Anyone got a routine for SOR in VBA?

hateeque · September 5th, 2006, 2:55 pm

HiI wonder if anyone here has got any code written to solve linear system of equations using SOR (successive over-relaxation). It will be best if the code is solving an implicit finite difference grid.Thanks!

sheppardr · September 5th, 2006, 3:55 pm

This might help:http://www.finmod.co.za/resources.htmlR

hateeque · September 5th, 2006, 5:05 pm

Thanks R. Although, it seems to have alot of the matrix manipulation routines (LU etc.) , I dont see SOR implemented there. Could you point me to the right module please?

Cuchulainn · September 5th, 2006, 5:09 pm

QuoteOriginally posted by: hateequeThanks R. Although, it seems to have alot of the matrix manipulation routines (LU etc.) , I dont see SOR implemented there. Could you point me to the right module please?can you describe PDE or FDM. Is it one-factor or n-factor?Sometimes you can use PSOR for Americans but even that is not necessary.You should avoid iterative methods IMHO if appropriate 'direct' method are available.Is matrix tridiagonal? P.S. I kind of remember this question being asked some time ago on Wilmott.

hateeque · September 5th, 2006, 6:19 pm

Thanks for the quick response. Its single factor and the matrix is tridiagonal. Specifically, it is solving the Tsiveriotis and Fernandes (98) model for CBs.

Cuchulainn · September 5th, 2006, 7:40 pm

QuoteOriginally posted by: hateequeThanks for the quick response. Its single factor and the matrix is tridiagonal. Specifically, it is solving the Tsiveriotis and Fernandes (98) model for CBs.If are solving just the matrix equalityAu = rthen go for LU stuff.Am I missing something?