Improving projected successive overrelaxation method for linear complementarity problems

DOI10.1016/S0168-9274(02)00233-7zbMath1018.65117OpenAlexW1972958666MaRDI QIDQ1873163

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

heat equationfinite difference methodnumerical examplesmethod of lineslinear complementarity problemsmoving boundary problemsCrank-Nicolson methodtime steppingprojected successive overrelaxationAmerican options valuation problem

Mathematics Subject Classification ID

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

Related Items (13)

Convergence of SSOR methods for linear complementarity problems ⋮ General fixed-point method for solving the linear complementarity problem ⋮ The solution of the linear complementarity problem by the matrix analogue of the accelerated overrelaxation iterative method ⋮ 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 ⋮ Comparison of three classes of algorithms for the solution of the linear complementarity problem with an \(H_+\)-matrix ⋮ A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems ⋮ On the choice of parameters in MAOR type splitting methods for the linear complementarity problem ⋮ The principle of extrapolation and the Cayley transform ⋮ 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 ⋮ On the solution of the linear complementarity problem by the generalized accelerated overrelaxation iterative method

Cites Work

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• The Pricing of Options and Corporate Liabilities
• 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
• Front-tracking finite difference methods for the valuation of American options
• A `moving index' method for the solution of the American options valuation problem
• Minkowski matrices.
• A variable dimension algorithm for the linear complementarity problem
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

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