| Publication | Date of Publication | Type |
|---|
Measuring financial systemic risk: net liability clearing mechanism and contagion effect
Journal of Systems Science and Complexity | 2024-08-29 | Paper |
Exactness Conditions for Semidefinite Programming Relaxations of Generalization of the Extended Trust Region Subproblem
Mathematics of Operations Research | 2024-02-27 | Paper |
The self-coordination mean-variance strategy in continuous time
RAIRO - Operations Research | 2024-01-22 | Paper |
Hybrid strategy in multiperiod mean-variance framework
Optimization Letters | 2023-03-06 | Paper |
| scientific article; zbMATH DE number 7618680 (Why is no real title available?) | 2022-11-17 | Paper |
Risk and potential: an asset allocation framework with applications to robo-advising
Journal of the Operations Research Society of China | 2022-09-27 | Paper |
The impact of a reference point determined by social comparison on wealth growth and inequality
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties
INFORMS Journal on Computing | 2021-06-23 | Paper |
A note on monotone mean-variance preferences for continuous processes
Operations Research Letters | 2021-04-07 | Paper |
A linear-time algorithm for generalized trust region subproblems
SIAM Journal on Optimization | 2021-03-11 | Paper |
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
INFORMS Journal on Computing | 2020-11-25 | Paper |
Failing to foresee the updating of the reference point leads to time-inconsistent investment
Operations Research | 2020-11-04 | Paper |
On Conic Relaxations of Generalization of the Extended Trust Region Subproblem
Advances in Intelligent Systems and Computing | 2020-02-07 | Paper |
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Journal of Economic Dynamics and Control | 2019-11-21 | Paper |
Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming
Journal of Global Optimization | 2019-10-01 | Paper |
Information aggregation in a financial market with general signal structure
Journal of Economic Theory | 2019-09-12 | Paper |
Novel reformulations and efficient algorithms for the generalized trust region subproblem
SIAM Journal on Optimization | 2019-08-27 | Paper |
Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
IEEE Transactions on Automatic Control | 2019-07-18 | Paper |
Quadratic convex reformulation for quadratic programming with linear on-off constraints
European Journal of Operational Research | 2019-01-09 | Paper |
Dynamic mean-VaR portfolio selection in continuous time
Quantitative Finance | 2018-11-19 | Paper |
Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
Journal of Economic Dynamics and Control | 2018-11-02 | Paper |
Discrete-time behavioral portfolio selection under cumulative prospect theory
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices
Mathematical Programming. Series A. Series B | 2018-06-25 | Paper |
| A Theoretical Analysis of Sparse Recovery Stability of Dantzig Selector and LASSO | 2017-11-10 | Paper |
Behavioral portfolio optimization with social reference point
Advances in Intelligent Systems and Computing | 2017-09-12 | Paper |
Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
Cardinality Constrained Linear-Quadratic Optimal Control
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Quadratic convex reformulations for semicontinuous quadratic programming
SIAM Journal on Optimization | 2017-08-16 | Paper |
Performance-First Control for Discrete-Time LQG Problems
IEEE Transactions on Automatic Control | 2017-08-08 | Paper |
Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Convergence of the Iterative Hammerstein System Identification Algorithm
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Variance minimization approach for a class of dual control problems
IEEE Transactions on Automatic Control | 2017-06-20 | Paper |
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
IEEE Transactions on Automatic Control | 2017-05-16 | Paper |
Test problem generator for unconstrained global optimization
Computers & Operations Research | 2016-11-10 | Paper |
Strong duality in optimization: shifted power reformulation
Optimization Methods & Software | 2016-11-08 | Paper |
Mean-variance portfolio optimization with parameter sensitivity control
Optimization Methods & Software | 2016-11-08 | Paper |
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
European Journal of Operational Research | 2016-10-07 | Paper |
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
European Journal of Operational Research | 2016-10-07 | Paper |
Bounded rationality as a source of loss aversion and optimism: a study of psychological adaptation under incomplete information
Journal of Economic Dynamics and Control | 2016-09-22 | Paper |
Simultaneous diagonalization of matrices and its applications in quadratically constrained quadratic programming
SIAM Journal on Optimization | 2016-09-02 | Paper |
| Stochastic control for multiperiod mean-variance asset-liability management | 2016-08-10 | Paper |
New reformulations for probabilistically constrained quadratic programs
European Journal of Operational Research | 2016-06-24 | Paper |
Dynamic trading with reference point adaptation and loss aversion
Operations Research | 2016-01-22 | Paper |
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
Automatica | 2015-08-21 | Paper |
Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
European Journal of Operational Research | 2015-07-28 | Paper |
Dynamical analysis on a chronic hepatitis C virus infection model with immune response
Journal of Theoretical Biology | 2015-06-23 | Paper |
Optimal multi-period mean-variance policy under no-shorting constraint
European Journal of Operational Research | 2015-02-03 | Paper |
Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
INFORMS Journal on Computing | 2015-01-26 | Paper |
Recent advances in integer programming
Operations Research Transactions | 2014-11-03 | Paper |
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
Computational Optimization and Applications | 2014-09-18 | Paper |
Portfolio selection with marginal risk control
The Journal of Computational Finance | 2014-04-23 | Paper |
| Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure | 2014-03-04 | Paper |
A note on semidefinite relaxation for 0-1 quadratic knapsack problems
Optimization Methods & Software | 2013-12-19 | Paper |
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
Journal of the Operations Research Society of China | 2013-11-27 | Paper |
Optimal cardinality constrained portfolio selection
Operations Research | 2013-09-05 | Paper |
A polynomial case of the cardinality-constrained quadratic optimization problem
Journal of Global Optimization | 2013-08-07 | Paper |
Distance confined path problem and separable integer programming
Optimization | 2013-07-24 | Paper |
Tightening a copositive relaxation for standard quadratic optimization problems
Computational Optimization and Applications | 2013-06-26 | Paper |
| Continuous-time mean-variance portfolio selection with finite transaction | 2013-06-12 | Paper |
Better than dynamic mean-variance: time inconsistency and free cash flow stream
Mathematical Finance | 2013-02-28 | Paper |
Reweighted \(\ell_1\)-minimization for sparse solutions to underdetermined linear systems
SIAM Journal on Optimization | 2013-01-04 | Paper |
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
European Journal of Operational Research | 2012-12-29 | Paper |
On reduction of duality gap in quadratic knapsack problems
Journal of Global Optimization | 2012-12-07 | Paper |
On duality gap in binary quadratic programming
Journal of Global Optimization | 2012-10-01 | Paper |
Linear-quadratic switching control with switching cost
Automatica | 2012-08-24 | Paper |
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure
European Journal of Operational Research | 2012-08-16 | Paper |
An exact solution method for unconstrained quadratic 0--1 programming: a geometric approach
Journal of Global Optimization | 2012-06-13 | Paper |
On zero duality gap in nonconvex quadratic programming problems
Journal of Global Optimization | 2012-05-23 | Paper |
On The Reduction of Duality Gap in Box Constrained Nonconvex Quadratic Program
SIAM Journal on Optimization | 2012-01-09 | Paper |
Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation
Mathematical Programming. Series A. Series B | 2011-11-07 | Paper |
Reachability determination in acyclic Petri nets by cell enumeration approach
Automatica | 2011-11-03 | Paper |
Global descent methods for unconstrained global optimization
Journal of Global Optimization | 2011-06-28 | Paper |
OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
Mathematical Finance | 2011-06-09 | Paper |
Duality gap estimation of linear equality constrained binary quadratic programming
Mathematics of Operations Research | 2011-04-27 | Paper |
Global descent method for global optimization
SIAM Journal on Optimization | 2011-03-21 | Paper |
Polynomially solvable cases of binary quadratic programs
Springer Optimization and Its Applications | 2010-12-08 | Paper |
Asset-liability management under the safety-first principle
Journal of Optimization Theory and Applications | 2010-02-15 | Paper |
Robust portfolio selection under downside risk measures
Quantitative Finance | 2009-12-07 | Paper |
Unified theory of augmented Lagrangian methods for constrained global optimization
Journal of Global Optimization | 2009-09-02 | Paper |
Multi-period portfolio selection for asset-liability management with uncertain investment horizon
Journal of Industrial and Management Optimization | 2009-05-26 | Paper |
Peeling Off a Nonconvex Cover of an Actual Convex Problem: Hidden Convexity
SIAM Journal on Optimization | 2008-05-22 | Paper |
| Computational study of surrogate dual method for multi-dimensional nonlinear Knapsack problems | 2008-04-03 | Paper |
Probabilistic linearly constrained programming problems with lognormal random variables.
Opsearch | 2008-03-19 | Paper |
Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters
Automatica | 2008-03-18 | Paper |
An exact algorithm for 0-1 polynomial Knapsack problems
Journal of Industrial and Management Optimization | 2008-02-11 | Paper |
A revised Taha's algorithm for polynomial 0-1 programming
Optimization | 2007-11-16 | Paper |
Convergence of optimal values of quadratic penalty problems for mathematical programs with complementarity constraints
Journal of Industrial and Management Optimization | 2007-10-31 | Paper |
Mean-variance analysis of a single supplier and retailer supply chain under a returns policy
European Journal of Operational Research | 2007-10-05 | Paper |
Discrete global descent method for discrete global optimization and nonlinear integer programming
Journal of Global Optimization | 2007-04-26 | Paper |
On KKT points of homogeneous programs
Journal of Optimization Theory and Applications | 2007-03-06 | Paper |
Asset and liability management under a continuous-time mean-variance optimization framework
Insurance Mathematics & Economics | 2007-01-09 | Paper |
A new path-following algorithm for nonlinear \(P_*\) complementarity problems
Computational Optimization and Applications | 2006-11-17 | Paper |
| Convexification and monotone optimization | 2006-10-17 | Paper |
An efficient algorithm for nonlinear integer programming problems arising in series–parallel reliability systems
Optimization Methods & Software | 2006-08-10 | Paper |
Nonlinear integer programming
International Series in Operations Research & Management Science | 2006-06-12 | Paper |
OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
Mathematical Finance | 2006-06-12 | Paper |
Constructing Generalized Mean Functions Using Convex Functions with Regularity Conditions
SIAM Journal on Optimization | 2006-05-30 | Paper |
| Convergent Lagrangian methods for separable nonlinear integer programming: objective level cut and domain cut methods | 2006-02-20 | Paper |
Generalized nonlinear Lagrangian formulation for bounded integer programming
Journal of Global Optimization | 2006-01-13 | Paper |
Quick response policy with Bayesian information updates
European Journal of Operational Research | 2005-12-05 | Paper |
| scientific article; zbMATH DE number 2221953 (Why is no real title available?) | 2005-11-02 | Paper |
Discrete filled function method for discrete global optimization
Computational Optimization and Applications | 2005-08-05 | Paper |
| scientific article; zbMATH DE number 2182582 (Why is no real title available?) | 2005-06-23 | Paper |
Hidden convex minimization
Journal of Global Optimization | 2005-06-09 | Paper |
An exact solution method for reliability optimization in complex systems
Annals of Operations Research | 2005-04-22 | Paper |
| scientific article; zbMATH DE number 2159420 (Why is no real title available?) | 2005-04-19 | Paper |
Optimal two-stage ordering policy with Bayesian information updating
The Journal of the Operational Research Society | 2005-04-04 | Paper |
Optimal single ordering policy with multiple delivery modes and Bayesian information updates
Computers & Operations Research | 2004-09-23 | Paper |
On restart procedures for the conjugate gradient method
Numerical Algorithms | 2004-08-10 | Paper |
A new filled function method for global optimization
Journal of Global Optimization | 2004-03-15 | Paper |
A Globally and Locally Superlinearly Convergent Non--Interior-Point Algorithm for P0LCPs
SIAM Journal on Optimization | 2004-01-19 | Paper |
| scientific article; zbMATH DE number 1944279 (Why is no real title available?) | 2003-11-10 | Paper |
Existence of a saddle point in nonconvex constrained optimization.
Journal of Global Optimization | 2003-09-14 | Paper |
A nonlinear Lagrangian dual for integer programming
Operations Research Letters | 2003-05-04 | Paper |
A globally convergent and efficient method for unconstrained discrete-time optimal control
Journal of Global Optimization | 2003-03-23 | Paper |
Optimality condition and branch and bound algorithm for constrained redundancy optimization in series systems
Optimization and Engineering | 2003-03-12 | Paper |
Adaptive differential dynamic programming for multiobjective optimal control
Automatica | 2002-09-05 | Paper |
Near-subconvexlikeness in vector optimization with set-valued functions
Journal of Optimization Theory and Applications | 2002-08-12 | Paper |
Existence and Limiting Behavior of a Non--Interior-Point Trajectory for Nonlinear Complementarity Problems Without Strict Feasibility Condition
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
Semistrictly preinvex functions
Journal of Mathematical Analysis and Applications | 2002-05-27 | Paper |
Locating the least 2-norm solution of linear programs via a path-following method
SIAM Journal on Optimization | 2002-04-23 | Paper |
A convexification method for a class of global optimization problems with applications to reliability optimization
Journal of Global Optimization | 2002-04-22 | Paper |
Convexification, concavification and monotonization in global optimization
Annals of Operations Research | 2002-03-26 | Paper |
| Nonlinear Lagrangian methods in constrained nonlinear optimization. | 2001-12-13 | Paper |
On the relationship between the integer and continuous solutions of convex programs
Operations Research Letters | 2001-12-05 | Paper |
Asymptotic strong duality for bounded integer programming: A logarithmic-exponential dual formulation
Mathematics of Operations Research | 2001-11-26 | Paper |
On a new homotopy continuation trajectory for nonlinear complementary problems.
Mathematics of Operations Research | 2001-11-26 | Paper |
| Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem | 2001-10-30 | Paper |
Successive method for general multiple linear-quadratic control problem in discrete time
IEEE Transactions on Automatic Control | 2001-08-05 | Paper |
On properties of preinvex functions
Journal of Mathematical Analysis and Applications | 2001-07-12 | Paper |
Monotonicity of fixed point and normal mappings associated with variational inequality and its application
SIAM Journal on Optimization | 2001-06-21 | Paper |
\(p\)th power Lagrangian method for integer programming
Annals of Operations Research | 2001-06-14 | Paper |
Optimal dynamic portfolio selection: multiperiod mean-variance formulation
Mathematical Finance | 2001-03-29 | Paper |
Symmetric duality for a class of multiobjective programming
International Journal of Mathematics and Mathematical Sciences | 2001-02-28 | Paper |
Strict feasibility conditions in nonlinear complementarity problems
Journal of Optimization Theory and Applications | 2001-02-18 | Paper |
Successive optimization method via parametric monotone composition formulation
Journal of Global Optimization | 2001-02-06 | Paper |
Perturbation feedback control in general multiple linear-quadratic control problems
IMA Journal of Mathematical Control and Information | 2000-05-23 | Paper |
| scientific article; zbMATH DE number 1488894 (Why is no real title available?) | 2000-01-01 | Paper |
Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method.
Journal of Global Optimization | 2000-01-01 | Paper |
Probabilistic linear programming problems with exponential random variables: a technical note
European Journal of Operational Research | 1999-12-20 | Paper |
Zero duality gap in integer programming: \(P\)-norm surrogate constraint method
Operations Research Letters | 1999-11-24 | Paper |
| scientific article; zbMATH DE number 1247838 (Why is no real title available?) | 1999-07-21 | Paper |
Exponential transformation in convexifying a noninferior frontier and exponential generating method
Journal of Optimization Theory and Applications | 1998-12-06 | Paper |
Saddle point generation in nonlinear nonconvex optimization
Nonlinear Analysis: Theory, Methods & Applications | 1998-03-05 | Paper |
Cost smoothing in discrete-time linear-quadratic control
Automatica | 1997-08-18 | Paper |
Iterative parametric dynamic programming and its application in reliability optimization
Journal of Mathematical Analysis and Applications | 1996-04-18 | Paper |
Convexification of a noninferior frontier
Journal of Optimization Theory and Applications | 1996-03-04 | Paper |
Zero duality gap for a class of nonconvex optimization problems
Journal of Optimization Theory and Applications | 1995-08-27 | Paper |
| scientific article; zbMATH DE number 721840 (Why is no real title available?) | 1995-08-15 | Paper |
Multilevel dynamic programming for general multiple linear-quadratic control in discrete-time systems
Computers & Mathematics with Applications | 1995-02-05 | Paper |
On general multiple linear-quadratic control problems
IEEE Transactions on Automatic Control | 1994-06-22 | Paper |
Hierarchical control for large-scale systems with general multiple linear-quadratic structure
Automatica | 1994-02-24 | Paper |
| scientific article; zbMATH DE number 124842 (Why is no real title available?) | 1993-02-21 | Paper |
A decomposition method for optimization of large-system reliability
IEEE Transactions on Reliability | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 91794 (Why is no real title available?) | 1993-01-16 | Paper |
Extension of dynamic programming to nonseparable dynamic optimization problems
Computers & Mathematics with Applications | 1992-06-26 | Paper |
On the minimax solution of multiple linear-quadratic problems
IEEE Transactions on Automatic Control | 1990-01-01 | Paper |
New approach for nonseparable dynamic programming problems
Journal of Optimization Theory and Applications | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4168089 (Why is no real title available?) | 1990-01-01 | Paper |
Multiple objectives and non-separability in stochastic dynamic programming
International Journal of Systems Science. Principles and Applications of Systems and Integration | 1990-01-01 | Paper |
Multilevel methodology for a class of non-separable optimization problems
International Journal of Systems Science. Principles and Applications of Systems and Integration | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4095291 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4081321 (Why is no real title available?) | 1988-01-01 | Paper |
Hierarchical multiobjective analysis for large-scale systems: Review and current status
Automatica | 1988-01-01 | Paper |
Hierarchical generating method for large-scale multiobjective systems
Journal of Optimization Theory and Applications | 1987-01-01 | Paper |
