Re: successive over relaxation
- To: mathgroup at smc.vnet.net
- Subject: [mg38895] Re: successive over relaxation
- From: Mike <mikeh1980 at optusnet.com.au>
- Date: Fri, 17 Jan 2003 05:39:36 -0500 (EST)
- References: <200301090940.EAA07078@smc.vnet.net> <avm4ji$na0$1@smc.vnet.net> <avu05n$dd4$1@smc.vnet.net> <b00s06$pnv$1@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
Thanks very much. I'll check this out in a university library. Actually I'm surprised that you would need an SOR for Black-Scholes. It is analogous to diffusion-reaction equation in electrochemistry and that can be solved using a tridiagonal solver. Thanks Mike On 14/1/03 10:23 PM, in article b00s06$pnv$1 at smc.vnet.net, "Khufu" <k9ck-9wsp at spamex.com> wrote: > Mike: > Don't give up all hope! > Let me direct your attention to William Shaw's excellent book on using > Mathematica for financial applications "Modelling Financial Derivatives with > Mathematica" (ISBN=052159233X). > He has two or three chapters of the book dedicated to SOR, PSOR, and other > schemes. Of course this is specifically tailored to financial applications > (solving Black-Scholes type equations) but it may set you closer to your > course than you are now. > The book is expensive, but very good for what it is and does come with a > CDROM of all programs. There are several different included examples of SOR > solvers. Shaw also does a good job of comparing the relative strengths of > different schemes for various problems. > The book should be available at any of the major online sites. > Best of luck, hope this helps. > -Khufu > > "Jens-Peer Kuska" <kuska at informatik.uni-leipzig.de> wrote in message > news:avu05n$dd4$1 at smc.vnet.net... >> Hi, >> >> and >> >> Developer`SparseLinearSolve[] >> >> does not a better job than any SOR ?? >> >> Regards >> Jens >> >> Selwyn Hollis wrote: >>> >>> Mike, >>> >>> I doubt you'll find what you're looking for. I recently spent some time >>> trying to concoct an efficient Gauss-Seidel-SOR program in Mathematica >>> and left it before getting anything I was happy with. There are inherent >>> difficulties, I think. However, I believe it's an very interesting >>> problem to find the "best" way of implementing SOR in Mathematica. >>> >>> ---- >>> Selwyn Hollis >>> >>> Mike wrote: >>>> Does anyone know of any sources of examples of successive over > relaxation >>>> method using mathematica? >>>> >>>> I came across a link on mathsource but the notebook actually links to > ITPACK >>>> method. I was interested in a full implementation within mathematica. >>>> >>>> >>>> Thanks >>>> >>>> Mike >>>> >>>> >>>> >> > >
- References:
- successive over relaxation
- From: Mike <mikeh1980@optusnet.com.au>
- successive over relaxation