Edit Profile (opens in new tab) Li, Duan (d. 2020) Co-Author Distance Author ID: li.duan Published as: Li, Duan; Li, D. External Links: MGP · ORCID · Wikidata · Google Scholar Documents Indexed: 189 Publications since 1987, including 1 Book and 1 Additional arXiv Preprint 5 Contributions as Editor Biographic References: 1 Publication Co-Authors: 95 Co-Authors with 173 Joint Publications 3,134 Co-Co-Authors 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 all top 5 Fields 150 Operations research, mathematical programming (90-XX) 48 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Systems theory; control (93-XX) 29 Calculus of variations and optimal control; optimization (49-XX) 15 Numerical analysis (65-XX) 5 General and overarching topics; collections (00-XX) 3 Statistics (62-XX) 3 Computer science (68-XX) 2 History and biography (01-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Real functions (26-XX) 2 Probability theory and stochastic processes (60-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 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. 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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. 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Series B (English Edition) 3 Top 3 Complexity ...and 181 more Serials all top 5 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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