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A Projected Algebraic Multigrid Method for Linear Complementarity Problems
Published online by Cambridge University Press: 28 May 2015
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.
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- Type
- Research Article
- Information
- Numerical Mathematics: Theory, Methods and Applications , Volume 5 , Issue 1 , February 2012 , pp. 85 - 98
- Copyright
- Copyright © Global Science Press Limited 2012