Circulant preconditioners for pricing options
نویسندگان
چکیده
منابع مشابه
Best Conditioned Circulant Preconditioners
In this paper, we discuss the solutions to a class of Hermitian positive deenite system Ax = b by the preconditioned conjugate gradient method with circulant preconditioner C. In general, the smaller the condition number (C ?1=2 AC ?1=2) is, the faster the convergence of the method will be. The circulant matrix C b that minimizes (C ?1=2 AC ?1=2) is called the best conditioned circulant precond...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2011
ISSN: 0024-3795
DOI: 10.1016/j.laa.2010.03.034