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 - <p style="text-align: justify;">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.</p>