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A Projected Algebraic Multigrid Method for Linear Complementarity Problems |
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| Authors: | Jari Toivanen & Cornelis W. Oosterlee |
| Abstract: | We present an algebraic version of an iterative multigrid method forobstacle problems, called projected algebraic multigrid (PAMG) here.We show that classical algebraic multigrid algorithms can easily beextended to deal with this kind of problem. This paves the way forefficient multigrid solution of obstacle problems with partialdifferential equations arising, for example, in financial engineering. |
| Keywords: | Linear complementarity problem algebraic multigrid American options elasto-plastic torsion problem. |
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