Robust enhanced indexation optimization with sparse industry layout constraint.
Comput. Oper. Res., January, 2024
Data-trading coordination with government subsidy.
J. Glob. Optim., November, 2023
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact.
Int. Trans. Oper. Res., 2023
A bi-level programming framework for identifying optimal parameters in portfolio selection.
Int. Trans. Oper. Res., 2022
On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management.
Int. Trans. Oper. Res., 2021
Sparse portfolio selection with uncertain probability distribution.
Appl. Intell., 2021
Preface: special issue of MOA 2018.
J. Glob. Optim., 2020
Fast algorithms for sparse portfolio selection considering industries and investment styles.
J. Glob. Optim., 2020
A sparse enhanced indexation model with norm and its alternating quadratic penalty method.
J. Oper. Res. Soc., 2019
Convergence Revisit on Generalized Symmetric ADMM.
CoRR, 2019
A Smoothing Direct Search Method for Monte Carlo-Based Bound Constrained Composite Nonsmooth Optimization.
SIAM J. Sci. Comput., 2018
A sparse enhanced indexation model with chance and cardinality constraints.
J. Glob. Optim., 2018
A novel method for a class of structured low-rank minimizations with equality constraint.
J. Comput. Appl. Math., 2018
Generalized symmetric ADMM for separable convex optimization.
Comput. Optim. Appl., 2018
An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact.
J. Syst. Sci. Complex., 2017
An efficient optimization approach for a cardinality-constrained index tracking problem.
Optim. Methods Softw., 2016
Probabilistic graphical model for detecting spammers in microblog websites.
Int. J. Embed. Syst., 2016
Sparse portfolio rebalancing model based on inverse optimization.
Optim. Methods Softw., 2014
A New Portfolio Rebalancing Model with Transaction Costs.
J. Appl. Math., 2014
The Local Linear M-Estimation with Missing Response Data.
J. Appl. Math., 2014
A hybrid simulated annealing thresholding algorithm for compressed sensing.
Signal Process., 2013
L<sub>1/2</sub> Regularization: A Thresholding Representation Theory and a Fast Solver.
IEEE Trans. Neural Networks Learn. Syst., 2012
A mixed 0-1 LP for index tracking problem with CVaR risk constraints.
Ann. Oper. Res., 2012
A new Lagrangian net algorithm for solving max-bisection problems.
J. Comput. Appl. Math., 2011
Lower Bound Theory of Nonzero Entries in Solutions of ℓ<sub>2</sub>-ℓ<sub>p</sub> Minimization.
SIAM J. Sci. Comput., 2010
A Continuation Approach Using NCP Function for Solving Max-Cut Problem.
Asia Pac. J. Oper. Res., 2009
A multiple penalty function method for solving Max-Bisection problems.
Appl. Math. Comput., 2006
A Continuous Method for Solving Multiuser Detection in CDMA.
Proceedings of the Algorithmic Applications in Management, First International Conference, 2005
A Tight Semidefinite Relaxation of the MAX CUT Problem.
J. Comb. Optim., 2003