B-矩阵线性互补问题误差界上界的新估计

A New Estimation of the Upper Bound of Error Bounds for Linear Complementarity Problems of B-matrix

研究在最优停步问题、期权定价问题中广泛应用的线性互补问题误差界上界的估计问题.通过对B矩阵定义式的恰当变形,构造了严格对角占优M矩阵,进而利用该矩阵逆矩阵无穷范数已有的估计式和一些不等式,得到了B矩阵线性互补问题误差界新的估计式.并通过理论证明说明新结果的优越性.

This paper studies the estimation of error boundary of linear complementarity problem widely used in optimal stop-step problem and option pricing problem.Through the appropriate deformation of the definition of the B matrix,strict diagonally dominant M matrix is constructed.By further using the estimation of the infinite norm of the inverse matrix of this matrix,and some inequalities,a new error boundary estimator for this kind of problem is obtained.The superiority of the new result is proved by theory.