Iterative Solution of Piecewise Linear Systems

The correct formulation of numerical models for free-surface hydrodynamics often requires the solution of special linear systems whose coefficient matrix is a piecewise constant function of the solution itself. In so doing one may prevent the development of unrealistic negative water depths. The resulting piecewise linear systems are equivalent to particular linear complementarity problems whose solution could be obtained by using, for example, interior point methods. These methods may have a favorable convergence property but they are purely iterative and convergence to the exact solution is proven only in the limit of an infinite number of iterations. In the present paper a simple Newton-type procedure for certain piecewise linear systems is derived and discussed. This procedure is shown to have a finite termination property, i.e., it converges to the exact solution in a finite number of steps and, actually, it converges very quickly, as confirmed by a few numerical tests. Key words....

• Type: Journal
• Year: 2008
• Where: SIAMSC
• Authors: Luigi Brugnano, Vincenzo Casulli
• Keywords: Linear Complementarity Problems, Linear Systems, Piecewise Linear Systems, SIAMSC 2008