Duan Li

According to our database1, Duan Li authored at least 120 papers between 1988 and 2021.

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PhD thesis 


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Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties.
INFORMS J. Comput., 2021

A Linear-Time Algorithm for Generalized Trust Region Subproblems.
SIAM J. Optim., 2020

A note on monotone mean-variance preferences for continuous processes.
Oper. Res. Lett., 2020

Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment.
Oper. Res., 2020

A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem.
Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, 2020

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

Novel Reformulations and Efficient Algorithms for the Generalized Trust Region Subproblem.
SIAM J. Optim., 2019

Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming.
J. Glob. Optim., 2019

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

Quadratic convex reformulation for quadratic programming with linear on-off constraints.
Eur. J. Oper. Res., 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

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 J. Comput., 2018

Quadratic Convex Reformulations for Semicontinuous Quadratic Programming.
SIAM J. Optim., 2017

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

Time consistent behavioral portfolio policy for dynamic mean-variance formulation.
J. Oper. Res. Soc., 2017

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

Simultaneous Diagonalization of Matrices and Its Applications in Quadratically Constrained Quadratic Programming.
SIAM J. Optim., 2016

Strong duality in optimization: shifted power reformulation.
Optim. Methods Softw., 2016

Mean-variance portfolio optimization with parameter sensitivity control.
Optim. Methods Softw., 2016

Dedicated to the memory of Professor Xiaoling Sun (1963-2014).
Optim. Methods Softw., 2016

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability.
Eur. J. Oper. Res., 2016

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time.
Eur. J. Oper. Res., 2016

Classical mean-variance model revisited: pseudo efficiency.
J. Oper. Res. Soc., 2015

Dynamic Trading with Reference Point Adaptation and Loss Aversion.
Oper. Res., 2015

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

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

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

New reformulations for probabilistically constrained quadratic programs.
Eur. J. Oper. Res., 2014

Optimal multi-period mean-variance policy under no-shorting constraint.
Eur. J. Oper. Res., 2014

Test problem generator for unconstrained global optimization.
Comput. Oper. Res., 2014

Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach.
Comput. Optim. Appl., 2014

A note on semidefinite relaxation for 0-1 quadratic knapsack problems.
Optim. Methods Softw., 2013

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

A polynomial case of the cardinality-constrained quadratic optimization problem.
J. Glob. Optim., 2013

Optimal Cardinality Constrained Portfolio Selection.
Oper. Res., 2013

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization.
Eur. J. Oper. Res., 2013

Tightening a copositive relaxation for standard quadratic optimization problems.
Comput. Optim. Appl., 2013

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

Reweighted <sub>1</sub>-Minimization for Sparse Solutions to Underdetermined Linear Systems.
SIAM J. Optim., 2012

On reduction of duality gap in quadratic knapsack problems.
J. Glob. Optim., 2012

On zero duality gap in nonconvex quadratic programming problems.
J. Glob. Optim., 2012

On duality gap in binary quadratic programming.
J. Glob. Optim., 2012

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

Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs.
Eur. J. Oper. Res., 2012

Improved estimation of duality gap in binary quadratic programming using a weighted distance measure.
Eur. J. Oper. Res., 2012

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

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

On The Reduction of Duality Gap in Box Constrained Nonconvex Quadratic Program.
SIAM J. Optim., 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. Glob. Optim., 2011

Global descent methods for unconstrained global optimization.
J. Glob. Optim., 2011

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

Global Descent Method for Global Optimization.
SIAM J. Optim., 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

Price Wall or War: The Pricing Strategies for Retailers.
IEEE Trans. Syst. Man Cybern. Part A, 2009

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

Unified theory of augmented Lagrangian methods for constrained global optimization.
J. Glob. Optim., 2009

Convergent Lagrangian and domain cut method for nonlinear knapsack problems.
Comput. Optim. Appl., 2009

On LQ control of discrete-time switched system with switching cost.
Proceedings of the 10th European Control Conference, 2009

Mean-Variance Analysis for the Newsvendor Problem.
IEEE Trans. Syst. Man Cybern. Part A, 2008

Mean-variance analysis of a single supplier and retailer supply chain under a returns policy.
Eur. J. Oper. Res., 2008

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

Peeling Off a Nonconvex Cover of an Actual Convex Problem: Hidden Convexity.
SIAM J. Optim., 2007

On the Convergence of Augmented Lagrangian Methods for Constrained Global Optimization.
SIAM J. Optim., 2007

Discrete global descent method for discrete global optimization and nonlinear integer programming.
J. Glob. Optim., 2007

Computing exact solution to nonlinear integer programming: Convergent Lagrangian and objective level cut method.
J. Glob. Optim., 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

Constructing Generalized Mean Functions Using Convex Functions with Regularity Conditions.
SIAM J. Optim., 2006

Convergent Lagrangian and Contour Cut Method for Nonlinear Integer Programming with a Quadratic Objective Function.
SIAM J. Optim., 2006

An efficient algorithm for nonlinear integer programming problems arising in series-parallel reliability systems.
Optim. Methods Softw., 2006

J. Glob. Optim., 2006

Towards Strong Duality in Integer Programming.
J. Glob. Optim., 2006

Quick response policy with Bayesian information updates.
Eur. J. Oper. Res., 2006

A New Path-Following Algorithm for Nonlinear P*Complementarity Problems.
Comput. Optim. 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

On Saddle Points of Augmented Lagrangians for Constrained Nonconvex Optimization.
SIAM J. Optim., 2005

Generalized Nonlinear Lagrangian Formulation for Bounded Integer Programming.
J. Glob. Optim., 2005

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

Hidden Convex Minimization.
J. Glob. Optim., 2005

Special Issue of <i>Journal of Global Optimization</i> on Optimization Techniques and Applications.
J. Glob. Optim., 2005

Discrete Filled Function Method for Discrete Global Optimization.
Comput. Optim. Appl., 2005

An Exact Solution Method for Reliability Optimization in Complex Systems.
Ann. Oper. Res., 2005

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

Convergence of the iterative Hammerstein system identification algorithm.
IEEE Trans. Autom. Control., 2004

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

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

Optimal single ordering policy with multiple delivery modes and Bayesian information updates.
Comput. Oper. Res., 2004

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

Optimal two-stage ordering policy with Bayesian information updating.
J. Oper. Res. Soc., 2003

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

Variance minimization approach for a class of dual control problems.
IEEE Trans. Autom. Control., 2002

Locating the Least 2-Norm Solution of Linear Programs via a Path-Following Method.
SIAM J. Optim., 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. Glob. Optim., 2002

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

Monotonicity of Fixed Point and Normal Mappings Associated with Variational Inequality and Its Application.
SIAM J. Optim., 2001

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

Identification, ranking, and management of risks in a major system acquisition.
Reliab. Eng. Syst. Saf., 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. Glob. Optim., 2001

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

Convexification, Concavification and Monotonization in Global Optimization.
Ann. Oper. Res., 2001

Successive method for general multiple linear-quadratic control problem in discrete time.
IEEE Trans. Autom. Control., 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. Glob. Optim., 2000

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

pth Power Lagrangian Method for Integer Programming.
Ann. Oper. Res., 2000

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

Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization.
Eur. J. Oper. Res., 1999

Probabilistic linear programming problems with exponential random variables: A technical note.
Eur. J. Oper. Res., 1998

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

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

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

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

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