Year: 2012
Numerical Mathematics: Theory, Methods and Applications, Vol. 5 (2012), Iss. 1 : pp. 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.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/nmtma.2011.m12si05
Numerical Mathematics: Theory, Methods and Applications, Vol. 5 (2012), Iss. 1 : pp. 85–98
Published online: 2012-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 14
Keywords: Linear complementarity problem algebraic multigrid American options elasto-plastic torsion problem.