A Projected Algebraic Multigrid Method for Linear Complementarity Problems

18 Pages Posted: 14 Jan 2011 Last revised: 6 Apr 2011

See all articles by Jari Toivanen

Jari Toivanen

University of Jyväskylä - Department of Mathematical Information Technology; Stanford University

Cornelis W. Oosterlee

Center for Mathematics and Computer Science (CWI)

Date Written: January 13, 2011

Abstract

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

Suggested Citation

Toivanen, Jari and Oosterlee, Cornelis W., A Projected Algebraic Multigrid Method for Linear Complementarity Problems (January 13, 2011). Available at SSRN: https://ssrn.com/abstract=1739902 or http://dx.doi.org/10.2139/ssrn.1739902

Jari Toivanen (Contact Author)

University of Jyväskylä - Department of Mathematical Information Technology ( email )

P.O. Box 35 (Agora)
Jyvaskyla, 40014
Finland

Stanford University ( email )

Stanford, CA 94305
United States

Cornelis W. Oosterlee

Center for Mathematics and Computer Science (CWI) ( email )

P.O. Box 94079
Amsterdam, NL-1090 GB
Netherlands

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