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A Projected Algebraic Multigrid Method for Linear Complementarity Problems

Published online by Cambridge University Press:  28 May 2015

Jari Toivanen  and
Cornelis W. Oosterlee
Jari Toivanen*
Affiliation:
Institute for Computational and Mathematical Engineering, Durand Building, room 023A, Stanford University, Stanford, CA 94305, USA and Department of Mathematical Information Technology, Agora, FI-40014 University ofJyväskylä, Finland
Cornelis W. Oosterlee
Affiliation:
Centrum voor Wiskunde en Informatica, Modelling, Analysis and Simulation (MAS2), Kruislaan 413, Amsterdam, The Netherlands and Delft University of Technology, Delft Institute of Applied Mathematics, Mekelweg 4, 2628 CD Delft, The Netherlands
*
Corresponding author.Email address:toivanen@stanford.edu
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Abstract

We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical algebraic multigrid algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.

Keywords

65M5565F9991G20Linear complementarity problemalgebraic multigridAmerican optionselasto-plastic torsion problem

Information

Type
Research Article
Information
Numerical Mathematics: Theory, Methods and Applications , Volume 5 , Issue 1 , February 2012 , pp. 85 - 98
Copyright
Copyright © Global Science Press Limited 2012

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