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Volume 5, Issue 1
A Projected Algebraic Multigrid Method for Linear Complementarity Problems

Jari Toivanen & Cornelis W. Oosterlee

DOI: 10.4208/nmtma.2011.m12si05

Numer. Math. Theor. Meth. Appl., 5 (2012), pp. 85-98.

Published online: 2012-05

[An open-access article; the PDF is free to any online user.]

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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

Linear complementarity problem, algebraic multigrid, American options, elasto-plastic torsion problem.

  • AMS Subject Headings

65M55, 65F99, 91G20

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{NMTMA-5-85, author = {Jari Toivanen and Cornelis W. Oosterlee}, title = {A Projected Algebraic Multigrid Method for Linear Complementarity Problems}, journal = {Numerical Mathematics: Theory, Methods and Applications}, year = {2012}, volume = {5}, number = {1}, pages = {85--98}, 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.

}, issn = {2079-7338}, doi = {https://doi.org/10.4208/nmtma.2011.m12si05}, url = {http://global-sci.org/intro/article_detail/nmtma/5929.html} }
TY - JOUR T1 - A Projected Algebraic Multigrid Method for Linear Complementarity Problems AU - Jari Toivanen & Cornelis W. Oosterlee JO - Numerical Mathematics: Theory, Methods and Applications VL - 1 SP - 85 EP - 98 PY - 2012 DA - 2012/05 SN - 5 DO - http://doi.org/10.4208/nmtma.2011.m12si05 UR - https://global-sci.org/intro/article_detail/nmtma/5929.html KW - Linear complementarity problem, algebraic multigrid, American options, elasto-plastic torsion problem. AB -

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.

Jari Toivanen and Cornelis W. Oosterlee. (2012). A Projected Algebraic Multigrid Method for Linear Complementarity Problems. Numerical Mathematics: Theory, Methods and Applications. 5 (1). 85-98. doi:10.4208/nmtma.2011.m12si05
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