Personal Information:
Lecturer
Scientific Research
Research Interests
Theory and algorithms for continuous optimization including sparse optimization, stochastic optimization, and robust optimization
Applications in quantitative finance, data science, and machine learning
- Efficient Projected Gradient Methods for Cardinality Constrained Optimization.Science China Mathematics.2018,62(2):245-268
- Adaptive Projected Gradient Thresholding Methods for Constrained L0 Problems.Science China Mathematics.2015,58(10):1-20
- A Sparse Enhanced Indexation Model with L1/2 Norm and Its Alternating Quadratic Penalty Method.Journal of the Operational Research Society.2018,70(1):5-25
- CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints.Applied Economics Letters.2021,28(3):201-207
- Robust portfolio rebalancing with cardinality and diversification constraints.Quantitative Finance.2021
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