The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

Cited in

(79)

Numerical analysis of American option pricing in a two-asset jump-diffusion model
On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
A modulus iteration method for SPSD linear complementarity problem arising in image retinex
Howard's algorithm in a phase-field topology optimization approach
Modulus methods for nonnegatively constrained image restoration
Solution of constrained nonlinear equations in modelling the release of liquified gases
An LP-based successive overrelaxation method for linear complementarity problems
Splitting methods for a class of horizontal linear complementarity problems
On the solution of the linear complementarity problem by the generalized accelerated overrelaxation iterative method
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
Q-matrices and spherical geometry
Accelerated modulus-based matrix splitting iteration methods for linear complementarity problem
The best approximation of matrices under inequality constraints
The modulus-based matrix double splitting iteration method for linear complementarity problems
On the new modulus-based matrix splitting method for linear complementarity problem of H_+-matrix
On the modulus algorithm for the linear complementarity problem.
A relaxed two-step modulus-based matrix synchronous multisplitting iteration method for linear complementarity problems
Improved convergence theorems of multisplitting methods for the linear complementarity problem
Two class of synchronous matrix multisplitting schemes for solving linear complementarity problems
On the equivalence between some projected and modulus-based splitting methods for linear complementarity problems
Modulus-based inexact non-alternating preconditioned splitting method for linear complementarity problems
An efficient and provable sequential quadratic programming method for American and swing option pricing
Algorithm with order m+1 convergence for weakly nonlinear complementarity problems derived from the discretization of free boundary problems
Dynamic programming algorithm for optimizing distributed parameter trajectories with constraints
Nonstationary extrapolated modulus algorithms for the solution of the linear complementarity problem
Theory of variational inequalities with applications to problems of flow through porous media
Modified overrelaxed iterative solution schemes for separable generalized equations
Modulus-based matrix splitting iteration methods for linear complementarity problems.
A modified projection algorithm for large strictly-convex quadratic programs
The principle of extrapolation and the Cayley transform
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
Modulus-based matrix splitting methods for a class of horizontal nonlinear complementarity problems
Modulus-based matrix splitting iteration methods with new splitting scheme for horizontal implicit complementarity problems
Modified modulus-based matrix splitting algorithms for a class of weakly nondifferentiable nonlinear complementarity problems
The modulus-based matrix splitting algorithms for a class of weakly nonlinear complementarity problems.
Modulus-type inner outer iteration methods for nonnegative constrained least squares problems
A modified modulus method for symmetric positive-definite linear complementarity problems.
Modulus-based synchronous multisplitting iteration methods for linear complementarity problems.
A generalized Newton method for non-Hermitian positive definite linear complementarity problem
An irregular grid approach for pricing high-dimensional American options
Matrices and the linear complementarity problem
Modulus-based matrix splitting iteration methods for a class of implicit complementarity problems.
Sparsity-preserving SOR algorithms for separable quadratic and linear programming
A multisplitting method for symmetric linear complementarity problems
MSSOR-based alternating direction method for symmetric positive-definite linear complementarity problems
The solution of linear complementarity problems on an array processor
The general two-sweep modulus-based matrix splitting iteration method for solving linear complementarity problems
An iterative algorithm for a quasivariational inequality system related to HJB equation
Rational spectral collocation method for pricing American vanilla and butterfly spread options
Two-stage multisplitting iteration methods using modulus-based matrix splitting as inner iteration for linear complementarity problems
The adventures of a simple algorithm
Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
A survey on the continuous nonlinear resource allocation problem
The solution of the linear complementarity problem by the matrix analogue of the accelerated overrelaxation iterative method
Penalty methods for American options with stochastic volatility
Convergence of accelerated modulus-based matrix splitting iteration methods for linear complementarity problem with an H_+-matrix
A block principal pivoting algorithm for large-scale strictly monotone linear complementarity problems
On the choice of parameters in MAOR type splitting methods for the linear complementarity problem
Projected successive overrelaxation method for finite-element solutions to the Dirichlet problem for a system of nonlinear elliptic equations
The obstacle problem for beams and plates
Inexact multisplitting methods for linear complementarity problems
Sur des méthodes d'optimisation par relaxation
The Method of Christopherson for Solving Free Boundary Problems for Infinite Journal Bearings by Means of Finite Differences
Pricing European and American options under Heston model using discontinuous Galerkin finite elements
A generalized modulus-based Newton method for solving a class of non-linear complementarity problems with \(P\)-matrices
An iterative SOR algorithm for multi-period spatial equilibria
Improved Gauss-Seidel type and Jacobi type methods for linear complementarity problems
Operator splitting methods for American option pricing.
Convergence analysis of projected SOR iteration method for a class of vertical linear complementarity problems
Adaptive projected SOR algorithms for nonnegative quadratic programming
Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
A general preconditioner for linear complementarity problem with an \(M\)-matrix
On the methods of pricing American options: case study
Piecewise affine bijections of \(\mathbb R^n\), and the equation \(Sx^ +- Tx^ -=y\)
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
Remarks on the numerical solution of certain linear complementarity problems
Improving projected successive overrelaxation method for linear complementarity problems
Convergence of the two-point modulus-based matrix splitting iteration method

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