49 citations · 83 across the 11 of their papers we have counts for
11 papers
A linear-time algorithm for generalized trust region subproblems
Rujun Jiang, Duan Li
In this paper, we provide the first provable linear-time (in the number of non-zero entries of the input) algorithm for approximately solving the generalized trust region subproble…
A Theoretical Analysis of Sparse Recovery Stability of Dantzig Selector and LASSO
Yun-Bin Zhao, Duan Li
Dantzig selector (DS) and LASSO problems have attracted plenty of attention in statistical learning, sparse data recovery and mathematical optimization. In this paper, we provide a…
Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
Weipin Wu, Jianjun Gao, Duan Li +1
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has…
Novel reformulations and efficient algorithms for the generalized trust region subproblem
Rujun Jiang, Duan Li
We present a new solution framework to solve the generalized trust region subproblem (GTRS) of minimizing a quadratic objective over a quadratic constraint. More specifically, we d…
Second Order Cone Constrained Convex Relaxations for Nonconvex Quadratically Constrained Quadratic Programming
Rujun Jiang, Duan Li
In this paper, we present new convex relaxations for nonconvex quadratically constrained quadratic programming (QCQP) problems. While recent research has focused on strengthening c…
SOCP Reformulation for the Generalized Trust Region Subproblem via a Canonical Form of Two Symmetric Matrices
Rujun Jiang, Duan Li, Baiyi Wu
We investigate in this paper the generalized trust region subproblem (GTRS) of minimizing a general quadratic objective function subject to a general quadratic inequality constrain…
Tight MIQP Reformulations for Semi-Continuous Quadratic Programming: Lift-and-Convexification Approach
Baiyi Wu, Xiaoling Sun, Duan Li +1
We consider in this paper a class of semi-continuous quadratic programming problems which arises in many real-world applications such as production planning, portfolio selection an…
Simultaneous Diagonalization of Matrices and its Applications in Quadratically Constrained Quadratic Programming
Rujun Jiang, Duan Li
An equivalence between attainability of simultaneous diagonalization (SD) and hidden convexity in quadratically constrained quadratic programming (QCQP) stimulates us to investigat…
Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
Xiangyu Cui, Xun Li, Duan Li +1
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even…
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao, Ke Zhou, Duan Li +1
Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asy…
Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
Xiangyu Cui, Xun Li, Duan Li
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer app…