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?)
• 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
• Minkowski matrices.
• On the solution of large, structured linear complementarity problems: The tridiagonal case
• On the solution of large, structured linear complementarity problems: the block partitioned case
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• The pricing of options and corporate liabilities

Cited in

(16)

• On the solution of the linear complementarity problem by the generalized accelerated overrelaxation iterative method
• General fixed-point method for solving the linear complementarity problem
• A note on the implementation of the accelerated successive orthogonal projections method for solving large scale linear feasibility problems
• Projected fixed point iterative method for large and sparse horizontal 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
• Nonstationary extrapolated modulus algorithms for the solution of the linear complementarity problem
• A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems
• The principle of extrapolation and the Cayley transform
• 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 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 note on the implementation of the successive overrelaxation method for linear complementarity problems
• Convergence of SSOR methods for linear complementarity problems
• Comparison of three classes of algorithms for the solution of the linear complementarity problem with an \(H_+\)-matrix

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