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A semi-conjugate gradient method for solving unsymmetric positive definite linear systems
Huang, Na; Dai, Yu-Hong; Orban, Dominique; Saunders, … - 2022
Persistent link: https://www.econbiz.de/10013279823
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Proximal-like incremental aggregated gradient method with linear convergence under Bregman distance growth conditions
Zhang, Hui; Dai, Yu-Hong; Guo, Lei; Peng, Wei - In: Mathematics of operations research 46 (2021) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10012498088
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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - In: Computers & operations research : an international journal 161 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
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On GSOR, the generalized successive overrelaxation method for double saddle-point problems
Huang, Na; Dai, Yu-Hong; Orban, Dominique; Saunders, … - 2022
Persistent link: https://www.econbiz.de/10013370487
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A primal-dual interior-point relaxation method with global and rapidly local convergence for nonlinear programs
Liu, Xin-Wei; Dai, Yu-Hong; Huang, Ya-Kui - In: Mathematical methods of operations research : ZOR 96 (2022) 3, pp. 351-382
Persistent link: https://www.econbiz.de/10013455093
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Efficient presolving methods for solving maximal covering and partial set covering location problems
Chen, Liang; Chen, Sheng-Jie; Chen, Wei-Kun; Dai, Yu-Hong; … - In: European journal of operational research : EJOR 311 (2023) 1, pp. 73-87
Persistent link: https://www.econbiz.de/10014335365
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Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - 2023
In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...
Persistent link: https://www.econbiz.de/10014256083
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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
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Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint
Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - 2023
In this paper, we investigate an enhanced indexation methodology using robust Conditional Value-at-Risk (CVaR) and group-sparse optimization. A featured difference from the existing literatures is to describe the tail risk using the worst-case CVaR of excess returns (WCVaR-ER), and the process...
Persistent link: https://www.econbiz.de/10014261716
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An inexact augmented Lagrangian algorithm for unsymmetric saddle-point systems
Huang, Na; Dai, Yu-Hong; Orban, Dominique; Saunders, … - 2024
Persistent link: https://www.econbiz.de/10014528601