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Li, Duan

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Author ID: li.duan Recent zbMATH articles by "Li, Duan"
Published as: Li, Duan; Li, D.
Documents Indexed: 193 Publications since 1983, including 2 Books
all top 5

Co-Authors

9 single-authored
31 Sun, Xiaoling
16 Gao, Jianjun
14 Zheng, Xiaojin
12 Haimes, Yacov Y.
11 Cui, Xiangyu
10 Zhao, Yunbin
9 Jiang, Rujun
8 Zhang, Liansheng
8 Zhu, Shushang
7 Yang, Xinmin
6 Ng, Chikong
6 Wang, Shouyang
5 Biswal, Mahendra Prasad
5 Liao, Li-Zhi
5 Qian, Fucai
5 Shi, Yun
5 Wang, Jun
5 Wu, Zhiyou
5 Xia, Yong
4 Choi, Tsan-Ming
4 Liu, Chunli
4 Luo, Hezhi
4 McKinnon, Ken I. M.
4 Wu, Baiyi
4 Xu, Yifan
4 Yan, Houmin
3 Cui, Xueting
3 Fu, Peilin
3 Strub, Moris S.
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, Xun
2 Li, Zhongfei
2 Ng, Wan-Lung
2 Sheu, Ruey-Lin
2 Tian, Weiwen
2 Wu, Weiping
2 Yang, Xiaoqi
2 Yao, Jing
2 Zhou, Ke
1 Bai, Erwei
1 Bai, Yanqin
1 Baltagi, Badi H.
1 Biswal, N. P.
1 Boccuzzi, V.
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 Ghiasi, Z.
1 He, Meng-Fei
1 Hemeda, A. A.
1 Hsia, Yong
1 Huang, Xuexiang
1 Kiss, P.
1 Komperda, J.
1 Kong, Shanshan
1 Kuwana, M.
1 Li, Donghui
1 Li, Jianling
1 Li, Jianquan
1 Li, Yingjie
1 Liang, Jianfeng
1 Liu, Yanqun
1 Lou, Youcheng
1 Luh, Hsing Paul
1 Mashayek, Farzad
1 Men, Ke
1 Niu, Shufen
1 Palko, J.
1 Parsa, Sahar
1 Peng, Jiming
1 Peyvan, A.
1 Qi, Liqun
1 Ray, Debraj
1 Romei, Stéphane F.
1 Ruan, Ning
1 Rubinov, Alexander M.
1 Sahoo, N. P.
1 Schmidt, Christopher Wayne
1 Sheng, Hongbo
1 Shi, Ruizheng
1 Shinozuka, Masanobu
1 Sun, Xiaolin
1 Wang, Changyu
1 Wang, Guoqiang
1 Wang, Shouyanc
1 White, Douglas John
1 Xiong, Yan
1 Yamaki, T.
1 Yang, Yali
...and 5 more Co-Authors
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
6 Journal of Economic Dynamics & Control
5 Computational Optimization and Applications
5 Optimization Methods & Software
4 Journal of Mathematical Analysis and Applications
4 Operations Research Letters
4 Mathematical Finance
3 Mathematics of Operations Research
3 Operations Research
3 Optimization
3 Annals of Operations Research
3 INFORMS Journal on Computing
3 Journal of Industrial and Management Optimization
3 Journal of the Operations Research Society of China
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 Journal of Computational Physics
1 Journal of Fluid Mechanics
1 Applied Mathematics and Computation
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 International Journal of Production Research
1 IMA Journal of Mathematical Control and Information
1 Applied Mathematics Letters
1 Information and Decision Technology
1 Economics Letters
1 Numerical Algorithms
1 Journal of Dynamic Systems, Measurement and Control
1 Journal of Statistical Computation and Simulation
1 Dynamics of Continuous, Discrete and Impulsive Systems
1 Optimization and Engineering
1 Journal of Nonlinear and Convex Analysis
1 Control Theory & Applications
1 Journal of Beijing Institute of Technology
1 Pacific Journal of Optimization
1 International Series in Operations Research & Management Science
1 The Journal of Computational Finance
1 Numerical Algebra, Control and Optimization
1 Journal of Theoretical Biology
1 Operations Research Transactions
1 Nonlinear Analysis. Theory, Methods & Applications
1 IEEE Transactions on Circuits and Systems I: Regular Papers

Publications by Year

Citations contained in zbMATH Open

149 Publications have been cited 2,222 times in 1,316 Documents Cited by Year
Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Zbl 0998.91023
Zhou, X. Y.; Li, D.
307
2000
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
294
2000
Near-subconvexlikeness in vector optimization with set-valued functions. Zbl 1012.90061
Yang, X. M.; Li, D.; Wang, S. Y.
74
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
58
2004
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
56
2006
A new filled function method for global optimization. Zbl 1061.90109
Zhang, Liansheng; Ng, Chikong; Li, Duan; Tian, Weiwen
50
2004
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
48
2012
Zero duality gap for a class of nonconvex optimization problems. Zbl 0829.90109
Li, D.
43
1995
On properties of preinvex functions. Zbl 1016.90056
Yang, Xinmin; Li, Duan
39
2001
Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection. Zbl 1128.91028
Li, Duan; Sun, Xiaoling; Wang, Jun
38
2006
Monotonicity of fixed point and normal mappings associated with variational inequality and its application. Zbl 1010.90084
Zhao, Yun-Bin; Li, Duan
37
2001
Nonlinear integer programming. Zbl 1140.90042
Li, Duan; Sun, Xiaoling
36
2006
Reweighted \(\ell_1\)-minimization for sparse solutions to underdetermined linear systems. Zbl 1261.65042
Zhao, Yun-Bin; Li, Duan
34
2012
On saddle points of augmented Lagrangians for constrained nonconvex optimization. Zbl 1114.90099
Sun, X. L.; Li, D.; McKinnon, K. I. M.
34
2005
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
32
2014
Convergence of the iterative Hammerstein system identification algorithm. Zbl 1365.93098
Bai, Er-Wei; Li, Duan
32
2004
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
31
2008
Semistrictly preinvex functions. Zbl 0985.26007
Yang, Xin Min; Li, Duan
27
2001
Optimal cardinality constrained portfolio selection. Zbl 1273.91423
Gao, Jianjun; Li, Duan
25
2013
Safety-first dynamic portfolio selection. Zbl 0916.90023
Li, Duan; Chan, Tsz-Fung; Ng, Wan-Lung
24
1998
On the convergence of augmented Lagrangian methods for constrained global optimization. Zbl 1162.90019
Luo, H. Z.; Sun, X. L.; Li, D.
24
2007
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint. Zbl 1277.90001
Sun, Xiaoling; Zheng, Xiaojin; Li, Duan
20
2013
Discrete filled function method for discrete global optimization. Zbl 1114.90125
Ng, Chikong; Zhang, Liansheng; Li, Duan; Tian, Weiwen
20
2005
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
19
2014
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
18
2009
Towards strong duality in integer programming. Zbl 1097.90068
Li, D.; Sun, X. L.
18
2006
Nonconvex quadratically constrained quadratic programming: Best D.C. Decompositions and their SDP representations. Zbl 1254.90151
Zheng, X. J.; Sun, X. L.; Li, D.
18
2011
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
18
2014
A globally and locally superlinearly convergent non-interior-point algorithm for \(P_{0}\) LCPs. Zbl 1039.90081
Zhao, Yun-Bin; Li, Duan
17
2003
On restart procedures for the conjugate gradient method. Zbl 1137.90669
Dai, Yu-Hong; Liao, Li-Zhi; Li, Duan
16
2004
Optimal two-stage ordering policy with Bayesian information updating. Zbl 1095.90504
Choi, T.-M.; Li, D.; Yan, H.
16
2003
Unified theory of augmented Lagrangian methods for constrained global optimization. Zbl 1192.90149
Wang, Chang-Yu; Li, Duan
16
2009
Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method. Zbl 1052.90047
Li, D.; Sun, X. L.
16
2000
Runge-Kutta methods for the multi-pantograph delay equation. Zbl 1070.65060
Li, D.; Liu, M. Z.
15
2005
Convexification of a noninferior frontier. Zbl 0842.90102
Li, D.
15
1996
Probabilistic linear programming problems with exponential random variables: a technical note. Zbl 0970.90056
Biswal, M. P.; Biswal, N. P.; Li, Duan
15
1998
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.
14
2001
\(p\)th power Lagrangian method for integer programming. Zbl 0990.90075
Li, Duan; White, Douglas J.
14
2000
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.
14
2001
Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544
Yi, Lan; Li, Zhongfei; Li, Duan
14
2008
Optimal single ordering policy with multiple delivery modes and Bayesian information updates. Zbl 1100.90501
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
13
2004
On general multiple linear-quadratic control problems. Zbl 0790.93057
Li, Duan
13
1993
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
13
2011
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224
Yao, Haixiang; Li, Zhongfei; Li, Duan
12
2016
Existence of a saddle point in nonconvex constrained optimization. Zbl 1099.90590
Li, D.; Sun, X. L.
12
2001
Discrete global descent method for discrete global optimization and nonlinear integer programming. Zbl 1156.90006
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
12
2007
On a new homotopy continuation trajectory for nonlinear complementary problems. Zbl 1073.90560
Zhao, Yun-Bin; Li, Duan
12
2001
Quick response policy with Bayesian information updates. Zbl 1091.90005
Choi, Tsan-Ming (Jason); Li, Duan; Yan, Houmin
12
2006
Saddle point generation in nonlinear nonconvex optimization. Zbl 0911.90276
Li, Duan
12
1997
Local convexification of the Lagrangian function in nonconvex optimization. Zbl 0960.90070
Li, D.; Sun, X. L.
11
2000
Convexification, concavification and monotonization in global optimization. Zbl 0995.90091
Li, D.; Sun, X. L.; Biswal, M. P.; Gao, F.
11
2001
Asymptotic strong duality for bounded integer programming: A logarithmic-exponential dual formulation. Zbl 0977.90028
Sun, Xiaoling; Li, Duan
11
2000
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
11
2009
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach. Zbl 1302.90157
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Sun, Jie
10
2014
Zero duality gap in integer programming: \(P\)-norm surrogate constraint method. Zbl 0973.90051
Li, Duan
10
1999
Discrete-time behavioral portfolio selection under cumulative prospect theory. Zbl 1401.91524
Shi, Yun; Cui, Xiangyu; Li, Duan
9
2015
Strict feasibility conditions in nonlinear complementarity problems. Zbl 1168.90625
Zhao, Y. B.; Li, D.
9
2000
On zero duality gap in nonconvex quadratic programming problems. Zbl 1266.90151
Zheng, X. J.; Sun, X. L.; Li, D.; Xu, Y. F.
9
2012
Cardinality constrained linear-quadratic optimal control. Zbl 1368.90166
Gao, Jianjun; Li, Duan
9
2011
Simultaneous diagonalization of matrices and its applications in quadratically constrained quadratic programming. Zbl 1347.65107
Jiang, Rujun; Li, Duan
8
2016
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Zbl 1346.91204
Gao, Jianjun; Xiong, Yan; Li, Duan
8
2016
Hierarchical generating method for large-scale multiobjective systems. Zbl 0596.93005
Li, D.; Haimes, Y. Y.
8
1987
Optimality condition and branch and bound algorithm for constrained redundancy optimization in series systems. Zbl 1035.90087
Sun, Xiaoling; Li, Duan
8
2002
On duality gap in binary quadratic programming. Zbl 1278.90296
Sun, X. L.; Liu, C. L.; Li, D.; Gao, J. J.
8
2012
Hierarchical multiobjective analysis for large-scale systems: Review and current status. Zbl 0636.93003
Haimes, Yacov Y.; Li, Duan
8
1988
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
7
2018
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework. Zbl 1401.91043
Cui, Xiangyu; Li, Duan; Shi, Yun
7
2017
Computing exact solution to nonlinear integer programming: convergent Lagrangian and objective level cut method. Zbl 1151.90027
Li, D.; Wang, J.; Sun, X. L.
7
2007
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
7
2015
Portfolio selection with marginal risk control. Zbl 1284.91536
Zhu, Shushang; Li, Duan; Sun, Xiaoling
7
2010
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.
7
2006
On the minimax solution of multiple linear-quadratic problems. Zbl 0721.49034
Li, Duan
7
1990
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs. Zbl 1253.90182
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Cui, Xueting
7
2012
A polynomial case of the cardinality-constrained quadratic optimization problem. Zbl 1296.90085
Gao, Jianjun; Li, Duan
7
2013
A new path-following algorithm for nonlinear \(P_*\) complementarity problems. Zbl 1124.90041
Zhao, Y. B.; Li, D.
7
2006
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters. Zbl 1138.93413
Li, Duan; Qian, Fucai; Fu, Peilin
7
2008
Value-estimation function method for constrained global optimization. Zbl 0937.90085
Sun, X. L.; Li, D.
7
1999
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
Double-length regressions for the Box–Cox difference model with heteroskedasticity or autocorrelation. Zbl 0963.91072
Baltagi, B. H.; Li, D.
6
2000
Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization. Zbl 0998.90072
Li, Duan; Yang, Jian-Bo; Biswal, M. P.
6
1999
Dynamic trading with reference point adaptation and loss aversion. Zbl 1329.91126
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
6
2015
Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach. Zbl 1198.90299
Zheng, X. J.; Sun, X. L.; Li, D.
6
2010
Optimisation of traceability and operations planning: an integrated model for perishable food production. Zbl 1198.90044
Wang, X.; Li, D.; O’Brien, C.
6
2009
Linear-quadratic switching control with switching cost. Zbl 1244.49062
Gao, Jianjun; Li, Duan
6
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.
6
2012
Duality gap estimation of linear equality constrained binary quadratic programming. Zbl 1218.90129
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Xia, Yong
6
2010
Polynomially solvable cases of binary quadratic programs. Zbl 1231.90324
Li, Duan; Sun, Xiaoling; Gu, Shenshen; Gao, Jianjun; Liu, Chunli
6
2010
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time. Zbl 1414.91338
Gao, Jianjun; Zhou, Ke; Li, Duan; Cao, Xiren
5
2017
Existence and limiting behavior of a non–interior-point trajectory for nonlinear complementarity problems without strict feasibility condition. Zbl 0995.90090
Zhao, Yun-Bin; Li, Duan
5
2001
Dynamical analysis on a chronic hepatitis C virus infection model with immune response. Zbl 1314.92093
Li, Jianquan; Men, Ke; Yang, Yali; Li, Duan
5
2015
Multiple objective and non-separability in stochastic dynamic programming. Zbl 0717.90053
Li, Duan
5
1990
Iterative parametric dynamic programming and its application in reliability optimization. Zbl 0834.90135
Li, Duan
5
1995
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
New approach for nonseparable dynamic programming problems. Zbl 0666.90085
Li, D.; Haimes, Y. Y.
5
1990
Quadratic convex reformulations for semicontinuous quadratic programming. Zbl 1370.90156
Wu, Baiyi; Sun, Xiaoling; Li, Duan; Zheng, Xiaojin
5
2017
Disturbance decoupling by feedforward and preview control. Zbl 0512.93029
Imai, H.; Shinozuka, M.; Yamaki, T.; Li, D.; Kuwana, M.
4
1983
Exponential transformation in convexifying a noninferior frontier and exponential generating method. Zbl 0911.90291
Li, D.; Biswal, M. P.
4
1998
An exact solution method for reliability optimization in complex systems. Zbl 1119.90080
Li, Duan; Sun, Xiaoling; McKinnon, Ken
4
2005
Convergent Lagrangian and domain cut method for nonlinear knapsack problems. Zbl 1153.90555
Li, D.; Sun, X. L.; Wang, J.; McKinnon, K. I. M.
4
2009
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
4
2019
Complexity results and effective algorithms for worst-case linear optimization under uncertainties. Zbl 07362310
Luo, Hezhi; Ding, Xiaodong; Peng, Jiming; Jiang, Rujun; Li, Duan
1
2021
Failing to foresee the updating of the reference point leads to time-inconsistent investment. Zbl 1445.90046
Strub, Moris S.; Li, Duan
1
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
4
2019
Information aggregation in a financial market with general signal structure. Zbl 1422.91807
Lou, Youcheng; Parsa, Sahar; Ray, Debraj; Li, Duan; Wang, Shouyang
3
2019
Novel reformulations and efficient algorithms for the generalized trust region subproblem. Zbl 1421.90105
Jiang, Rujun; Li, Duan
3
2019
Explicit solution for constrained scalar-state stochastic linear-quadratic control with multiplicative noise. Zbl 07082427
Wu, Weiping; Gao, Jianjun; Li, Duan; Shi, Yun
2
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
7
2018
Portfolio optimization with nonparametric value at risk: a block coordinate descent method. Zbl 07277775
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; Li, Duan
1
2018
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework. Zbl 1401.91043
Cui, Xiangyu; Li, Duan; Shi, Yun
7
2017
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time. Zbl 1414.91338
Gao, Jianjun; Zhou, Ke; Li, Duan; Cao, Xiren
5
2017
Quadratic convex reformulations for semicontinuous quadratic programming. Zbl 1370.90156
Wu, Baiyi; Sun, Xiaoling; Li, Duan; Zheng, Xiaojin
5
2017
Dynamic mean-VaR portfolio selection in continuous time. Zbl 1402.91743
Zhou, Ke; Gao, Jiangjun; Li, Duan; Cui, Xiangyu
1
2017
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Zbl 1346.91224
Yao, Haixiang; Li, Zhongfei; Li, Duan
12
2016
Simultaneous diagonalization of matrices and its applications in quadratically constrained quadratic programming. Zbl 1347.65107
Jiang, Rujun; Li, Duan
8
2016
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Zbl 1346.91204
Gao, Jianjun; Xiong, Yan; Li, Duan
8
2016
Strong duality in optimization: shifted power reformulation. Zbl 1358.90151
Xia, Yong; Li, Duan
1
2016
Discrete-time behavioral portfolio selection under cumulative prospect theory. Zbl 1401.91524
Shi, Yun; Cui, Xiangyu; Li, Duan
9
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
7
2015
Dynamic trading with reference point adaptation and loss aversion. Zbl 1329.91126
Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
6
2015
Dynamical analysis on a chronic hepatitis C virus infection model with immune response. Zbl 1314.92093
Li, Jianquan; Men, Ke; Yang, Yali; Li, Duan
5
2015
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
32
2014
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
19
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
18
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
10
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
Optimal cardinality constrained portfolio selection. Zbl 1273.91423
Gao, Jianjun; Li, Duan
25
2013
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint. Zbl 1277.90001
Sun, Xiaoling; Zheng, Xiaojin; Li, Duan
20
2013
A polynomial case of the cardinality-constrained quadratic optimization problem. Zbl 1296.90085
Gao, Jianjun; Li, Duan
7
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
3
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
2
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
48
2012
Reweighted \(\ell_1\)-minimization for sparse solutions to underdetermined linear systems. Zbl 1261.65042
Zhao, Yun-Bin; Li, Duan
34
2012
On zero duality gap in nonconvex quadratic programming problems. Zbl 1266.90151
Zheng, X. J.; Sun, X. L.; Li, D.; Xu, Y. F.
9
2012
On duality gap in binary quadratic programming. Zbl 1278.90296
Sun, X. L.; Liu, C. L.; Li, D.; Gao, J. J.
8
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
7
2012
Linear-quadratic switching control with switching cost. Zbl 1244.49062
Gao, Jianjun; Li, Duan
6
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.
6
2012
Complete statistical characterization of discrete-time LQG and cumulant control. Zbl 1369.93723
Qian, Fucai; Gao, Jianjun; Li, Duan
3
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.
18
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
13
2011
Cardinality constrained linear-quadratic optimal control. Zbl 1368.90166
Gao, Jianjun; Li, Duan
9
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
Global descent methods for unconstrained global optimization. Zbl 1228.90089
Wu, Z. Y.; Li, D.; Zhang, L. S.
3
2011
Portfolio selection with marginal risk control. Zbl 1284.91536
Zhu, Shushang; Li, Duan; Sun, Xiaoling
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
Duality gap estimation of linear equality constrained binary quadratic programming. Zbl 1218.90129
Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Xia, Yong
6
2010
Polynomially solvable cases of binary quadratic programs. Zbl 1231.90324
Li, Duan; Sun, Xiaoling; Gu, Shenshen; Gao, Jianjun; Liu, Chunli
6
2010
Global descent method for global optimization. Zbl 1208.49038
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
4
2010
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
18
2009
Unified theory of augmented Lagrangian methods for constrained global optimization. Zbl 1192.90149
Wang, Chang-Yu; Li, Duan
16
2009
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
11
2009
Optimisation of traceability and operations planning: an integrated model for perishable food production. Zbl 1198.90044
Wang, X.; Li, D.; O’Brien, C.
6
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.
4
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
31
2008
Multi-period portfolio selection for asset-liability management with uncertain investment horizon. Zbl 1160.90544
Yi, Lan; Li, Zhongfei; Li, Duan
14
2008
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters. Zbl 1138.93413
Li, Duan; Qian, Fucai; Fu, Peilin
7
2008
Optioned portfolio selection: models and analysis. Zbl 1214.91101
Liang, Jianfeng; Zhang, Shuzhong; Li, Duan
3
2008
On the convergence of augmented Lagrangian methods for constrained global optimization. Zbl 1162.90019
Luo, H. Z.; Sun, X. L.; Li, D.
24
2007
Discrete global descent method for discrete global optimization and nonlinear integer programming. Zbl 1156.90006
Ng, Chi-Kong; Li, Duan; Zhang, Lian-Sheng
12
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.
7
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.
2
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
56
2006
Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection. Zbl 1128.91028
Li, Duan; Sun, Xiaoling; Wang, Jun
38
2006
Nonlinear integer programming. Zbl 1140.90042
Li, Duan; Sun, Xiaoling
36
2006
Towards strong duality in integer programming. Zbl 1097.90068
Li, D.; Sun, X. L.
18
2006
Quick response policy with Bayesian information updates. Zbl 1091.90005
Choi, Tsan-Ming (Jason); Li, Duan; Yan, Houmin
12
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.
7
2006
A new path-following algorithm for nonlinear \(P_*\) complementarity problems. Zbl 1124.90041
Zhao, Y. B.; Li, D.
7
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.
34
2005
Discrete filled function method for discrete global optimization. Zbl 1114.90125
Ng, Chikong; Zhang, Liansheng; Li, Duan; Tian, Weiwen
20
2005
Runge-Kutta methods for the multi-pantograph delay equation. Zbl 1070.65060
Li, D.; Liu, M. Z.
15
2005
An exact solution method for reliability optimization in complex systems. Zbl 1119.90080
Li, Duan; Sun, Xiaoling; McKinnon, Ken
4
2005
Probabilistic linearly constrained programming problems with lognormal random variables. Zbl 1160.90606
Biswal, M. P.; Sahoo, N. P.; Li, Duan
3
2005
Exact algorithm for concave knapsack problems: linear underestimation and partition method. Zbl 1093.90050
Sun, X. L.; Wang, F. L.; Li, D.
3
2005
Hidden convex minimization. Zbl 1090.90156
Li, Duan; Wu, Zhi-You; Joseph Lee, Heung-Wing; Yang, Xin-Min; Zhang, Lian-Sheng
2
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
58
2004
A new filled function method for global optimization. Zbl 1061.90109
Zhang, Liansheng; Ng, Chikong; Li, Duan; Tian, Weiwen
50
2004
Convergence of the iterative Hammerstein system identification algorithm. Zbl 1365.93098
Bai, Er-Wei; Li, Duan
32
2004
On restart procedures for the conjugate gradient method. Zbl 1137.90669
Dai, Yu-Hong; Liao, Li-Zhi; Li, Duan
16
2004
Optimal single ordering policy with multiple delivery modes and Bayesian information updates. Zbl 1100.90501
Choi, Tsan-Ming; Li, Duan; Yan, Houmin
13
2004
A globally and locally superlinearly convergent non-interior-point algorithm for \(P_{0}\) LCPs. Zbl 1039.90081
Zhao, Yun-Bin; Li, Duan
17
2003
Optimal two-stage ordering policy with Bayesian information updating. Zbl 1095.90504
Choi, T.-M.; Li, D.; Yan, H.
16
2003
Optimality condition and branch and bound algorithm for constrained redundancy optimization in series systems. Zbl 1035.90087
Sun, Xiaoling; Li, Duan
8
2002
Variance minimization approach for a class of dual control problems. Zbl 1364.49045
Li, Duan; Qian, Fucai; Fu, Peilin
3
2002
A globally convergent and efficient method for unconstrained discrete-time optimal control. Zbl 1026.90070
Ng, Chi Kong; Liao, Li-Zhi; Li, Duan
3
2002
Locating the least 2-norm solution of linear programs via a path-following method. Zbl 1035.90043
Zhao, Yun-Bin; Li, Duan
2
2002
A nonlinear Lagrangian dual for integer programming. Zbl 1013.90098
Xu, Yifan; Li, Duan
2
2002
Adaptive differential dynamic programming for multiobjective optimal control. Zbl 1109.49310
Liao, Lizhi; Li, Duan
1
2002
Near-subconvexlikeness in vector optimization with set-valued functions. Zbl 1012.90061
Yang, X. M.; Li, D.; Wang, S. Y.
74
2001
On properties of preinvex functions. Zbl 1016.90056
Yang, Xinmin; Li, Duan
39
2001
...and 49 more Documents
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Cited by 1,812 Authors

78 Li, Duan
24 Yang, Xinmin
23 Li, Zhongfei
22 Sun, Xiaoling
20 Li, Xun
19 Forsyth, Peter A.
17 Zhang, Liansheng
15 Chen, Zhiping
15 Zheng, Xiaojin
14 Biswal, Mahendra Prasad
14 Wu, Zhiyou
14 Yao, Haixiang
13 Chen, Ping
13 Choi, Tsan-Ming
13 Wang, Shouyang
13 Wong, Hoi Ying
13 Yang, Xiaoqi
13 Yang, Yongjian
12 Cui, Xiangyu
12 Zeng, Yan
11 Shang, Youlin
11 Shen, Yang
11 Teo, Kok Lay
10 Xu, Yihong
10 Zhao, Yunbin
9 Chiu, Mei Choi
9 Gao, Jianjun
9 Luo, Hezhi
8 Bai, Fusheng
8 Dang, Duy Minh
8 Ling, Aifan
8 Peng, Jianwen
8 Sach, Pham Huu
8 Wu, Huiling
8 Zhang, Weiguo
8 Zhao, Kequan
8 Zhou, Jinchuan
8 Zhu, Yuanguo
7 Bala Abubakar, Auwal
7 Bi, Junna
7 Jiang, Rujun
7 Liu, Jia
7 Lu, Cheng
7 Qian, Fucai
7 Salahi, Maziar
7 Wang, Weixiang
7 Wei, Jiaqin
7 Wu, Huixian
7 Yan, Wei
7 Zhou, Xunyu
7 Zhu, Shushang
6 Bai, Erwei
6 Costa, Oswaldo Luiz V.
6 Deng, Zhibin
6 Fang, Shu-Cherng
6 Guo, Junyi
6 Huang, Zheng-Hai
6 Jin, Hanqing
6 Jin, Zhuo
6 Kumam, Poom
6 Li, Danping
6 Liu, Yongjun
6 Pham, Huyên
6 Pun, Chi Seng
6 Wang, Changyu
6 Wang, Tianxiao
6 Xia, Yong
6 Yam, Sheung Chi Phillip
6 Yang, Hailiang
6 Zhang, Ling
6 Zhang, Liwei
6 Zhou, Zhi-Ang
5 Andrei, Neculai
5 Bai, Yanqin
5 Chen, Yuefen
5 Chiu, Chun-Hung
5 Cui, Xueting
5 Dokuchaev, Nikolai G.
5 Gao, Yuelin
5 Liang, Zhibin
5 Liu, Sanyang
5 Novo-Sanjurjo, Vicente
5 Obuchowska, Wiesława T.
5 Pan, Jian
5 Peng, Zhenhua
5 Vigna, Elena
5 Wu, Baiyi
5 Wu, Zhen
5 Xiu, Naihua
5 Yang, Peng
4 Ali, M. Montaz
4 Awwal, Aliyu Muhammed
4 Bai, Lihua
4 Bodnar, Taras
4 Gómez, Andrés
4 Gutiérrez, César
4 Hayek, Naïla
4 Huerga, Lidia
4 Ji, Shaolin
4 Kim, Do Sang
...and 1,712 more Authors
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Cited in 224 Serials

102 European Journal of Operational Research
68 Journal of Global Optimization
64 Journal of Optimization Theory and Applications
48 Automatica
46 Insurance Mathematics & Economics
42 Journal of Industrial and Management Optimization
39 Journal of Computational and Applied Mathematics
38 Optimization
33 Applied Mathematics and Computation
31 Annals of Operations Research
29 Computational Optimization and Applications
28 Mathematical Problems in Engineering
22 Optimization Letters
21 Mathematical Programming. Series A. Series B
18 Journal of Inequalities and Applications
17 Optimization Methods & Software
17 Mathematical Methods of Operations Research
17 Quantitative Finance
16 Operations Research Letters
16 SIAM Journal on Optimization
16 Abstract and Applied Analysis
15 International Journal of Control
15 Computers & Operations Research
15 Journal of Economic Dynamics & Control
14 Numerical Algorithms
13 Applied Mathematics and Optimization
13 Acta Mathematicae Applicatae Sinica. English Series
13 Journal of the Operations Research Society of China
12 International Journal of Computer Mathematics
12 International Journal of Theoretical and Applied Finance
12 Journal of Systems Science and Complexity
11 Journal of Mathematical Analysis and Applications
11 Mathematical Finance
10 SIAM Journal on Control and Optimization
10 Asia-Pacific Journal of Operational Research
9 Mathematics of Operations Research
9 Systems & Control Letters
9 Applied Mathematical Modelling
9 Discrete Dynamics in Nature and Society
9 SIAM Journal on Financial Mathematics
7 International Journal of Systems Science
7 Numerical Functional Analysis and Optimization
7 Opsearch
7 Soft Computing
7 Journal of Shanghai University
7 Journal of Applied Mathematics
6 Computers & Mathematics with Applications
6 Journal of the Franklin Institute
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
6 Applied Numerical Mathematics
5 Optimal Control Applications & Methods
5 Stochastics
5 Mathematics and Financial Economics
5 Science China. Mathematics
4 Fuzzy Sets and Systems
4 Information Sciences
4 Kybernetika
4 Mathematical and Computer Modelling
4 Computational and Applied Mathematics
4 Applied Mathematical Finance
4 INFORMS Journal on Computing
4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
4 Positivity
4 RAIRO. Operations Research
4 The ANZIAM Journal
3 Theoretical Computer Science
3 Stochastic Analysis and Applications
3 YUJOR. Yugoslav Journal of Operations Research
3 SIAM Journal on Scientific Computing
3 Applied Mathematics. Series B (English Edition)
3 Top
3 Finance and Stochastics
3 European Journal of Control
3 Journal of Combinatorial Optimization
3 Acta Mathematica Sinica. English Series
3 Optimization and Engineering
3 Scandinavian Actuarial Journal
3 Decisions in Economics and Finance
3 OR Spectrum
3 Discrete Optimization
3 Algorithms
3 Asian Journal of Control
3 Mathematical Control and Related Fields
3 Journal of Function Spaces
3 Open Mathematics
3 International Journal of Systems Science. Principles and Applications of Systems and Integration
3 Probability, Uncertainty and Quantitative Risk
2 Applicable Analysis
2 Discrete Applied Mathematics
2 Chaos, Solitons and Fractals
2 Calcolo
2 Numerische Mathematik
2 Operations Research
2 International Journal of Production Research
2 Applied Mathematics Letters
2 Neural Networks
2 Japan Journal of Industrial and Applied Mathematics
2 The Annals of Applied Probability
2 Random Operators and Stochastic Equations
2 Complexity
...and 124 more Serials
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Cited in 38 Fields

787 Operations research, mathematical programming (90-XX)
508 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
259 Systems theory; control (93-XX)
193 Calculus of variations and optimal control; optimization (49-XX)
162 Numerical analysis (65-XX)
137 Probability theory and stochastic processes (60-XX)
45 Statistics (62-XX)
35 Real functions (26-XX)
24 Computer science (68-XX)
18 Information and communication theory, circuits (94-XX)
15 Operator theory (47-XX)
14 Partial differential equations (35-XX)
14 Convex and discrete geometry (52-XX)
12 Linear and multilinear algebra; matrix theory (15-XX)
12 Biology and other natural sciences (92-XX)
8 Ordinary differential equations (34-XX)
5 Functional analysis (46-XX)
5 Global analysis, analysis on manifolds (58-XX)
5 Mechanics of deformable solids (74-XX)
4 Differential geometry (53-XX)
4 General topology (54-XX)
3 Fluid mechanics (76-XX)
3 Geophysics (86-XX)
3 Mathematics education (97-XX)
2 History and biography (01-XX)
2 Combinatorics (05-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Approximations and expansions (41-XX)
2 Integral equations (45-XX)
1 General and overarching topics; collections (00-XX)
1 Mathematical logic and foundations (03-XX)
1 Measure and integration (28-XX)
1 Functions of a complex variable (30-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Difference and functional equations (39-XX)
1 Geometry (51-XX)
1 Manifolds and cell complexes (57-XX)
1 Quantum theory (81-XX)

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