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From: Gunter Winkler (guwi17_at_[hidden])
Date: 2008-01-27 15:34:03

nisha kannookadan schrieb:
> Hi everybody
> Thank you for all the advices.
>> BTW: What are you going to do with such a large matrix? If you plan to
>> do linear algebra you should use sophisticated compression
>> techniques ...
> I compute option prices for multi-dimensional assets on a sparse grid with FEM-and for dimension 5 the matrix gets quite huge, but it will be cut later :).
You should have a look at:

Do you know the research group of Prof. Griebel
( I heard some talks of his
students explaining how to handle high dimensional systems.

And I heards a talk of Prof. Matthies about:

Hermann.G. Matthies, Andreas Keese, /Multilevel Methods for Stochastic
Systems/, Proceedings of the 2nd European Conference on Computational
Mechanics, Krakau, 2001.

may be there are already new results availaible.