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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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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
Authors:
Xu, Fengmin
;
Li, Xuepeng
;
Dai, Yu-Hong
;
Wang, Meihua
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View/Download:28/0
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Submit date: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
Authors:
Dai, Yu-Hong
;
Wang, Zhouhong
;
Xu, Fengmin
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View/Download:71/0
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Submit date:2022/04/02
Boltzmann's entropy
ill-condition
interior point algorithm
analytic center
neutron spectrum unfolding
numerical stability
On some extended mixed integer optimization models of the Eisenberg-Noe model in systemic risk management
期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2021, 页码: 24
Authors:
Dong, Zhi-Long
;
Peng, Jiming
;
Xu, Fengmin
;
Dai, Yu-Hong
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View/Download:105/0
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Submit date:2021/04/26
financial network
systemic risk
mixed integer programming
coefficient strengthening
sequential linear optimization
Fast algorithms for sparse portfolio selection considering industries and investment styles
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 27
Authors:
Dong, Zhi-Long
;
Xu, Fengmin
;
Dai, Yu-Hong
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View/Download:106/0
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Submit date:2020/06/30
Portfolio selection
Industry classification
Style investment
ADMM
Sparse optimization
Preface: special issue of MOA 2018
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 3
Authors:
Liu, Ya-Feng
;
Xu, Fengmin
;
Fan, Neng
;
Peng, Jiming
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View/Download:87/0
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Submit date:2020/05/24
Efficient projected gradient methods for cardinality constrained optimization
期刊论文
SCIENCE CHINA-MATHEMATICS, 2019, 卷号: 62, 期号: 2, 页码: 245-268
Authors:
Xu, Fengmin
;
Dai, Yuhong
;
Zhao, Zhihu
;
Xu, Zongben
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View/Download:132/0
  |  
Submit date:2019/04/02
sparse approximation
projected gradient method
global convergence
signal recovery
index tracking
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
Authors:
Wang, Zhouhong
;
Dai, Yuhong
;
Xu, Fengmin
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View/Download:115/0
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Submit date:2020/05/24
Analytic center
Ill-conditioning
Unboundedness
Primal-dual interior point algorithm
Convergence
Polynomial complexity
efficientprojectedgradientmethodsforcardinalityconstrainedoptimization
期刊论文
sciencechinamathematics, 2019, 卷号: 62, 期号: 2, 页码: 245
Authors:
Xu Fengmin
;
Dai Yuhong
;
Zhao Zhihu
;
Xu Zongben
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View/Download:109/0
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Submit date:2020/01/10
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
Authors:
Wang, Meihua
;
Xu, Fengmin
;
Dai, Yu-Hong
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View/Download:117/0
  |  
Submit date: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
Authors:
Xu, Fengmin
;
Wang, Meihua
;
Dai, Yu-Hong
;
Xu, Dachuan
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View/Download:100/0
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Submit date:2018/07/30
Enhanced indexation
Chance constraint
Mixed integer programming
Distributionally robust approach