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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact 期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
作者:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
收藏  |  浏览/下载：74/0  |  提交时间：2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact  
A PRIMAL-DUAL ALGORITHM FOR UNFOLDING NEUTRON ENERGY SPECTRUM FROM MULTIPLE ACTIVATION FOILS 期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2021, 卷号: 17, 期号: 5, 页码: 2367-2387
作者:  Dai, Yu-Hong;  Wang, Zhouhong;  Xu, Fengmin
收藏  |  浏览/下载：120/0  |  提交时间：2022/04/02
Boltzmann's entropy  ill-condition  interior point algorithm  analytic center  neutron spectrum unfolding  numerical stability  
A ROBUST INTERIOR POINT METHOD FOR COMPUTING THE ANALYTIC CENTER OF AN ILL-CONDITIONED POLYTOPE WITH ERRORS 期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2019, 卷号: 37, 期号: 6, 页码: 843-865
作者:  Wang, Zhouhong;  Dai, Yuhong;  Xu, Fengmin
收藏  |  浏览/下载：150/0  |  提交时间：2020/05/24
Analytic center  Ill-conditioning  Unboundedness  Primal-dual interior point algorithm  Convergence  Polynomial complexity  
An index tracking model with stratified sampling and optimal allocation 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 卷号: 34, 期号: 2, 页码: 144-157
作者:  Wang, Meihua;  Xu, Fengmin;  Dai, Yu-Hong
收藏  |  浏览/下载：154/0  |  提交时间：2018/07/30
index tracking  out-of-sample performance  stratified sampling  stratified hybrid genetic algorithm  s-rar crossover  
A sparse enhanced indexation model with chance and cardinality constraints 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
作者:  Xu, Fengmin;  Wang, Meihua;  Dai, Yu-Hong;  Xu, Dachuan
收藏  |  浏览/下载：122/0  |  提交时间：2018/07/30
Enhanced indexation  Chance constraint  Mixed integer programming  Distributionally robust approach