A Projected Algebraic Multigrid Method for Linear Complementarity Problems
18 Pages Posted: 14 Jan 2011 Last revised: 6 Apr 2011
Date Written: January 13, 2011
We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical AMG 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, obstacle problem, iterative method, multigrid method, black-box method, American option
JEL Classification: C63, G13
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