Prof. LI Duan (李端)

Research Output

  1. 2019
  2. E-pub ahead of print

    On Conic Relaxations of Generalization of the Extended Trust Region Subproblem

    Jiang, R. & Li, D., 15 Jun 2019, Optimization of Complex Systems: Theory, Models, Algorithms and Applications. Thi, H. A. L., Le, H. M. & Dinh, T. P. (eds.). Springer Nature Switzerland AG, p. 145-154 (Advances in Intelligent Systems and Computing; vol. 991).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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  3. E-pub ahead of print

    Semidefinite Programming Based Convex Relaxation for Nonconvex Quadratically Constrained Quadratic Programming

    Jiang, R. & Li, D., 15 Jun 2019, Optimization of Complex Systems: Theory, Models, Algorithms and Applications. Thi, H. A. L., Le, H. M. & Dinh, T. P. (eds.). Springer Nature Switzerland AG, p. 213-220 (Advances in Intelligent Systems and Computing; vol. 991).

    Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

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  4. E-pub ahead of print

    Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming

    Jiang, R. & Li, D., 5 Jun 2019, In : Journal of Global Optimization. 34 p.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  5. Published

    Quadratic convex reformulation for quadratic programming with linear on–off constraints

    Wu, B., Li, D. & Jiang, R., 1 May 2019, In : European Journal of Operational Research. 274, 3, p. 824-836

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  6. Published

    Explicit Solution for Constrained Scale-State Stochastic Linear-Quadratic Control with Multiplicative Noise

    Wu, W., Gao, J., Li, D. & Shi, Y., May 2019, In : IEEE Transactions on Automatic Control. 64, 5, p. 1999-2012

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  7. Published

    NOVEL REFORMULATIONS AND EFFICIENT ALGORITHMS FOR THE GENERALIZED TRUST REGION SUBPROBLEM

    JIANG, R. & LI, D., 2019, In : SIAM Journal on Optimization. 29, 2, p. 1603-1633

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  8. 2018
  9. Published

    Optimal order execution using hidden orders

    Chen, Y., Gao, X. & Li, D., Sep 2018, In : Journal of Economic Dynamics and Control. 94, p. 89-116

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  10. SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices

    Jiang, R., Li, D. & Wu, B., Jun 2018, In : Mathematical Programming. 169, 2, p. 531-563

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 3
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  11. Published

    集装箱拼箱中产品包装尺寸标准化问题研究

    支凯强, 王军 & 李端, May 2018, In : 标准科学. 2018年, 5, p. 105-109

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  12. Published

    Portfolio optimization with nonparametric value at risk: A block coordinate descent method

    Cui, X., Sun, X., Zhu, S., Jiang, R. & Li, D., 2018, In : INFORMS Journal on Computing. 30, 3, p. 454-471

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  13. 2017
  14. Time consistent behavioral portfolio policy for dynamic mean–variance formulation

    Cui, X., Li, X., Li, D. & Shi, Y., Dec 2017, In : Journal of the Operational Research Society. 68, 12, p. 1647-1660

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 6
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  15. Stochastic Control for Optimal Execution: Fast Approximation Solution Scheme Under Nested Mean-semi Deviation and Conditional Value at Risk

    He, M., Li, D. & Chen, Y., Jun 2017, In : Journal of the Operations Research Society of China. 5, 2, p. 161-176

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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  16. MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE

    Cui, X., Li, D. & Li, X., Apr 2017, In : Mathematical Finance. 27, 2, p. 471-504

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 20
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  17. Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework

    Cui, X., Li, D. & Shi, Y., Feb 2017, In : Journal of Economic Dynamics and Control. 75, p. 91-113

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 9
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  18. Dynamic mean-lpm and mean-cvar portfolio optimization in continuous-Time

    Gao, J., Zhou, K., Li, D. & Cao, X., 2017, In : SIAM Journal on Control and Optimization. 55, 3, p. 1377-1397

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 3
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  19. Dynamic mean–VaR portfolio selection in continuous time

    ZHOU, K., GAO, J., LI, D. & CUI, X., 2017, In : Quantitative Finance. 17, 10, p. 1631-1643

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 2
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  20. Quadratic convex reformulations for semicontinuous quadratic programming

    WU, B., SUN, X., LI, D. & ZHENG, X., 2017, In : SIAM Journal on Optimization. 27, 3, p. 1531-1553

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 1
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  21. 2016
  22. Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

    Yao, H., Li, Z. & Li, D., 1 Aug 2016, In : European Journal of Operational Research. 252, 3, p. 837-851

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 19
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  23. Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

    Gao, J., Xiong, Y. & Li, D., 1 Mar 2016, In : European Journal of Operational Research. 249, 2, p. 647-656

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

    Scopus citations: 9
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  24. Dedicated to the memory of Professor Xiaoling Sun (1963–2014)

    Li, D., Sun, J. & Teo, K. L., 2016, In : Optimization Methods and Software. 31, 4, p. 679-680

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)Editorial PrefaceNot applicable

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