A new predictor--corrector interior point algorithm for solving monotone linear complementarity problems (LCP) is proposed, and it is shown to be superlinearly convergent with at least order 1.5, even if the LCP has no strictly complementary solution. Unlike Mizuno's recent algorithm (Mizuno,...

How reliable the transport network is greatly affects the mobility and economy of a country. To assess the reliability of the network accurately and design a reliable transport network properly, one should consider the risk taking and elastic behaviour of travel demand. This paper develops a...

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...

In this paper we give algorithms for solving linear complementarity problems for P-matrices and symmetric positive semidefinite matrices. Our approach of the problem turns out to be an improvement and a more precise formulation of Baraff’s method for problems arising from collision response....