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Li, Duan (d. 2020)

Author ID: li.duan Recent zbMATH articles by "Li, Duan"
Published as: Li, Duan; Li, D.
External Links: MGP · ORCID · Wikidata · Google Scholar
all top 5

Co-Authors

9 single-authored
31 Sun, Xiaoling
16 Gao, Jianjun
15 Cui, Xiangyu
14 Zheng, Xiaojin
12 Haimes, Yacov Y.
11 Zhao, Yunbin
10 Jiang, Rujun
9 Zhu, Shushang
8 Zhang, Liansheng
7 Shi, Yun
7 Wang, Shouyang
7 Yang, Xinmin
6 Ng, Chikong
6 Qian, Fucai
5 Biswal, Mahendra Prasad
5 Liao, Li-Zhi
5 Luo, Hezhi
5 Strub, Moris S.
5 Wang, Jun
5 Wu, Zhiyou
5 Xia, Yong
4 Chen, Yuanyuan
4 Choi, Tsan-Ming
4 Fu, Peilin
4 Liu, Chunli
4 McKinnon, Ken I. M.
4 Wu, Baiyi
4 Xu, Yifan
4 Yan, Houmin
3 Cui, Xueting
3 Li, Xun
3 Sun, Jie
3 Teo, Kok Lay
3 Zhang, Shuzhong
2 Chiu, Mei Choi
2 Dai, Yu-Hong
2 Gu, Shenshen
2 Lee, Heungwing Joseph
2 Li, Zhongfei
2 Lou, Youcheng
2 Ng, Wan-Lung
2 Sheu, Ruey-Lin
2 Tian, Weiwen
2 Wu, Weiping
2 Yang, Xiaoqi
2 Yao, Jing
2 Zhou, Ke
2 Zhou, Xunyu
1 Bai, Erwei
1 Bai, Yanqin
1 Biswal, N. P.
1 Burger, J. A.
1 Cao, Xiren
1 Chan, Tsz-Fung
1 Ding, Xiaodong
1 Fan, Minjie
1 Fang, Shu-Cherng
1 Gao, Jiangjun
1 Gao, Xuefeng
1 He, Meng-Fei
1 Hsia, Yong
1 Huang, Xuexiang
1 Kong, Shanshan
1 Li, Donghui
1 Li, Jianling
1 Li, Yingjie
1 Liang, Jianfeng
1 Liu, Yanqun
1 Luh, Hsing Paul
1 Ma, Jiali
1 Niu, Shufen
1 Parsa, Sahar
1 Peng, Jiming
1 Qi, Liqun
1 Qiao, Xiao
1 Ray, Debraj
1 Romei, Stéphane F.
1 Ruan, Ning
1 Rubinov, Aleksandr Moiseevich
1 Sahoo, N. P.
1 Schmidt, Christopher Wayne
1 Sheng, Hongbo
1 Sun, Xiaolin
1 Wang, Changyu
1 Wang, Guoqiang
1 Wang, Shouyanc
1 White, Douglas John
1 Wu, Huixian
1 Wu, Qi
1 Xiong, Yan
1 Yao, Haixiang
1 Yi, Lan
1 Yue, Wuyi
1 Zhang, Xianye
1 Zhu, Mingjia
all top 5

Serials

23 Journal of Global Optimization
15 SIAM Journal on Optimization
14 Journal of Optimization Theory and Applications
12 European Journal of Operational Research
11 IEEE Transactions on Automatic Control
8 Automatica
8 Journal of Economic Dynamics & Control
6 Mathematical Finance
5 Computational Optimization and Applications
5 Optimization Methods & Software
4 Journal of Mathematical Analysis and Applications
4 Mathematics of Operations Research
4 Operations Research Letters
4 Journal of the Operations Research Society of China
3 Operations Research
3 Optimization
3 Annals of Operations Research
3 INFORMS Journal on Computing
3 Journal of Industrial and Management Optimization
2 Computers & Mathematics with Applications
2 International Journal of Systems Science
2 SIAM Journal on Control and Optimization
2 Computers & Operations Research
2 Mathematical Programming. Series A. Series B
2 Quantitative Finance
1 IEEE Transactions on Reliability
1 Applied Mathematics and Optimization
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Economic Theory
1 Journal of the Operational Research Society
1 Naval Research Logistics
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Opsearch
1 Insurance Mathematics & Economics
1 Acta Automatica Sinica
1 IMA Journal of Mathematical Control and Information
1 Applied Mathematics Letters
1 Information and Decision Technology
1 Numerical Algorithms
1 Dynamics of Continuous, Discrete and Impulsive Systems
1 Optimization and Engineering
1 RAIRO. Operations Research
1 Journal of Nonlinear and Convex Analysis
1 Control Theory & Applications
1 Journal of Systems Science and Complexity
1 Pacific Journal of Optimization
1 International Series in Operations Research & Management Science
1 Optimization Letters
1 The Journal of Computational Finance
1 Numerical Algebra, Control and Optimization
1 Operations Research Transactions
1 Nonlinear Analysis. Theory, Methods & Applications

Publications by Year

Citations contained in zbMATH Open

155 Publications have been cited 3,073 times in 1,835 Documents Cited by Year
Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Zbl 0998.91023
Zhou, X. Y.; Li, D.
444
2000
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
409
2000
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
86
2006
Near-subconvexlikeness in vector optimization with set-valued functions. Zbl 1012.90061
Yang, X. M.; Li, D.; Wang, S. Y.
84
2001
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. Zbl 1366.91150
Zhu, Shu-Shang; Li, Duan; Wang, Shou-Yang
73
2004
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
69
2012
Monotonicity of fixed point and normal mappings associated with variational inequality and its application. Zbl 1010.90084
Zhao, Yun-Bin; Li, Duan
69
2001
A new filled function method for global optimization. Zbl 1061.90109
Zhang, Liansheng; Ng, Chikong; Li, Duan; Tian, Weiwen
60
2004
Optimal cardinality constrained portfolio selection. Zbl 1273.91423
Gao, Jianjun; Li, Duan
52
2013
Reweighted \(\ell_1\)-minimization for sparse solutions to underdetermined linear systems. Zbl 1261.65042
Zhao, Yun-Bin; Li, Duan
52
2012
On properties of preinvex functions. Zbl 1016.90056
Yang, Xinmin; Li, Duan
52
2001
Nonlinear integer programming. Zbl 1140.90042
Li, Duan; Sun, Xiaoling
50
2006
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
50
2014
Zero duality gap for a class of nonconvex optimization problems. Zbl 0829.90109
Li, D.
46
1995
Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection. Zbl 1128.91028
Li, Duan; Sun, Xiaoling; Wang, Jun
46
2006
Mean-variance analysis of a single supplier and retailer supply chain under a returns policy. Zbl 1278.90015
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
43
2008
Convergence of the iterative Hammerstein system identification algorithm. Zbl 1365.93098
Bai, Er-Wei; Li, Duan
43
2004
Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach. Zbl 1304.90154
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan
39
2014
On saddle points of augmented Lagrangians for constrained nonconvex optimization. Zbl 1114.90099
Sun, X. L.; Li, D.; McKinnon, K. I. M.
36
2005
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint. Zbl 1277.90001
Sun, Xiaoling; Zheng, Xiaojin; Li, Duan
32
2013
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
29
2014
Safety-first dynamic portfolio selection. Zbl 0916.90023
Li, Duan; Chan, Tsz-Fung; Ng, Wan-Lung
27
1998
Semistrictly preinvex functions. Zbl 0985.26007
Yang, Xin Min; Li, Duan
27
2001
On the convergence of augmented Lagrangian methods for constrained global optimization. Zbl 1162.90019
Luo, H. Z.; Sun, X. L.; Li, D.
26
2007
Nonconvex quadratically constrained quadratic programming: Best D.C. Decompositions and their SDP representations. Zbl 1254.90151
Zheng, X. J.; Sun, X. L.; Li, D.
25
2011
Discrete filled function method for discrete global optimization. Zbl 1114.90125
Ng, Chikong; Zhang, Liansheng; Li, Duan; Tian, Weiwen
24
2005
On restart procedures for the conjugate gradient method. Zbl 1137.90669
Dai, Yu-Hong; Liao, Li-Zhi; Li, Duan
24
2004
Towards strong duality in integer programming. Zbl 1097.90068
Li, D.; Sun, X. L.
24
2006
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
22
2009
Optimal two-stage ordering policy with Bayesian information updating. Zbl 1095.90504
Choi, T.-M.; Li, D.; Yan, H.
22
2003
Simultaneous diagonalization of matrices and its applications in quadratically constrained quadratic programming. Zbl 1347.65107
Jiang, Rujun; Li, Duan
21
2016
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224
Yao, Haixiang; Li, Zhongfei; Li, Duan
21
2016
Mean-variance policy for discrete-time cone-constrained markets: time consistency in efficiency and the minimum-variance signed supermartingale measure. Zbl 1541.91222
Cui, Xiangyu; Li, Duan; Li, Xun
21
2017
Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544
Yi, Lan; Li, Zhongfei; Li, Duan
20
2008
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Zbl 1346.91204
Gao, Jianjun; Xiong, Yan; Li, Duan
19
2016
Unified theory of augmented Lagrangian methods for constrained global optimization. Zbl 1192.90149
Wang, Chang-Yu; Li, Duan
18
2009
A globally and locally superlinearly convergent non-interior-point algorithm for \(P_{0}\) LCPs. Zbl 1039.90081
Zhao, Yun-Bin; Li, Duan
18
2003
Convexification of a noninferior frontier. Zbl 0842.90102
Li, D.
17
1996
Probabilistic linear programming problems with exponential random variables: a technical note. Zbl 0970.90056
Biswal, M. P.; Biswal, N. P.; Li, Duan
17
1998
Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method. Zbl 1052.90047
Li, D.; Sun, X. L.
17
2000
SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices. Zbl 1390.90416
Jiang, Rujun; Li, Duan; Wu, Baiyi
17
2018
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach. Zbl 1302.90157
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Sun, Jie
17
2014
Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation. Zbl 1236.90089
Zheng, Xiao Jin; Sun, Xiao Ling; Li, Duan
16
2011
Discrete global descent method for discrete global optimization and nonlinear integer programming. Zbl 1156.90006
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
15
2007
Quick response policy with Bayesian information updates. Zbl 1091.90005
Choi, Tsan-Ming (Jason); Li, Duan; Yan, Houmin
15
2006
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
15
2009
\(p\)th power Lagrangian method for integer programming. Zbl 0990.90075
Li, Duan; White, Douglas J.
15
2000
Convexification and existence of a saddle point in a \(p\)th-power reformulation for nonconvex constrained optimization. Zbl 1042.90643
Li, D.; Sun, X. L.
15
2001
Optimal single ordering policy with multiple delivery modes and Bayesian information updates. Zbl 1100.90501
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
15
2004
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time. Zbl 1414.91338
Gao, Jianjun; Zhou, Ke; Li, Duan; Cao, Xiren
15
2017
A convexification method for a class of global optimization problems with applications to reliability optimization. Zbl 1004.90050
Sun, X. L.; McKinnon, K. I. M.; Li, D.
15
2001
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework. Zbl 1401.91043
Cui, Xiangyu; Li, Duan; Shi, Yun
14
2017
Dynamic trading with reference point adaptation and loss aversion. Zbl 1329.91126
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
14
2015
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach. Zbl 1318.93101
Gao, Jianjun; Li, Duan; Cui, Xiangyu; Wang, Shouyang
14
2015
Existence of a saddle point in nonconvex constrained optimization. Zbl 1099.90590
Li, D.; Sun, X. L.
14
2001
On general multiple linear-quadratic control problems. Zbl 0790.93057
Li, Duan
13
1993
Saddle point generation in nonlinear nonconvex optimization. Zbl 0911.90276
Li, Duan
13
1997
Local convexification of the Lagrangian function in nonconvex optimization. Zbl 0960.90070
Li, D.; Sun, X. L.
13
2000
On a new homotopy continuation trajectory for nonlinear complementary problems. Zbl 1073.90560
Zhao, Yun-Bin; Li, Duan
13
2001
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. Zbl 1425.91395
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun
13
2019
Novel reformulations and efficient algorithms for the generalized trust region subproblem. Zbl 1421.90105
Jiang, Rujun; Li, Duan
13
2019
On zero duality gap in nonconvex quadratic programming problems. Zbl 1266.90151
Zheng, X. J.; Sun, X. L.; Li, D.; Xu, Y. F.
12
2012
A polynomial case of the cardinality-constrained quadratic optimization problem. Zbl 1296.90085
Gao, Jianjun; Li, Duan
12
2013
Discrete-time behavioral portfolio selection under cumulative prospect theory. Zbl 1401.91524
Shi, Yun; Cui, Xiangyu; Li, Duan
12
2015
Cardinality constrained linear-quadratic optimal control. Zbl 1368.90166
Gao, Jianjun; Li, Duan
12
2011
Convexification, concavification and monotonization in global optimization. Zbl 0995.90091
Li, D.; Sun, X. L.; Biswal, M. P.; Gao, F.
12
2001
Asymptotic strong duality for bounded integer programming: A logarithmic-exponential dual formulation. Zbl 0977.90028
Sun, Xiaoling; Li, Duan
11
2000
Quadratic convex reformulations for semicontinuous quadratic programming. Zbl 1370.90156
Wu, Baiyi; Sun, Xiaoling; Li, Duan; Zheng, Xiaojin
11
2017
Zero duality gap in integer programming: \(P\)-norm surrogate constraint method. Zbl 0973.90051
Li, Duan
10
1999
Convergent Lagrangian and contour cut method for nonlinear integer programming with a quadratic objective function. Zbl 1165.90577
Li, D.; Sun, X. L.; Wang, F. L.
10
2006
Linear-quadratic switching control with switching cost. Zbl 1244.49062
Gao, Jianjun; Li, Duan
9
2012
On duality gap in binary quadratic programming. Zbl 1278.90296
Sun, X. L.; Liu, C. L.; Li, D.; Gao, J. J.
9
2012
Optimality condition and branch and bound algorithm for constrained redundancy optimization in series systems. Zbl 1035.90087
Sun, Xiaoling; Li, Duan
9
2002
Strict feasibility conditions in nonlinear complementarity problems. Zbl 1168.90625
Zhao, Y. B.; Li, D.
9
2000
An exact solution method for unconstrained quadratic 0–1 programming: a geometric approach. Zbl 1268.90040
Li, D.; Sun, X. L.; Liu, C. L.
9
2012
Portfolio selection with marginal risk control. Zbl 1284.91536
Zhu, Shushang; Li, Duan; Sun, Xiaoling
9
2010
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters. Zbl 1138.93413
Li, Duan; Qian, Fucai; Fu, Peilin
8
2008
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs. Zbl 1253.90182
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Cui, Xueting
8
2012
Hierarchical multiobjective analysis for large-scale systems: Review and current status. Zbl 0636.93003
Haimes, Yacov Y.; Li, Duan
8
1988
Hierarchical generating method for large-scale multiobjective systems. Zbl 0596.93005
Li, D.; Haimes, Y. Y.
8
1987
Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization. Zbl 0998.90072
Li, Duan; Yang, Jian-Bo; Biswal, M. P.
8
1999
Portfolio optimization with nonparametric value at risk: a block coordinate descent method. Zbl 1528.91066
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; Li, Duan
8
2018
Complexity results and effective algorithms for worst-case linear optimization under uncertainties. Zbl 07362310
Luo, Hezhi; Ding, Xiaodong; Peng, Jiming; Jiang, Rujun; Li, Duan
8
2021
On the minimax solution of multiple linear-quadratic problems. Zbl 0721.49034
Li, Duan
7
1990
An exact solution method for reliability optimization in complex systems. Zbl 1119.90080
Li, Duan; Sun, Xiaoling; McKinnon, Ken
7
2005
Duality gap estimation of linear equality constrained binary quadratic programming. Zbl 1218.90129
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Xia, Yong
7
2010
Value-estimation function method for constrained global optimization. Zbl 0937.90085
Sun, X. L.; Li, D.
7
1999
A new path-following algorithm for nonlinear \(P_*\) complementarity problems. Zbl 1124.90041
Zhao, Y. B.; Li, D.
7
2006
Polynomially solvable cases of binary quadratic programs. Zbl 1231.90324
Li, Duan; Sun, Xiaoling; Gu, Shenshen; Gao, Jianjun; Liu, Chunli
7
2010
Multiple objective and non-separability in stochastic dynamic programming. Zbl 0717.90053
Li, Duan
7
1990
A note on monotone mean-variance preferences for continuous processes. Zbl 1478.91172
Strub, Moris S.; Li, Duan
7
2020
Information aggregation in a financial market with general signal structure. Zbl 1422.91807
Lou, Youcheng; Parsa, Sahar; Ray, Debraj; Li, Duan; Wang, Shouyang
7
2019
Convergent Lagrangian and domain cut method for nonlinear knapsack problems. Zbl 1153.90555
Li, D.; Sun, X. L.; Wang, J.; McKinnon, K. I. M.
6
2009
Iterative parametric dynamic programming and its application in reliability optimization. Zbl 0834.90135
Li, Duan
6
1995
Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach. Zbl 1198.90299
Zheng, X. J.; Sun, X. L.; Li, D.
6
2010
Global descent method for global optimization. Zbl 1208.49038
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
6
2010
Global descent methods for unconstrained global optimization. Zbl 1228.90089
Wu, Z. Y.; Li, D.; Zhang, L. S.
6
2011
Exact algorithm for concave knapsack problems: linear underestimation and partition method. Zbl 1093.90050
Sun, X. L.; Wang, F. L.; Li, D.
6
2005
New approach for nonseparable dynamic programming problems. Zbl 0666.90085
Li, D.; Haimes, Y. Y.
6
1990
Computing exact solution to nonlinear integer programming: convergent Lagrangian and objective level cut method. Zbl 1151.90027
Li, D.; Wang, J.; Sun, X. L.
6
2007
Effective algorithms for optimal portfolio deleveraging problem with cross impact. Zbl 1530.91531
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian
2
2024
Risk and potential: an asset allocation framework with applications to robo-advising. Zbl 1513.91072
Cui, Xiang-Yu; Li, Duan; Qiao, Xiao; Strub, Moris S.
4
2022
Complexity results and effective algorithms for worst-case linear optimization under uncertainties. Zbl 07362310
Luo, Hezhi; Ding, Xiaodong; Peng, Jiming; Jiang, Rujun; Li, Duan
8
2021
A note on monotone mean-variance preferences for continuous processes. Zbl 1478.91172
Strub, Moris S.; Li, Duan
7
2020
A linear-time algorithm for generalized trust region subproblems. Zbl 1461.90086
Jiang, Rujun; Li, Duan
6
2020
Failing to foresee the updating of the reference point leads to time-inconsistent investment. Zbl 1445.90046
Strub, Moris S.; Li, Duan
6
2020
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. Zbl 1425.91395
Strub, Moris S.; Li, Duan; Cui, Xiangyu; Gao, Jianjun
13
2019
Novel reformulations and efficient algorithms for the generalized trust region subproblem. Zbl 1421.90105
Jiang, Rujun; Li, Duan
13
2019
Information aggregation in a financial market with general signal structure. Zbl 1422.91807
Lou, Youcheng; Parsa, Sahar; Ray, Debraj; Li, Duan; Wang, Shouyang
7
2019
Explicit solution for constrained scalar-state stochastic linear-quadratic control with multiplicative noise. Zbl 1482.93715
Wu, Weiping; Gao, Jianjun; Li, Duan; Shi, Yun
4
2019
Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming. Zbl 1428.90111
Jiang, Rujun; Li, Duan
4
2019
SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices. Zbl 1390.90416
Jiang, Rujun; Li, Duan; Wu, Baiyi
17
2018
Portfolio optimization with nonparametric value at risk: a block coordinate descent method. Zbl 1528.91066
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; Li, Duan
8
2018
Optimal order execution using hidden orders. Zbl 1402.91941
Chen, Yuanyuan; Gao, Xuefeng; Li, Duan
1
2018
Mean-variance policy for discrete-time cone-constrained markets: time consistency in efficiency and the minimum-variance signed supermartingale measure. Zbl 1541.91222
Cui, Xiangyu; Li, Duan; Li, Xun
21
2017
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time. Zbl 1414.91338
Gao, Jianjun; Zhou, Ke; Li, Duan; Cao, Xiren
15
2017
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework. Zbl 1401.91043
Cui, Xiangyu; Li, Duan; Shi, Yun
14
2017
Quadratic convex reformulations for semicontinuous quadratic programming. Zbl 1370.90156
Wu, Baiyi; Sun, Xiaoling; Li, Duan; Zheng, Xiaojin
11
2017
Dynamic mean-VaR portfolio selection in continuous time. Zbl 1402.91743
Zhou, Ke; Gao, Jiangjun; Li, Duan; Cui, Xiangyu
6
2017
Simultaneous diagonalization of matrices and its applications in quadratically constrained quadratic programming. Zbl 1347.65107
Jiang, Rujun; Li, Duan
21
2016
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224
Yao, Haixiang; Li, Zhongfei; Li, Duan
21
2016
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Zbl 1346.91204
Gao, Jianjun; Xiong, Yan; Li, Duan
19
2016
Strong duality in optimization: shifted power reformulation. Zbl 1358.90151
Xia, Yong; Li, Duan
1
2016
Dynamic trading with reference point adaptation and loss aversion. Zbl 1329.91126
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
14
2015
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach. Zbl 1318.93101
Gao, Jianjun; Li, Duan; Cui, Xiangyu; Wang, Shouyang
14
2015
Discrete-time behavioral portfolio selection under cumulative prospect theory. Zbl 1401.91524
Shi, Yun; Cui, Xiangyu; Li, Duan
12
2015
Stochastic control for multiperiod mean-variance asset-liability management. Zbl 1349.91259
Wu, Weiping; Gao, Jianjun; Li, Duan
1
2015
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
50
2014
Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach. Zbl 1304.90154
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan
39
2014
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
29
2014
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach. Zbl 1302.90157
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Sun, Jie
17
2014
Portfolio management with robustness in both prediction and decision: a mixture model based learning approach. Zbl 1402.91744
Zhu, Shushang; Fan, Minjie; Li, Duan
6
2014
New reformulations for probabilistically constrained quadratic programs. Zbl 1339.90260
Hsia, Yong; Wu, Baiyi; Li, Duan
2
2014
Test problem generator for unconstrained global optimization. Zbl 1348.90010
Ng, Chi-Kong; Li, Duan
1
2014
Recent advances in integer programming. Zbl 1313.90165
Sun, Xiaoling; Li, Duan
1
2014
Optimal cardinality constrained portfolio selection. Zbl 1273.91423
Gao, Jianjun; Li, Duan
52
2013
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint. Zbl 1277.90001
Sun, Xiaoling; Zheng, Xiaojin; Li, Duan
32
2013
A polynomial case of the cardinality-constrained quadratic optimization problem. Zbl 1296.90085
Gao, Jianjun; Li, Duan
12
2013
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization. Zbl 1317.91072
Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan
6
2013
Bounded rationality as a source of loss aversion and optimism: a study of psychological adaptation under incomplete information. Zbl 1345.91003
Yao, Jing; Li, Duan
5
2013
Tightening a copositive relaxation for standard quadratic optimization problems. Zbl 1294.90044
Xia, Yong; Sheu, Ruey-Lin; Sun, Xiaoling; Li, Duan
1
2013
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
69
2012
Reweighted \(\ell_1\)-minimization for sparse solutions to underdetermined linear systems. Zbl 1261.65042
Zhao, Yun-Bin; Li, Duan
52
2012
On zero duality gap in nonconvex quadratic programming problems. Zbl 1266.90151
Zheng, X. J.; Sun, X. L.; Li, D.; Xu, Y. F.
12
2012
Linear-quadratic switching control with switching cost. Zbl 1244.49062
Gao, Jianjun; Li, Duan
9
2012
On duality gap in binary quadratic programming. Zbl 1278.90296
Sun, X. L.; Liu, C. L.; Li, D.; Gao, J. J.
9
2012
An exact solution method for unconstrained quadratic 0–1 programming: a geometric approach. Zbl 1268.90040
Li, D.; Sun, X. L.; Liu, C. L.
9
2012
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs. Zbl 1253.90182
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Cui, Xueting
8
2012
Complete statistical characterization of discrete-time LQG and cumulant control. Zbl 1369.93723
Qian, Fucai; Gao, Jianjun; Li, Duan
3
2012
Continuous-time mean-variance portfolio selection with finite transaction. Zbl 1307.91159
Cui, Xiangyu; Gao, Jianjun; Li, Duan
1
2012
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure. Zbl 1244.90162
Xia, Yong; Sheu, Ruey-Lin; Sun, Xiaoling; Li, Duan
1
2012
Nonconvex quadratically constrained quadratic programming: Best D.C. Decompositions and their SDP representations. Zbl 1254.90151
Zheng, X. J.; Sun, X. L.; Li, D.
25
2011
Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation. Zbl 1236.90089
Zheng, Xiao Jin; Sun, Xiao Ling; Li, Duan
16
2011
Cardinality constrained linear-quadratic optimal control. Zbl 1368.90166
Gao, Jianjun; Li, Duan
12
2011
Global descent methods for unconstrained global optimization. Zbl 1228.90089
Wu, Z. Y.; Li, D.; Zhang, L. S.
6
2011
On the reduction of duality gap in box constrained nonconvex quadratic program. Zbl 1236.90083
Xia, Yong; Sun, Xiaoling; Li, Duan; Zheng, Xiaojin
5
2011
Portfolio selection with marginal risk control. Zbl 1284.91536
Zhu, Shushang; Li, Duan; Sun, Xiaoling
9
2010
Duality gap estimation of linear equality constrained binary quadratic programming. Zbl 1218.90129
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Xia, Yong
7
2010
Polynomially solvable cases of binary quadratic programs. Zbl 1231.90324
Li, Duan; Sun, Xiaoling; Gu, Shenshen; Gao, Jianjun; Liu, Chunli
7
2010
Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach. Zbl 1198.90299
Zheng, X. J.; Sun, X. L.; Li, D.
6
2010
Global descent method for global optimization. Zbl 1208.49038
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
6
2010
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
22
2009
Unified theory of augmented Lagrangian methods for constrained global optimization. Zbl 1192.90149
Wang, Chang-Yu; Li, Duan
18
2009
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
15
2009
Convergent Lagrangian and domain cut method for nonlinear knapsack problems. Zbl 1153.90555
Li, D.; Sun, X. L.; Wang, J.; McKinnon, K. I. M.
6
2009
Mean-variance analysis of a single supplier and retailer supply chain under a returns policy. Zbl 1278.90015
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
43
2008
Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544
Yi, Lan; Li, Zhongfei; Li, Duan
20
2008
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters. Zbl 1138.93413
Li, Duan; Qian, Fucai; Fu, Peilin
8
2008
Optioned portfolio selection: models and analysis. Zbl 1214.91101
Liang, Jianfeng; Zhang, Shuzhong; Li, Duan
4
2008
On the convergence of augmented Lagrangian methods for constrained global optimization. Zbl 1162.90019
Luo, H. Z.; Sun, X. L.; Li, D.
26
2007
Discrete global descent method for discrete global optimization and nonlinear integer programming. Zbl 1156.90006
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
15
2007
Computing exact solution to nonlinear integer programming: convergent Lagrangian and objective level cut method. Zbl 1151.90027
Li, D.; Wang, J.; Sun, X. L.
6
2007
Peeling off a nonconvex cover of an actual convex problem: Hidden convexity. Zbl 1211.90241
Wu, Z. Y.; Li, D.; Zhang, L. S.; Yang, X. M.
3
2007
Convexification of nonsmooth monotone functions. Zbl 1171.90502
Sun, X. L.; Luo, H. Z.; Li, D.
3
2007
An exact algorithm for 0-1 polynomial Knapsack problems. Zbl 1171.90474
Sun, Xiaoling; Sheng, Hongbo; Li, Duan
2
2007
A revised Taha’s algorithm for polynomial 0-1 programming. Zbl 1172.90444
Wang, J.; Li, Duan; Sun, Xiaoling
1
2007
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
86
2006
Nonlinear integer programming. Zbl 1140.90042
Li, Duan; Sun, Xiaoling
50
2006
Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection. Zbl 1128.91028
Li, Duan; Sun, Xiaoling; Wang, Jun
46
2006
Towards strong duality in integer programming. Zbl 1097.90068
Li, D.; Sun, X. L.
24
2006
Quick response policy with Bayesian information updates. Zbl 1091.90005
Choi, Tsan-Ming (Jason); Li, Duan; Yan, Houmin
15
2006
Convergent Lagrangian and contour cut method for nonlinear integer programming with a quadratic objective function. Zbl 1165.90577
Li, D.; Sun, X. L.; Wang, F. L.
10
2006
A new path-following algorithm for nonlinear \(P_*\) complementarity problems. Zbl 1124.90041
Zhao, Y. B.; Li, D.
7
2006
Constructing generalized mean functions using convex functions with regularity conditions. Zbl 1112.90081
Zhao, Yun-Bin; Fang, Shu-Cherng; Li, Duan
1
2006
Convergence of optimal values of quadratic penalty problems for mathematical programs with complementarity constraints. Zbl 1122.90091
Huang, X. X.; Li, D.; Yang, X. Q.
1
2006
On saddle points of augmented Lagrangians for constrained nonconvex optimization. Zbl 1114.90099
Sun, X. L.; Li, D.; McKinnon, K. I. M.
36
2005
Discrete filled function method for discrete global optimization. Zbl 1114.90125
Ng, Chikong; Zhang, Liansheng; Li, Duan; Tian, Weiwen
24
2005
An exact solution method for reliability optimization in complex systems. Zbl 1119.90080
Li, Duan; Sun, Xiaoling; McKinnon, Ken
7
2005
Exact algorithm for concave knapsack problems: linear underestimation and partition method. Zbl 1093.90050
Sun, X. L.; Wang, F. L.; Li, D.
6
2005
Hidden convex minimization. Zbl 1090.90156
Li, Duan; Wu, Zhi-You; Joseph Lee, Heung-Wing; Yang, Xin-Min; Zhang, Lian-Sheng
4
2005
Probabilistic linearly constrained programming problems with lognormal random variables. Zbl 1160.90606
Biswal, M. P.; Sahoo, N. P.; Li, Duan
3
2005
Hidden abstract convex functions. Zbl 1081.26007
Rubinov, A. M.; Wu, Z. Y.; Li, D.
2
2005
Generalized nonlinear Lagrangian formulation for bounded integer programming. Zbl 1093.90079
Xu, Yifan; Liu, Chunli; Li, Duan
1
2005
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. Zbl 1366.91150
Zhu, Shu-Shang; Li, Duan; Wang, Shou-Yang
73
2004
A new filled function method for global optimization. Zbl 1061.90109
Zhang, Liansheng; Ng, Chikong; Li, Duan; Tian, Weiwen
60
2004
Convergence of the iterative Hammerstein system identification algorithm. Zbl 1365.93098
Bai, Er-Wei; Li, Duan
43
2004
On restart procedures for the conjugate gradient method. Zbl 1137.90669
Dai, Yu-Hong; Liao, Li-Zhi; Li, Duan
24
2004
Optimal single ordering policy with multiple delivery modes and Bayesian information updates. Zbl 1100.90501
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
15
2004
Optimal two-stage ordering policy with Bayesian information updating. Zbl 1095.90504
Choi, T.-M.; Li, D.; Yan, H.
22
2003
A globally and locally superlinearly convergent non-interior-point algorithm for \(P_{0}\) LCPs. Zbl 1039.90081
Zhao, Yun-Bin; Li, Duan
18
2003
...and 55 more Documents
all top 5

Cited by 2,599 Authors

86 Li, Duan
29 Forsyth, Peter A.
27 Li, Xun
26 Li, Zhongfei
26 Yang, Xinmin
22 Sun, Xiaoling
21 Chen, Zhiping
21 Cui, Xiangyu
19 Yao, Haixiang
18 Wong, Hoi Ying
17 Choi, Tsan-Ming
17 Zhang, Liansheng
17 Zheng, Xiaojin
15 Wu, Zhiyou
14 Biswal, Mahendra Prasad
14 Chen, Ping
14 Luo, Hezhi
14 Shang, Youlin
14 Shen, Yang
14 Teo, Kok Lay
14 Wang, Shouyang
14 Zeng, Yan
14 Zhao, Yunbin
14 Zhou, Xunyu
13 Yang, Xiaoqi
13 Yang, Yongjian
12 Shi, Yun
12 Waziri, Mohammed Yusuf
12 Wei, Jiaqin
12 Wu, Huixian
12 Xu, Yihong
11 Gao, Jianjun
11 Pun, Chi Seng
11 Zhu, Yuanguo
10 Chiu, Mei Choi
10 Dang, Duy Minh
10 Gómez, Andrés
10 Wu, Zhen
10 Zhao, Kequan
10 Zhu, Shushang
9 Bala Abubakar, Auwal
9 Bi, Junna
9 Costa, Oswaldo Luiz V.
9 Jiang, Rujun
9 Kumam, Poom
9 Li, Bo
9 Peng, Jianwen
9 Salahi, Maziar
9 Strub, Moris S.
9 Xu, Zuoquan
9 Zhang, Ying
9 Zhou, Jinchuan
8 Ahmed, Kabiru
8 Bai, Fusheng
8 Guo, Junyi
8 Jin, Hanqing
8 Jin, Zhuo
8 Li, Danping
8 Liang, Zhibin
8 Ling, Aifan
8 Liu, Jia
8 Pham Huu Sach
8 Qian, Fucai
8 Sabi’u, Jamilu
8 Van Staden, Pieter M.
8 Wang, Tianxiao
8 Wang, Weixiang
8 Xia, Yong
8 Yan, Wei
8 Zhang, Weiguo
8 Zhang, Yumo
7 Chen, Yuefen
7 Deng, Zhibin
7 Gao, Yuelin
7 He, Xuedong
7 Hu, Ying
7 Huang, Zheng-Hai
7 Lu, Cheng
7 Pham, Huyên
7 Shi, Xiaomin
7 Vetzal, Kenneth R.
7 Wu, Huiling
7 Xiu, Naihua
7 Yam, Sheung Chi Phillip
7 Yan, Tingjin
7 Yang, Hailiang
7 Yang, Peng
7 Zhang, Ling
7 Zhou, Zhiang
6 Alia, Ishak
6 Atamtürk, Alper
6 Bai, Erwei
6 Bai, Yanqin
6 Cui, Xueting
6 Fang, Shu-Cherng
6 Gu, Jiawen
6 Halilu, Abubakar Sani
6 Li, Shengjie
6 Li, Yuying
6 Liu, Sanyang
...and 2,499 more Authors
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Cited in 281 Serials

120 European Journal of Operational Research
77 Journal of Optimization Theory and Applications
77 Journal of Global Optimization
70 Journal of Industrial and Management Optimization
55 Automatica
55 Optimization
53 Insurance Mathematics & Economics
48 Journal of Computational and Applied Mathematics
44 Annals of Operations Research
39 Applied Mathematics and Computation
34 Computational Optimization and Applications
32 Mathematical Problems in Engineering
31 Mathematical Programming. Series A. Series B
27 Optimization Letters
26 Quantitative Finance
25 Mathematical Finance
24 International Journal of Control
23 Optimization Methods & Software
23 Journal of Inequalities and Applications
22 Applied Mathematics and Optimization
22 Operations Research Letters
22 SIAM Journal on Optimization
21 Computers & Operations Research
21 Journal of the Operations Research Society of China
20 Journal of Economic Dynamics & Control
20 SIAM Journal on Financial Mathematics
18 Numerical Algorithms
18 International Journal of Computer Mathematics
18 Mathematical Methods of Operations Research
18 Journal of Systems Science and Complexity
16 Abstract and Applied Analysis
16 International Journal of Theoretical and Applied Finance
15 SIAM Journal on Control and Optimization
14 Systems & Control Letters
13 Acta Mathematicae Applicatae Sinica. English Series
13 Communications in Statistics. Theory and Methods
12 Mathematics of Operations Research
12 Optimal Control Applications & Methods
12 Asia-Pacific Journal of Operational Research
12 Applied Mathematical Modelling
11 Journal of Mathematical Analysis and Applications
11 INFORMS Journal on Computing
10 International Transactions in Operational Research
9 Applied Numerical Mathematics
9 Discrete Dynamics in Nature and Society
9 RAIRO. Operations Research
9 Mathematical Control and Related Fields
8 Journal of the Franklin Institute
8 Soft Computing
8 Methodology and Computing in Applied Probability
7 International Journal of Systems Science
7 Information Sciences
7 Numerical Functional Analysis and Optimization
7 Operations Research
7 Opsearch
7 Computational and Applied Mathematics
7 Applied Mathematical Finance
7 Journal of Shanghai University
7 Applied Stochastic Models in Business and Industry
7 Journal of Applied Mathematics
6 Computers & Mathematics with Applications
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
6 Journal of Combinatorial Optimization
6 Journal of Applied Mathematics and Computing
6 Mathematics and Financial Economics
6 International Journal of Systems Science. Principles and Applications of Systems and Integration
5 Journal of Scientific Computing
5 The Annals of Applied Probability
5 International Journal of Robust and Nonlinear Control
5 Positivity
5 Optimization and Engineering
5 Stochastics
5 Science China. Mathematics
5 Asian Journal of Control
4 Physica A
4 Chaos, Solitons and Fractals
4 Fuzzy Sets and Systems
4 Kybernetika
4 Mathematical and Computer Modelling
4 The ANZIAM Journal
4 OR Spectrum
4 ASTIN Bulletin
4 IET Control Theory & Applications
4 EURO Journal on Computational Optimization
4 Journal of Function Spaces
4 Open Mathematics
3 Applicable Analysis
3 Mathematical Methods in the Applied Sciences
3 Calcolo
3 Theoretical Computer Science
3 Stochastic Analysis and Applications
3 SIAM Journal on Matrix Analysis and Applications
3 Neural Networks
3 Japan Journal of Industrial and Applied Mathematics
3 YUJOR. Yugoslav Journal of Operations Research
3 SIAM Journal on Scientific Computing
3 Applied Mathematics. Series B (English Edition)
3 Top
3 Complexity
...and 181 more Serials
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Cited in 43 Fields

1,054 Operations research, mathematical programming (90-XX)
744 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
373 Systems theory; control (93-XX)
268 Calculus of variations and optimal control; optimization (49-XX)
231 Numerical analysis (65-XX)
202 Probability theory and stochastic processes (60-XX)
80 Statistics (62-XX)
48 Real functions (26-XX)
38 Information and communication theory, circuits (94-XX)
36 Computer science (68-XX)
29 Linear and multilinear algebra; matrix theory (15-XX)
19 Partial differential equations (35-XX)
18 Convex and discrete geometry (52-XX)
15 Ordinary differential equations (34-XX)
14 Operator theory (47-XX)
9 Biology and other natural sciences (92-XX)
6 Functional analysis (46-XX)
6 Mechanics of deformable solids (74-XX)
5 Dynamical systems and ergodic theory (37-XX)
5 Integral equations (45-XX)
5 Differential geometry (53-XX)
4 General topology (54-XX)
4 Global analysis, analysis on manifolds (58-XX)
4 Fluid mechanics (76-XX)
4 Geophysics (86-XX)
2 History and biography (01-XX)
2 Combinatorics (05-XX)
2 Commutative algebra (13-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Difference and functional equations (39-XX)
2 Approximations and expansions (41-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Mathematics education (97-XX)
1 Mathematical logic and foundations (03-XX)
1 Field theory and polynomials (12-XX)
1 Group theory and generalizations (20-XX)
1 Topological groups, Lie groups (22-XX)
1 Measure and integration (28-XX)
1 Functions of a complex variable (30-XX)
1 Geometry (51-XX)
1 Manifolds and cell complexes (57-XX)
1 Mechanics of particles and systems (70-XX)
1 Quantum theory (81-XX)

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