3 citations · 3 across the 2 of their papers we have counts for
3 papers
math.OC2018
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…
math.ST2017★ 3 cited
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…
q-fin.PM2013
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…