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An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2017, 卷号: 30, 期号: 5, 页码: 1121-1135
Authors:  Xu, Fengmin;  Sun, Min;  Dai, Yuhong
Favorite  |  View/Download:13/0  |  Submit date:2018/07/30
Adaptive Lagrangian algorithm  deleveraging  price cross-impact  
A new fully polynomial time approximation scheme for the interval subset sum problem 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2017, 卷号: 68, 期号: 4, 页码: 749-775
Authors:  Diao, Rui;  Liu, Ya-Feng;  Dai, Yu-Hong
Favorite  |  View/Download:10/0  |  Submit date:2018/07/30
Interval subset sum problem  Computational complexity  Solution structure  Fully polynomial time approximation scheme  Worst-case performance  
A SEQUENTIAL UPDATING SCHEME OF THE LAGRANGE MULTIPLIER FOR SEPARABLE CONVEX PROGRAMMING 期刊论文
MATHEMATICS OF COMPUTATION, 2017, 卷号: 86, 期号: 303, 页码: 315-343
Authors:  Dai, Yu-Hong;  Han, Deren;  Yuan, Xiaoming;  Zhang, Wenxing
Favorite  |  View/Download:17/0  |  Submit date:2018/07/30
Convex programming  augmented Lagrangian method  splitting method  method of multipliers  image processing  
anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact 期刊论文
journalofsystemsscienceandcomplexity, 2017, 卷号: 30, 期号: 5, 页码: 1121
Authors:  Xu Fengmin;  Sun Min;  Dai Yuhong
Favorite  |  View/Download:8/0  |  Submit date:2020/01/10