Duan Li

According to our database1, Duan Li authored at least 115 papers between 1988 and 2019.

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Bibliography

2019
Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise.
IEEE Trans. Automat. Contr., 2019

Novel Reformulations and Efficient Algorithms for the Generalized Trust Region Subproblem.
SIAM Journal on Optimization, 2019

Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming.
J. Global Optimization, 2019

Information aggregation in a financial market with general signal structure.
J. Economic Theory, 2019

Quadratic convex reformulation for quadratic programming with linear on-off constraints.
European Journal of Operational Research, 2019

Semidefinite Programming Based Convex Relaxation for Nonconvex Quadratically Constrained Quadratic Programming.
Proceedings of the Optimization of Complex Systems: Theory, 2019

On Conic Relaxations of Generalization of the Extended Trust Region Subproblem.
Proceedings of the Optimization of Complex Systems: Theory, 2019

2018
SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices.
Math. Program., 2018

Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method.
INFORMS Journal on Computing, 2018

2017
Quadratic Convex Reformulations for Semicontinuous Quadratic Programming.
SIAM Journal on Optimization, 2017

Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time.
SIAM J. Control and Optimization, 2017

Time consistent behavioral portfolio policy for dynamic mean-variance formulation.
JORS, 2017

Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise.
CoRR, 2017

2016
Simultaneous Diagonalization of Matrices and Its Applications in Quadratically Constrained Quadratic Programming.
SIAM Journal on Optimization, 2016

Strong duality in optimization: shifted power reformulation.
Optimization Methods and Software, 2016

Mean-variance portfolio optimization with parameter sensitivity control.
Optimization Methods and Software, 2016

Dedicated to the memory of Professor Xiaoling Sun (1963-2014).
Optimization Methods and Software, 2016

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability.
European Journal of Operational Research, 2016

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time.
European Journal of Operational Research, 2016

2015
Classical mean-variance model revisited: pseudo efficiency.
JORS, 2015

Dynamic Trading with Reference Point Adaptation and Loss Aversion.
Operations Research, 2015

Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach.
Automatica, 2015

Behavioral Portfolio Optimization with Social Reference Point.
Proceedings of the Modelling, Computation and Optimization in Information Systems and Management Sciences - Proceedings of the 3rd International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences, 2015

2014
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection.
IEEE Trans. Automat. Contr., 2014

Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach.
INFORMS Journal on Computing, 2014

New reformulations for probabilistically constrained quadratic programs.
European Journal of Operational Research, 2014

Optimal multi-period mean-variance policy under no-shorting constraint.
European Journal of Operational Research, 2014

Test problem generator for unconstrained global optimization.
Computers & OR, 2014

Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach.
Comp. Opt. and Appl., 2014

2013
A note on semidefinite relaxation for 0-1 quadratic knapsack problems.
Optimization Methods and Software, 2013

Preface: Special issue of Journal of Global Optimization for the 8th international conference on optimization: techniques and applications.
J. Global Optimization, 2013

A polynomial case of the cardinality-constrained quadratic optimization problem.
J. Global Optimization, 2013

Optimal Cardinality Constrained Portfolio Selection.
Operations Research, 2013

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization.
European Journal of Operational Research, 2013

Tightening a copositive relaxation for standard quadratic optimization problems.
Comp. Opt. and Appl., 2013

2012
Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control.
IEEE Trans. Automat. Contr., 2012

Reweighted 1-Minimization for Sparse Solutions to Underdetermined Linear Systems.
SIAM Journal on Optimization, 2012

On reduction of duality gap in quadratic knapsack problems.
J. Global Optimization, 2012

On zero duality gap in nonconvex quadratic programming problems.
J. Global Optimization, 2012

On duality gap in binary quadratic programming.
J. Global Optimization, 2012

An exact solution method for unconstrained quadratic 0-1 programming: a geometric approach.
J. Global Optimization, 2012

Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs.
European Journal of Operational Research, 2012

Improved estimation of duality gap in binary quadratic programming using a weighted distance measure.
European Journal of Operational Research, 2012

Linear-quadratic switching control with switching cost.
Automatica, 2012

2011
Cardinality Constrained Linear-Quadratic Optimal Control.
IEEE Trans. Automat. Contr., 2011

On The Reduction of Duality Gap in Box Constrained Nonconvex Quadratic Program.
SIAM Journal on Optimization, 2011

Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation.
Math. Program., 2011

Nonconvex quadratically constrained quadratic programming: best D.C. decompositions and their SDP representations.
J. Global Optimization, 2011

Global descent methods for unconstrained global optimization.
J. Global Optimization, 2011

Reachability determination in acyclic Petri nets by cell enumeration approach.
Automatica, 2011

2010
Global Descent Method for Global Optimization.
SIAM Journal on Optimization, 2010

Duality Gap Estimation of Linear Equality Constrained Binary Quadratic Programming.
Math. Oper. Res., 2010

Adaptive robust tracking for uncertain system.
Proceedings of the 49th IEEE Conference on Decision and Control, 2010

2009
Price Wall or War: The Pricing Strategies for Retailers.
IEEE Trans. Systems, Man, and Cybernetics, Part A, 2009

Performance-First Control for Discrete-Time LQG Problems.
IEEE Trans. Automat. Contr., 2009

Unified theory of augmented Lagrangian methods for constrained global optimization.
J. Global Optimization, 2009

Convergent Lagrangian and domain cut method for nonlinear knapsack problems.
Comp. Opt. and Appl., 2009

On LQ control of discrete-time switched system with switching cost.
Proceedings of the European Control Conference, 2009

2008
Mean-Variance Analysis for the Newsvendor Problem.
IEEE Trans. Systems, Man, and Cybernetics, Part A, 2008

Mean-variance analysis of a single supplier and retailer supply chain under a returns policy.
European Journal of Operational Research, 2008

Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters.
Automatica, 2008

2007
Peeling Off a Nonconvex Cover of an Actual Convex Problem: Hidden Convexity.
SIAM Journal on Optimization, 2007

On the Convergence of Augmented Lagrangian Methods for Constrained Global Optimization.
SIAM Journal on Optimization, 2007

Discrete global descent method for discrete global optimization and nonlinear integer programming.
J. Global Optimization, 2007

Computing exact solution to nonlinear integer programming: Convergent Lagrangian and objective level cut method.
J. Global Optimization, 2007

Cardinality constrained linear-quadratic optimal control: Lower bounding scheme via scalar state space by semidefinite programming.
Proceedings of the 46th IEEE Conference on Decision and Control, 2007

2006
Constructing Generalized Mean Functions Using Convex Functions with Regularity Conditions.
SIAM Journal on Optimization, 2006

Convergent Lagrangian and Contour Cut Method for Nonlinear Integer Programming with a Quadratic Objective Function.
SIAM Journal on Optimization, 2006

An efficient algorithm for nonlinear integer programming problems arising in series-parallel reliability systems.
Optimization Methods and Software, 2006

Preface.
J. Global Optimization, 2006

Towards Strong Duality in Integer Programming.
J. Global Optimization, 2006

Quick response policy with Bayesian information updates.
European Journal of Operational Research, 2006

A New Path-Following Algorithm for Nonlinear P*Complementarity Problems.
Comp. Opt. and Appl., 2006

A Total Unimodularity Based Branch-and-Bound Method for Integer Programming.
Proceedings of the IEEE Asia Pacific Conference on Circuits and Systems 2006, 2006

2005
On Saddle Points of Augmented Lagrangians for Constrained Nonconvex Optimization.
SIAM Journal on Optimization, 2005

Generalized Nonlinear Lagrangian Formulation for Bounded Integer Programming.
J. Global Optimization, 2005

Exact Algorithm for Concave Knapsack Problems: Linear Underestimation and Partition Method.
J. Global Optimization, 2005

Hidden Convex Minimization.
J. Global Optimization, 2005

Special Issue of Journal of Global Optimization on Optimization Techniques and Applications.
J. Global Optimization, 2005

Discrete Filled Function Method for Discrete Global Optimization.
Comp. Opt. and Appl., 2005

An Exact Solution Method for Reliability Optimization in Complex Systems.
Annals OR, 2005

2004
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation.
IEEE Trans. Automat. Contr., 2004

Convergence of the iterative Hammerstein system identification algorithm.
IEEE Trans. Automat. Contr., 2004

On Restart Procedures for the Conjugate Gradient Method.
Numerical Algorithms, 2004

A New Filled Function Method for Global Optimization.
J. Global Optimization, 2004

Optimal single ordering policy with multiple delivery modes and Bayesian information updates.
Computers & OR, 2004

2003
A Globally and Locally Superlinearly Convergent Non--Interior-Point Algorithm for P[sub 0] LCPs.
SIAM Journal on Optimization, 2003

Optimal two-stage ordering policy with Bayesian information updating.
JORS, 2003

2002
Normal vector identification and interactive tradeoff analysis using minimax formulation in multiobjective optimization.
IEEE Trans. Systems, Man, and Cybernetics, Part A, 2002

Variance minimization approach for a class of dual control problems.
IEEE Trans. Automat. Contr., 2002

Locating the Least 2-Norm Solution of Linear Programs via a Path-Following Method.
SIAM Journal on Optimization, 2002

A nonlinear Lagrangian dual for integer programming.
Oper. Res. Lett., 2002

A Globally Convergent and Efficient Method for Unconstrained Discrete-Time Optimal Control.
J. Global Optimization, 2002

Adaptive differential dynamic programming for multiobjective optimal control.
Automatica, 2002

2001
Monotonicity of Fixed Point and Normal Mappings Associated with Variational Inequality and Its Application.
SIAM Journal on Optimization, 2001

Existence and Limiting Behavior of a Non--Interior-Point Trajectory for Nonlinear Complementarity Problems Without Strict Feasibility Condition.
SIAM J. Control and Optimization, 2001

Identification, ranking, and management of risks in a major system acquisition.
Rel. Eng. & Sys. Safety, 2001

On the relationship between the integer and continuous solutions of convex programs.
Oper. Res. Lett., 2001

On a New Homotopy Continuation Trajectory for Nonlinear Complementarity Problems.
Math. Oper. Res., 2001

A convexification method for a class of global optimization problems with applications to reliability optimization.
J. Global Optimization, 2001

Existence of a Saddle Point in Nonconvex Constrained Optimization.
J. Global Optimization, 2001

Convexification, Concavification and Monotonization in Global Optimization.
Annals OR, 2001

2000
Successive method for general multiple linear-quadratic control problem in discrete time.
IEEE Trans. Automat. Contr., 2000

Asymptotic Strong Duality for Bounded Integer Programming: A Logarithmic-Exponential Dual Formulation.
Math. Oper. Res., 2000

Successive Optimization Method via Parametric Monotone Composition Formulation.
J. Global Optimization, 2000

Success Guarantee of Dual Search in Integer Programming: p-th Power Lagrangian Method.
J. Global Optimization, 2000

pth Power Lagrangian Method for Integer Programming.
Annals OR, 2000

1999
Zero duality gap in integer programming: P-norm surrogate constraint method.
Oper. Res. Lett., 1999

Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization.
European Journal of Operational Research, 1999

1998
Probabilistic linear programming problems with exponential random variables: A technical note.
European Journal of Operational Research, 1998

Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem.
Proceedings of the Control of Distributed Parameter and Stochastic Systems, 1998

1997
Cost smoothing in discrete-time linear-quadratic control.
Automatica, 1997

1993
Hierarchical control for large-scale systems with general multiple linear-quadratic structure.
Automatica, 1993

1991
A hierarchical-multiobjective framework for risk management.
Automatica, 1991

1988
Hierarchical multiobjective analysis for large-scale systems: Review and current status.
Automatica, 1988


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