An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
In this work we study an interior penalty method for a finite-dimensional large-scale linear complementarity problem (LCP) arising often from the discretization of stochastic optimal problems in financial engineering. In this approach, we approximate the LCP by a nonlinear algebraic equation contain...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer Verlag
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/69495 |