A power penalty method for linear complementarity problems
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Publication:935226
DOI10.1016/j.orl.2007.06.006zbMath1163.90762OpenAlexW2031293992MaRDI QIDQ935226
Publication date: 6 August 2008
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2007.06.006
Numerical optimization and variational techniques (65K10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)
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Cites Work
- Lagrange-type functions in constrained optimization
- Power penalty method for a linear complementarity problem arising from American option valuation
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Finite-Dimensional Variational Inequalities and Complementarity Problems
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