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Authors whose works are in public domain in at least one jurisdiction

List of works by Duan Li

A Globally and Locally Superlinearly Convergent Non--Interior-Point Algorithm for P0LCPs

A New Filled Function Method for Global Optimization

article published in 2004

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

A convexification method for a class of global optimization problems with applications to reliability optimization

A decomposition method for optimization of large-system reliability

A hierarchical-multiobjective framework for risk management

A nonlinear Lagrangian dual for integer programming

A note on semidefinite relaxation for 0-1 quadratic knapsack problems

A polynomial case of the cardinality-constrained quadratic optimization problem

article by Jianjun Gao & Duan Li published 1 February 2012 in Journal of Global Optimization

A revised Taha's algorithm for polynomial 0-1 programming

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

article by Shushang Zhu et al published September 2015 in Journal of Computational Finance

ACTIVE DUAL CONTROL FOR LINEAR-QUADRATIC GAUSSIAN SYSTEM WITH UNKNOWN PARAMETERS

article published in 2002

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization

Adaptive differential dynamic programming for multiobjective optimal control

An Exact Solution Method for Reliability Optimization in Complex Systems

An efficient algorithm for nonlinear integer programming problems arising in series–parallel reliability systems

An exact algorithm for 0-1 polynomial knapsack problems

An exact algorithm for factor model in portfolio selection with roundlot constraints

An exact solution method for unconstrained quadratic 0–1 programming: a geometric approach

Approximating catastrophic risk through statistics of extremes

Asset and liability management under a continuous-time mean–variance optimization framework

Asset-Liability Management Under the Safety-First Principle

Asymptotic Strong Duality for Bounded Integer Programming: A Logarithmic-Exponential Dual Formulation

BETTER THAN DYNAMIC MEAN-VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

Behavior patterns of investment strategies under Roy’s safety-first principle

Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information

article published in 2013

Capacity Reliability of Water Distribution Networks and Optimum Rehabilitation Decision Making

Capacity reliability of water distribution networks

article published in 1993

Cardinality Constrained Linear-Quadratic Optimal Control

article by Jianjun Gao & Duan Li published August 2011 in IEEE Transactions on Automatic Control

Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control

Computing exact solution to nonlinear integer programming: Convergent Lagrangian and objective level cut method

Constructing Generalized Mean Functions Using Convex Functions with Regularity Conditions

Convergence of the Iterative Hammerstein System Identification Algorithm

article published in 2004

Convergent Lagrangian and Contour Cut Method for Nonlinear Integer Programming with a Quadratic Objective Function

Convergent Lagrangian and domain cut method for nonlinear knapsack problems

Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation

article by Xiao Jin Zheng et al published 7 June 2011 in Mathematical Programming

Convexification and existence of a saddle point in a pth-power reformulation for nonconvex constrained optimization

article by Duan Li & X.L. Sun published August 2001 in Nonlinear Analysis: Theory, Methods & Applications

Convexification of Nonsmooth Monotone Functions1

Convexification of a noninferior frontier

Cost smoothing in discrete-time linear-quadratic control

Decomposition Technique in Multiobjective Discrete-Time Dynamic Problems: The Envelope Approach

Dedicated to the memory of Professor Xiaoling Sun (1963–2014)

Discrete Filled Function Method for Discrete Global Optimization

Discrete global descent method for discrete global optimization and nonlinear integer programming

Discrete-time behavioral portfolio selection under cumulative prospect theory

scholarly article by Yun Shi et al published December 2015 in Journal of Economic Dynamics and Control

Distance confined path problem and separable integer programming

Distribution Analyzer and Risk Evaluator (DARE) Using Fault Trees

Duality Gap Estimation of Linear Equality Constrained Binary Quadratic Programming

article by Xiaojin Zheng et al published November 2010 in Mathematics of Operations Research

Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time

Dynamic Trading with Reference Point Adaptation and Loss Aversion

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

Dynamic mean–VaR portfolio selection in continuous time

Editorial

Evaluating Risk of Extreme Events for Univariate‐Loss Functions

Exact Algorithm for Concave Knapsack Problems: Linear Underestimation and Partition Method

Exactness Conditions for Semidefinite Programming Relaxations of Generalization of the Extended Trust Region Subproblem

scientific article published in 2022

Existence and Limiting Behavior of a Non--Interior-Point Trajectory for Nonlinear Complementarity Problems Without Strict Feasibility Condition

article by Yun-Bin Zhao & Duan Li published January 2001 in SIAM Journal on Control and Optimization

Existence of a Saddle Point in Nonconvex Constrained Optimization

article by Duan Li & X. L. Sun published 2001 in Journal of Global Optimization

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

article by Weiping Wu et al published 2018 in IEEE Transactions on Automatic Control

Exponential Transformation in Convexifying a Noninferior Frontier and Exponential Generating Method

Extension of dynamic programming to nonseparable dynamic optimization problems

Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach

article by Shushang Zhu et al published December 2011 in The Journal of Risk

GUARANTEED PERFORMANCE CONTROL FOR DISCRETE-TIME LQG PROBLEMS

Generalized Nonlinear Lagrangian Formulation for Bounded Integer Programming

Global Descent Method for Global Optimization

Global descent methods for unconstrained global optimization

Hidden Convex Minimization

Hierarchical control for large-scale systems with general multiple linear-quadratic structure

Hierarchical generating method for large-scale multiobjective systems

Hierarchical multiobjective analysis for large-scale systems: Review and current status

article

Identification, ranking, and management of risks in a major system acquisition

Improved estimation of duality gap in binary quadratic programming using a weighted distance measure

Improvement of Highway Safety I: Identification of Causal Factors Through Fault-Tree Modeling1

Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach

article published in 2014

Iterative Parametric Dynamic Programming and Its Application in Reliability Optimization

Iterative Parametric Minimax Method for a Class of Composite Optimization Problems

Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs

article by Xiaojin Zheng et al published August 2012 in European Journal of Operational Research

Linear–quadratic switching control with switching cost

Local Convexification of the Lagrangian Function in Nonconvex Optimization

Locating the Least 2-Norm Solution of Linear Programs via a Path-Following Method

article by Yun-Bin Zhao & Duan Li published January 2002 in SIAM Journal on Optimization

Logarithmic-exponential penalty formulation for integer programming

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

article by Xiangyu Cui et al published 19 June 2015 in Mathematical Finance

Mean–Variance Analysis for the Newsvendor Problem

article

Mean–variance analysis of a single supplier and retailer supply chain under a returns policy

article

Mean–variance portfolio optimization with parameter sensitivity control†

Monotonicity of Fixed Point and Normal Mappings Associated with Variational Inequality and Its Application

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

Multi-period portfolio selection for asset-liability management with uncertain investment horizon

Multilevel dynamic programming for general multiple linear-quadratic control in discrete-time systems

Multilevel methodology for a class of non-separable optimization problems

article

Multiobjective Decision-Tree Analysis in Industrial Systems

Multiobjective Decision-Tree Analysis1

Multiobjective Methodology for Highway Safety Resource Allocation

Multiple objectives and non-separability in stochastic dynamic programming

Near-Subconvexlikeness in Vector Optimization with Set-Valued Functions

New approach for nonseparable dynamic programming problems

New reformulations for probabilistically constrained quadratic programs

article by Yong Hsia et al published March 2014 in European Journal of Operational Research

Nonconvex quadratically constrained quadratic programming: best D.C. decompositions and their SDP representations

article by X. J. Zheng et al published 11 December 2010 in Journal of Global Optimization

Nonlinear portfolio selection using approximate parametric Value-at-Risk

article published in 2013

Normal vector identification and interactive tradeoff analysis using minimax formulation in multiobjective optimization

article

OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN-VARIANCE FORMULATION FOR PORTFOLIO SELECTION

article by Duan Li et al published January 2006 in Mathematical Finance

OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS

On KKT Points of Homogeneous Programs

On Properties of Preinvex Functions

On Restart Procedures for the Conjugate Gradient Method

On Saddle Points of Augmented Lagrangians for Constrained Nonconvex Optimization

article by X. L. Sun et al published January 2005 in SIAM Journal on Optimization

On The Reduction of Duality Gap in Box Constrained Nonconvex Quadratic Program

article by Yong Xia et al published July 2011 in SIAM Journal on Optimization

On a New Homotopy Continuation Trajectory for Nonlinear Complementarity Problems

On duality gap in binary quadratic programming

On general multiple linear-quadratic control problems

On reduction of duality gap in quadratic knapsack problems

On the Convergence of Augmented Lagrangian Methods for Constrained Global Optimization

article by H. Z. Luo et al published January 2008 in SIAM Journal on Optimization

On the characteristics of extreme values for series systems

On the minimax solution of multiple linear-quadratic problems

On the relationship between the integer and continuous solutions of convex programs

On zero duality gap in nonconvex quadratic programming problems

article published in 2011

Optimal Cardinality Constrained Portfolio Selection

scientific article

Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

Optimal maintenance-related decision making for deteriorating water distribution systems: 1. Semi-Markovian Model for a water main

article

Optimal maintenance-related decision making for deteriorating water distribution systems: 2. Multilevel decomposition approach

Optimal multi-period mean–variance policy under no-shorting constraint

Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters

Optimal order execution using hidden orders

scholarly article by Yuanyuan Chen et al published September 2018 in Journal of Economic Dynamics and Control

Optimal returns policy for supply chain with e-marketplace

scholarly article by Tsan-Ming Choi et al published March 2004 in International Journal of Production Economics

Optimal single ordering policy with multiple delivery modes and Bayesian information updates

Optimal two-stage ordering policy with Bayesian information updating

Peeling Off a Nonconvex Cover of an Actual Convex Problem: Hidden Convexity

Performance-First Control for Discrete-Time LQG Problems

Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method

Portfolio management with robustness in both prediction and decision: A mixture model based learning approach

scholarly article by Shushang Zhu et al published November 2014 in Journal of Economic Dynamics and Control

Preface

Preface

Preface

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

Price Wall or War: The Pricing Strategies for Retailers

Probabilistic linear programming problems with exponential random variables: A technical note

Prospect theory and trading patterns

Quadratic Convex Reformulations for Semicontinuous Quadratic Programming

Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization

Quick response policy with Bayesian information updates

article

RISK OF EXTREME EVENTS IN A MULTIOBJECTIVE FRAMEWORK

Reachability determination in acyclic Petri nets by cell enumeration approach

article published in 2011

Recent Advances in Mathematical Programming with Semi-continuous Variables and Cardinality Constraint

Reweighted $\ell_1$-Minimization for Sparse Solutions to Underdetermined Linear Systems

Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

Robust portfolio selection under downside risk measures

scientific article

Roy's safety-first portfolio principle in financial risk management of disastrous events.

scientific article published on 10 February 2012

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

article by Rujun Jiang et al published 18 April 2017 in Mathematical Programming

Saddle point generation in nonlinear nonconvex optimization

Selection of Probability Distributions in Characterizing Risk of Extreme Events

Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework

scholarly article by Xiangyu Cui et al published February 2017 in Journal of Economic Dynamics and Control

Semistrictly Preinvex Functions

article published in 2001

Separable Relaxation for Nonconvex Quadratic Integer Programming: Integer Diagonalization Approach

Simultaneous Diagonalization of Matrices and Its Applications in Quadratically Constrained Quadratic Programming

article by Rujun Jiang & Duan Li published January 2016 in SIAM Journal on Optimization

Special Issue of Journal of Global Optimization on Optimization Techniques and Applications

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

Strict Feasibility Conditions in Nonlinear Complementarity Problems

Strong duality in optimization: shifted power reformulation

Success Guarantee of Dual Search in Integer Programming: p-th Power Lagrangian Method

scientific article from 2000 published in Journal of Global Optimization

Successive Optimization Method via Parametric Monotone Composition Formulation

Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach

article by Xiaojin Zheng et al published 9 July 2013 in Computational Optimization and Applications

Successive method for general multiple linear-quadratic control problem in discrete time

Test problem generator for unconstrained global optimization

The envelope approach for multiobjeetive optimization problems

The impact of improved vehicle design on highway safety

The reliability of water distribution systems

Tightening a copositive relaxation for standard quadratic optimization problems

scientific article

Time Consistency Issue in Multi-Objective Optimization

Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach

article

Time consistent behavioral portfolio policy for dynamic mean–variance formulation

Towards Strong Duality in Integer Programming

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

Unified theory of augmented Lagrangian methods for constrained global optimization

article by Chang-Yu Wang & Duan Li published 17 September 2008 in Journal of Global Optimization

Value Estimation Approach to the Iri-Imai Method for Constrained Convex Optimization

article by S. Lam et al published June 2005 in Journal of Optimization Theory and Applications

Value-Estimation Function Method for Constrained Global Optimization

article by X. L. Sun & Duan Li published August 1999 in Journal of Optimization Theory and Applications

Variance minimization approach for a class of dual control problems

Zero duality gap for a class of nonconvex optimization problems

Zero duality gap in integer programming: P-norm surrogate constraint method

pth Power Lagrangian Method for Integer Programming

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