The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
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Publication:5620484
DOI10.1137/0309028zbMATH Open0216.54603OpenAlexW2054786539MaRDI QIDQ5620484FDOQ5620484
Authors:
Publication date: 1971
Published in: SIAM Journal on Control (Search for Journal in Brave)
Full work available at URL: http://digital.library.wisc.edu/1793/57594
Cited In (only showing first 100 items - show all)
- A Gauss-Seidel type solver for special convex programs, with application to frictional contact mechanics
- Improved inexact alternating direction methods for a class of nonlinear complementarity problems
- An approximate moving boundary method for American option pricing
- Augmented Lagrangian algorithms for linear programming
- Accelerated modulus-based matrix splitting iteration methods for a restricted class of nonlinear complementarity problems
- A continuous time model to price commodity-based swing options
- Two-step modulus-based matrix splitting iteration method for linear complementarity problems
- Successive overrelaxation method with projection for finite element solutions applied to the Dirichlet problem of the nonlinear elliptic equation \(\Delta u=bu^ 2\)
- Gauss-Newton methods for the complementarity problem
- Newton's method for linear complementarity problems
- Two-Step Two-Sweep Modulus-Based Matrix Splitting Iteration Method for Linear Complementarity Problems
- Solving the minimal least squares problem subject to bounds on the variables
- Two-sweep modulus-based matrix splitting iteration methods for linear complementarity problems
- Unilateral contact, elastoplasticity and complementarity with reference to offshore pipeline design
- A new more consistent Reynolds model for piezoviscous hydrodynamic lubrication problems in line contact devices
- Total negativity: characterizations and single-vector tests
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- Modulus-based matrix splitting algorithms for the quasi-complementarity problems
- TVD, WENO and blended BDF discretizations for Asian options
- Parallel computation of intertemporal multicommodity spatial price equilibria in the presence of quotas
- Descent methods for convex essentially smooth minimization
- Iterative methods for linear complementarity problems with upperbounds on primary variables
- Issues in computing contact forces for non-penetrating rigid bodies
- Successive overrelaxation method with projection for finite element solutions of nonlinear radiation cooling problems
- Linearly convergent descent methods for the unconstrained minimization of convex quadratic splines
- A modified damped Newton method for linear complementarity problems
- Pairwise reactive SOR algorithm for quadratic programming of net import spatial equilibrium models
- The quasi-complementarity problem
- Solution of nonsymmetric, linear complementarity problems by iterative methods
- Solution of symmetric linear complementarity problems by iterative methods
- On the solution of large, structured linear complementarity problems: The tridiagonal case
- On the convergence of the coordinate descent method for convex differentiable minimization
- Multisplittings and parallel iterative methods
- On the solution of large, structured linear complementarity problems: the block partitioned case
- A new operator splitting method for American options under fractional Black-Scholes models
- A direct method for sparse least squares problems with lower and upper bounds
- An alternating direction implicit algorithm for the solution of linear complementarity problems arising from free boundary problems
- Necessary and sufficient conditions for the convergence of iterative methods for the linear complementarity problem
- Free boundary problems in the theory of fluid flow through porous media: A numerical approach
- A note on a quadratic formulation for linear complementarity problems
- A successive projection method
- The valuation of foreign currency options under stochastic interest rates
- Iterative methods for a class of complementarity problems
- On the convergence of a basic iterative method for the implicit complementarity problem
- A relaxation general two-sweep modulus-based matrix splitting iteration method for solving linear complementarity problems
- Error bounds and convergence analysis of feasible descent methods: A general approach
- Pricing European and American options by radial basis point interpolation
- A generalized Newton method of high-order convergence for solving the large-scale linear complementarity problem
- On a class of least-element complementarity problems
- A unified approach to complementarity in optimization
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- Iterative algorithms for semi-linear quasi-complementarity problems
- A new solver for the elastic normal contact problem using conjugate gradients, deflation, and an FFT-based preconditioner
- A globally convergent primal-dual active-set framework for large-scale convex quadratic optimization
- Numerical solution of an etching problem
- Control of Stefan problems by means of linear-quadratic defect minimization
- A dual exact penalty formulation for the linear complementarity problem
- On tridiagonal linear complementarity problems
- Linear complementarity problems solvable by A single linear program
- Numerical methods for Lévy processes
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- A note on the implementation of the successive overrelaxation method for linear complementarity problems
- The convergence of parallel iteration algorithms for linear complementarity problems
- On constrained multivariate splines and their approximations
- A note on the unique solution of linear complementarity problem
- Iterative methods for variational and complementarity problems
- Classes of functions and feasibility conditions in nonlinear complementarity problems
- Generalized equations and the generalized Newton method
- An inexact alternating direction method of multipliers for the solution of linear complementarity problems arising from free boundary problems
- On the resolution of some unilaterally constrained problems in structural engineering
- Characterizing total positivity: Single vector tests via linear complementarity, sign non‐reversal and variation diminution
- On the approximate solution of nonlinear variational inequalities
- A variational formulation for a class of free boundary lubrication
- Mathematical programming and nonlinear finite element analysis
- On SOR-like iteration methods for solving weakly nonlinear systems
- The improved convergence of MSMMAOR method for linear complementarity problems
- Improved modulus-based matrix splitting iteration methods for quasi-complementarity problems
- The relaxation convergence of multisplitting AOR method for linear complementarity problem
- A modified modulus-based multigrid method for linear complementarity problems arising from free boundary problems
- A modulus-based multigrid method for image retinex
- General fixed-point method for solving the linear complementarity problem
- On the convergence of modulus-based matrix splitting methods for horizontal linear complementarity problems in hydrodynamic lubrication
- Anmerkungen zu einem Mehrgitterverfahren für lineare Komplementaritätsprobleme. (Comments on a multi-grid method for linear complementarity problems)
- Semismooth Newton methods with domain decomposition for American options
- Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
- A second order numerical scheme for fractional option pricing models
- An accelerated Newton method of high-order convergence for solving a class of weakly nonlinear complementarity problems
- Valuation of American passport option using a three-time level scheme
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme
- Valuing switching options with the moving-boundary method
- On the convergence of two-step modulus-based matrix splitting iteration method
- A class of new modulus-based matrix splitting methods for linear complementarity problem
- Analisi numerica di una disequazione variazionale legata al moto di un fluido attorno ad un ostacolo
- Numerical control of the Stefan problem: Maximum melting
- An iterative method, having linear rate of convergence, for solving a pair of dual linear programs
- A modulus-based nonsmooth Newton's method for solving horizontal linear complementarity problems
- A two-step matrix splitting method for the mixed linear complementarity problem
- Relaxation modulus-based matrix splitting iteration method for vertical linear complementarity problem
- A multi-grid method for variational inequalities in contact problems
- Upper norm bounds for the inverse of locally doubly strictly diagonally dominant matrices with its applications in linear complementarity problems
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