Subspace Accelerated Matrix Splitting Algorithms for Asymmetric and Symmetric Linear Complementarity Problems

DOI10.1137/110845094zbMath1291.49023OpenAlexW2055780016MaRDI QIDQ2866190

Daniel P. Robinson, Nocedal, Jorge, Jong-Shi Pang, Liming Feng

Publication date: 13 December 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5bac92256935da564e382fb5e2a17f81b73ec910

zbMATH Keywords

algorithmsglobal convergencequadratic programminglinear complementarity problemnumerical experimentsfixed-point iterationiterative methodsmatrix splittingtwo-phase methodsAmerican options pricingprojected search

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Numerical methods based on necessary conditions (49M05) Newton-type methods (49M15) Numerical methods based on nonlinear programming (49M37) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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