Duan Li

ORCID

Publication Activity (10 Years)

Years Active: 1988-2024
Publications (10 Years): 30

Top Venues

Publications

Jiali Ma, Shushang Zhu, Duan Li
Measuring Financial Systemic Risk: Net Liability Clearing Mechanism and Contagion Effect. J. Syst. Sci. Complex. 37 (3) (2024)
Yun Shi, Duan Li, Xiangyu Cui
Time consistent in efficiency dynamic mean-variance policy. J. Oper. Res. Soc. 74 (1) (2023)
Rujun Jiang, Duan Li
Exactness Conditions for Semidefinite Programming Relaxations of Generalization of the Extended Trust Region Subproblem. Math. Oper. Res. 48 (3) (2023)
Xiangyu Cui, Duan Li, Yun Shi, Mingjia Zhu
Hybrid strategy in multiperiod mean-variance framework. Optim. Lett. 17 (2) (2023)
Bojun Lu, Duan Li, Rujun Jiang
Tackling A Class of Hard Subset-Sum Problems: Integration of Lattice Attacks with Disaggregation Techniques. CoRR (2022)
Man-Fai Leung, Jun Wang, Duan Li
Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems. IEEE Trans. Cybern. 52 (12) (2022)
Hezhi Luo, Xiaodong Ding, Jiming Peng, Rujun Jiang, Duan Li
Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties. INFORMS J. Comput. 33 (1) (2021)
Moris S. Strub, Duan Li
Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment. Oper. Res. 68 (1) (2020)
Rujun Jiang, Duan Li
A Linear-Time Algorithm for Generalized Trust Region Subproblems. SIAM J. Optim. 30 (1) (2020)
Xin Huang, Duan Li
A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem. IJCAI (2020)
Moris S. Strub, Duan Li
A note on monotone mean-variance preferences for continuous processes. Oper. Res. Lett. 48 (4) (2020)
Weiping Wu, Jianjun Gao, Duan Li, Yun Shi
Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise. IEEE Trans. Autom. Control. 64 (5) (2019)
Youcheng Lou, Sahar Parsa, Debraj Ray, Duan Li, Shouyang Wang
Information aggregation in a financial market with general signal structure. J. Econ. Theory 183 (2019)
Rujun Jiang, Duan Li
Semidefinite Programming Based Convex Relaxation for Nonconvex Quadratically Constrained Quadratic Programming. WCGO (2019)
Baiyi Wu, Duan Li, Rujun Jiang
Quadratic convex reformulation for quadratic programming with linear on-off constraints. Eur. J. Oper. Res. 274 (3) (2019)
Rujun Jiang, Duan Li
On Conic Relaxations of Generalization of the Extended Trust Region Subproblem. WCGO (2019)
Rujun Jiang, Duan Li
Novel Reformulations and Efficient Algorithms for the Generalized Trust Region Subproblem. SIAM J. Optim. 29 (2) (2019)
Rujun Jiang, Duan Li
Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming. J. Glob. Optim. 75 (2) (2019)
Rujun Jiang, Duan Li, Baiyi Wu
SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices. Math. Program. 169 (2) (2018)
Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS J. Comput. 30 (3) (2018)
Xiangyu Cui, Xun Li, Duan Li, Yun Shi
Time consistent behavioral portfolio policy for dynamic mean-variance formulation. J. Oper. Res. Soc. 68 (12) (2017)
Baiyi Wu, Xiaoling Sun, Duan Li, Xiaojin Zheng
Quadratic Convex Reformulations for Semicontinuous Quadratic Programming. SIAM J. Optim. 27 (3) (2017)
Weipin Wu, Jianjun Gao, Duan Li, Yun Shi
Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise. CoRR (2017)
Jianjun Gao, Ke Zhou, Duan Li, Xi-Ren Cao
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time. SIAM J. Control. Optim. 55 (3) (2017)
Jianjun Gao, Yan Xiong, Duan Li
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Eur. J. Oper. Res. 249 (2) (2016)
Haixiang Yao, Zhongfei Li, Duan Li
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. Eur. J. Oper. Res. 252 (3) (2016)
Xueting Cui, Shushang Zhu, Duan Li, Jie Sun
Mean-variance portfolio optimization with parameter sensitivity control. Optim. Methods Softw. 31 (4) (2016)
Yong Xia, Duan Li
Strong duality in optimization: shifted power reformulation. Optim. Methods Softw. 31 (4) (2016)
Duan Li, Jie Sun, Kok Lay Teo
Dedicated to the memory of Professor Xiaoling Sun (1963-2014). Optim. Methods Softw. 31 (4) (2016)
Rujun Jiang, Duan Li
Simultaneous Diagonalization of Matrices and Its Applications in Quadratically Constrained Quadratic Programming. SIAM J. Optim. 26 (3) (2016)
Yun Shi, Duan Li, Xiangyu Cui
Behavioral Portfolio Optimization with Social Reference Point. MCO (1) (2015)
Xiangyu Cui, Duan Li, Jiaan Yan
Classical mean-variance model revisited: pseudo efficiency. J. Oper. Res. Soc. 66 (10) (2015)
Jianjun Gao, Duan Li, Xiangyu Cui, Shouyang Wang
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach. Autom. 54 (2015)
Yun Shi, Xiangyu Cui, Jing Yao, Duan Li
Dynamic Trading with Reference Point Adaptation and Loss Aversion. Oper. Res. 63 (4) (2015)
Xiangyu Cui, Xun Li, Duan Li
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 59 (7) (2014)
Xiaojin Zheng, Xiaoling Sun, Duan Li, Jie Sun
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach. Comput. Optim. Appl. 59 (1-2) (2014)
Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li
Optimal multi-period mean-variance policy under no-shorting constraint. Eur. J. Oper. Res. 234 (2) (2014)
Yong Hsia, Baiyi Wu, Duan Li
New reformulations for probabilistically constrained quadratic programs. Eur. J. Oper. Res. 233 (3) (2014)
Xiaojin Zheng, Xiaoling Sun, Duan Li
Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach. INFORMS J. Comput. 26 (4) (2014)
Chi-Kong Ng, Duan Li
Test problem generator for unconstrained global optimization. Comput. Oper. Res. 51 (2014)
Xiaoling Sun, Duan Li, Shuzhong Zhang
Preface: Special issue of Journal of Global Optimization for the 8th international conference on optimization: techniques and applications. J. Glob. Optim. 56 (4) (2013)
Jianjun Gao, Duan Li
Optimal Cardinality Constrained Portfolio Selection. Oper. Res. 61 (3) (2013)
Yingjie Li, Shushang Zhu, Donghui Li, Duan Li
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization. Eur. J. Oper. Res. 228 (3) (2013)
Yong Xia, Ruey-Lin Sheu, Xiaoling Sun, Duan Li
Tightening a copositive relaxation for standard quadratic optimization problems. Comput. Optim. Appl. 55 (2) (2013)
Jianjun Gao, Duan Li
A polynomial case of the cardinality-constrained quadratic optimization problem. J. Glob. Optim. 56 (4) (2013)
Xiaojin Zheng, Xiaoling Sun, Duan Li
A note on semidefinite relaxation for 0-1 quadratic knapsack problems. Optim. Methods Softw. 28 (4) (2013)
Xiaojin Zheng, Xiaoling Sun, Duan Li, Yifan Xu
On zero duality gap in nonconvex quadratic programming problems. J. Glob. Optim. 52 (2) (2012)
Yong Xia, Ruey-Lin Sheu, Xiaoling Sun, Duan Li
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure. Eur. J. Oper. Res. 218 (2) (2012)
Duan Li, X. L. Sun, Chunli Liu
An exact solution method for unconstrained quadratic 0-1 programming: a geometric approach. J. Glob. Optim. 52 (4) (2012)
Fucai Qian, Jianjun Gao, Duan Li
Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control. IEEE Trans. Autom. Control. 57 (8) (2012)
Xiaojin Zheng, Xiaoling Sun, Duan Li, Yifan Xu
On reduction of duality gap in quadratic knapsack problems. J. Glob. Optim. 54 (2) (2012)
Yun-Bin Zhao, Duan Li
-Minimization for Sparse Solutions to Underdetermined Linear Systems. SIAM J. Optim. 22 (3) (2012)
Xiaoling Sun, Chunli Liu, Duan Li, Jianjun Gao
On duality gap in binary quadratic programming. J. Glob. Optim. 53 (2) (2012)
Xiaojin Zheng, Xiaoling Sun, Duan Li, Xueting Cui
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs. Eur. J. Oper. Res. 221 (1) (2012)
Jianjun Gao, Duan Li
Linear-quadratic switching control with switching cost. Autom. 48 (6) (2012)
Duan Li, Xiaoling Sun, Jianjun Gao, Shenshen Gu, Xiaojin Zheng
Reachability determination in acyclic Petri nets by cell enumeration approach. Autom. 47 (9) (2011)
Jianjun Gao, Duan Li
Cardinality Constrained Linear-Quadratic Optimal Control. IEEE Trans. Autom. Control. 56 (8) (2011)
Xiaojin Zheng, Xiaoling Sun, Duan Li
Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation. Math. Program. 129 (2) (2011)
Yong Xia, Xiaoling Sun, Duan Li, Xiaojin Zheng
On The Reduction of Duality Gap in Box Constrained Nonconvex Quadratic Program. SIAM J. Optim. 21 (3) (2011)
Zhi-You Wu, Duan Li, Lian-Sheng Zhang
Global descent methods for unconstrained global optimization. J. Glob. Optim. 50 (3) (2011)
Xiaojin Zheng, Xiaoling Sun, Duan Li
Nonconvex quadratically constrained quadratic programming: best D.C. decompositions and their SDP representations. J. Glob. Optim. 50 (4) (2011)
Xiaojin Zheng, Xiaoling Sun, Duan Li, Yong Xia
Duality Gap Estimation of Linear Equality Constrained Binary Quadratic Programming. Math. Oper. Res. 35 (4) (2010)
Fucai Qian, Jianjun Gao, Duan Li
Adaptive robust tracking for uncertain system. CDC (2010)
Chi-Kong Ng, Duan Li, Lian-Sheng Zhang
Global Descent Method for Global Optimization. SIAM J. Optim. 20 (6) (2010)
Duan Li, Xiaoling Sun, J. Wang, K. I. M. McKinnon
Convergent Lagrangian and domain cut method for nonlinear knapsack problems. Comput. Optim. Appl. 42 (1) (2009)
Chun-Hung Chiu, Tsan-Ming Choi, Duan Li
Price Wall or War: The Pricing Strategies for Retailers. IEEE Trans. Syst. Man Cybern. Part A 39 (2) (2009)
Duan Li, Fucai Qian, Jianjun Gao
Performance-First Control for Discrete-Time LQG Problems. IEEE Trans. Autom. Control. 54 (9) (2009)
Jianjun Gao, Duan Li
On LQ control of discrete-time switched system with switching cost. ECC (2009)
Changyu Wang, Duan Li
Unified theory of augmented Lagrangian methods for constrained global optimization. J. Glob. Optim. 44 (3) (2009)
Tsan-Ming Choi, Duan Li, Houmin Yan
Mean-Variance Analysis for the Newsvendor Problem. IEEE Trans. Syst. Man Cybern. Part A 38 (5) (2008)
Duan Li, Fucai Qian, Peilin Fu
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters. Autom. 44 (1) (2008)
Tsan-Ming Choi, Duan Li, Houmin Yan
Mean-variance analysis of a single supplier and retailer supply chain under a returns policy. Eur. J. Oper. Res. 184 (1) (2008)
Chi-Kong Ng, Duan Li, Lian-Sheng Zhang
Discrete global descent method for discrete global optimization and nonlinear integer programming. J. Glob. Optim. 37 (3) (2007)
Zhi-You Wu, Duan Li, Lian-Sheng Zhang, Xinmin Yang
Peeling Off a Nonconvex Cover of an Actual Convex Problem: Hidden Convexity. SIAM J. Optim. 18 (2) (2007)
Jianjun Gao, Duan Li
Cardinality constrained linear-quadratic optimal control: Lower bounding scheme via scalar state space by semidefinite programming. CDC (2007)
H. Z. Luo, Xiaoling Sun, Duan Li
On the Convergence of Augmented Lagrangian Methods for Constrained Global Optimization. SIAM J. Optim. 18 (4) (2007)
Duan Li, J. Wang, Xiaoling Sun
Computing exact solution to nonlinear integer programming: Convergent Lagrangian and objective level cut method. J. Glob. Optim. 39 (1) (2007)
Xiaoling Sun, Ning Ruan, Duan Li
An efficient algorithm for nonlinear integer programming problems arising in series-parallel reliability systems. Optim. Methods Softw. 21 (4) (2006)
Yun-Bin Zhao, Duan Li
A New Path-Following Algorithm for Nonlinear P*Complementarity Problems. Comput. Optim. Appl. 34 (2) (2006)
Duan Li, X. Q. Yang
Preface. J. Glob. Optim. 35 (2) (2006)
Jun Wang, Mei Long, Duan Li
A Total Unimodularity Based Branch-and-Bound Method for Integer Programming. APCCAS (2006)
Duan Li, Xiaoling Sun
Towards Strong Duality in Integer Programming. J. Glob. Optim. 35 (2) (2006)
Tsan-Ming (Jason) Choi, Duan Li, Houmin Yan
Quick response policy with Bayesian information updates. Eur. J. Oper. Res. 170 (3) (2006)
Yun-Bin Zhao, Shu-Cherng Fang, Duan Li
Constructing Generalized Mean Functions Using Convex Functions with Regularity Conditions. SIAM J. Optim. 17 (1) (2006)
Duan Li, Xiaoling Sun, F. L. Wang
Convergent Lagrangian and Contour Cut Method for Nonlinear Integer Programming with a Quadratic Objective Function. SIAM J. Optim. 17 (2) (2006)
Duan Li, Zhi-You Wu, Heung-Wing Joseph Lee, Xin-Min Yang, Lian-Sheng Zhang
Hidden Convex Minimization. J. Glob. Optim. 31 (2) (2005)
Chi-Kong Ng, Lian-Sheng Zhang, Duan Li, Wei-Wen Tian
Discrete Filled Function Method for Discrete Global Optimization. Comput. Optim. Appl. 31 (1) (2005)
Duan Li, Liqun Qi, Kok Lay Teo
on Optimization Techniques and Applications. J. Glob. Optim. 31 (2) (2005)
Xiaoling Sun, Duan Li, K. I. M. McKinnon
On Saddle Points of Augmented Lagrangians for Constrained Nonconvex Optimization. SIAM J. Optim. 15 (4) (2005)
Yifan Xu, Chunli Liu, Duan Li
Generalized Nonlinear Lagrangian Formulation for Bounded Integer Programming. J. Glob. Optim. 33 (2) (2005)
Duan Li, Xiaoling Sun, Ken McKinnon
An Exact Solution Method for Reliability Optimization in Complex Systems. Ann. Oper. Res. 133 (1-4) (2005)
Xiaoling Sun, F. L. Wang, Duan Li
Exact Algorithm for Concave Knapsack Problems: Linear Underestimation and Partition Method. J. Glob. Optim. 33 (1) (2005)
Tsan-Ming Choi, Duan Li, Houmin Yan
Optimal single ordering policy with multiple delivery modes and Bayesian information updates. Comput. Oper. Res. 31 (12) (2004)
Lian-Sheng Zhang, Chi-Kong Ng, Duan Li, Wei-Wen Tian
A New Filled Function Method for Global Optimization. J. Glob. Optim. 28 (1) (2004)
Duan Li, Fucai Qian
Closed-loop optimal control law for discrete-time LQG problems with a mean-variance objective. CDC (2004)
Shushang Zhu, Duan Li, Shouyang Wang
Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation. IEEE Trans. Autom. Control. 49 (3) (2004)
Er-Wei Bai, Duan Li
Convergence of the iterative Hammerstein system identification algorithm. CDC (2004)
Er-Wei Bai, Duan Li
Convergence of the iterative Hammerstein system identification algorithm. IEEE Trans. Autom. Control. 49 (11) (2004)
Yu-Hong Dai, Li-Zhi Liao, Duan Li
On Restart Procedures for the Conjugate Gradient Method. Numer. Algorithms 35 (2-4) (2004)
Tsan-Ming Choi, Duan Li, Houmin Yan
Optimal two-stage ordering policy with Bayesian information updating. J. Oper. Res. Soc. 54 (8) (2003)

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Publication Activity (10 Years)

Top Topics

Top Venues

Duan Li