A Projected Algebraic Multigrid Method for Linear Complementarity Problems
DOI:
https://doi.org/10.4208/nmtma.2011.m12si05Keywords:
Linear complementarity problem, algebraic multigrid, American options, elasto-plastic torsion problem.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.