Li Duan

Duan Li

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Found 21 papers in total
Dynamic Trading with Reference Point Adaptation and Loss Aversion
Dynamic Trading with Reference Point Adaptation and Loss Aversion
2015
We formalize the reference point adaptation process by relating it to a way people...
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
2016
While our society began to recognize the importance to balance the risk performance...
A polynomial case of the cardinality‐constrained quadratic optimization problem
A polynomial case of the cardinality‐constrained quadratic optimization problem
2013
We propose in this paper a fixed parameter polynomial algorithm for the...
Tightening a copositive relaxation for standard quadratic optimization problems
Tightening a copositive relaxation for standard quadratic optimization problems
2013
We focus in this paper the problem of improving the semidefinite programming (SDP)...
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure
Improved estimation of duality gap in binary quadratic programming using a weighted distance measure
2012
We present in this paper an improved estimation of duality gap between binary...
Time Consistency Issue in Multi-Objective Optimization
Time Consistency Issue in Multi-Objective Optimization
2011
When the conditions for applying Bellman's principle of optimality hold, the...
Duality Gap Estimation of Linear Equality Constrained Binary Quadratic Programming
Duality Gap Estimation of Linear Equality Constrained Binary Quadratic Programming
2010
We investigate in this paper the Lagrangian duality properties of linear equality...
Unified theory of augmented Lagrangian methods for constrained global optimization
Unified theory of augmented Lagrangian methods for constrained global optimization
2009
We classify in this paper different augmented Lagrangian functions into three unified...
Channel coordination in supply chains with agents having mean–variance objectives
Channel coordination in supply chains with agents having mean–variance objectives
2007
This paper investigates the issues of channel coordination in a supply chain when the...
Quick response policy with Bayesian information updates
Quick response policy with Bayesian information updates
2006
In this paper we investigate the quick response (QR) policy with different Bayesian...
Generalized nonlinear Lagrangian formulation for bounded integer programming
Generalized nonlinear Lagrangian formulation for bounded integer programming
2005
Several nonlinear Lagrangian formulations have been recently proposed for bounded...
An exact solution method for reliability optimization in complex systems
An exact solution method for reliability optimization in complex systems
2005
Systems reliability plays an important part in systems design, operation and...
Optimal single ordering policy with multiple delivery modes and Bayesian information updates
Optimal single ordering policy with multiple delivery modes and Bayesian information updates
2004
We investigate in this paper a retailer's optimal single ordering policy with multiple...
Optimal returns policy for supply chain with e-marketplace
Optimal returns policy for supply chain with e-marketplace
2004
We study in this paper a supply chain which is integrated by a returns policy. In the...
A nonlinear Lagrangian dual for integer programming
A nonlinear Lagrangian dual for integer programming
2002
Nonlinear Lagrangian theory offers a success guarantee for the dual search via...
Zero duality gap in integer programming: P-norm surrogate constraint method
Zero duality gap in integer programming: P-norm surrogate constraint method
1999
A p -norm surrogate constraint method is proposed for integer programming. A single...
pth power Lagrangian method for integer programming
pth power Lagrangian method for integer programming
2000
When does there exist an optimal generating Lagrangian multiplier vector (that...
Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization
Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization
1999
In multiobjective optimization, the trade-off information between different objective...
Probabilistic linear programming problems with exponential random variables: A technical note
Probabilistic linear programming problems with exponential random variables: A technical note
1998
A method for solving probabilistic linear programming problems with exponential random...
Exact determination and sensitivity analysis of a risk measure of extreme events
Exact determination and sensitivity analysis of a risk measure of extreme events
1992
A conditional expectation can be used to measure the risk of extreme events....
The uncertainty sensitivity index method (USIM) & its extension
The uncertainty sensitivity index method (USIM) & its extension
1988
This article deals with optimization problems that have some uncertain parameters with...
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