Department of Systems Engineering & Engineering Management

Duan Li graduated from Fudan University, received his M.E. degree in automatic control from Shanghai Jiaotong University, and received his Ph.D. degree in systems engineering from Case Western Reserve University. Before he joined the Chinese University of Hong Kong in December 1994, he was a faculty member at the University of Virginia from 1987 to 1994, where he was an Associate Professor in the Department of Systems Engineering and Associate Director of the Center for Risk Management of Engineering Systems.

Duan Li's research interests include optimization, optimal control, decision-making methodologies, and financial engineering. He has authored and coauthored over 200 technical papers in these areas. He was an Associate Editor of IEEE Transactions on Automatic Control, was a Member on the Editorial Board of Control Theory and Advanced Technology, and was an Associate Editor of Information and Decision Technologies. He also served as a guest co-editor for several special issues of Journal of Global Optimization, IIE Transactions on Operations Engineering, Optimization and Engineering, Control-Theory and Advanced Technology and Reliability Engineering and System Safety. He organized many international conferences as a co-chair, including the recent 8th International Conference on Optimization Techniques and Applications (ICOTA8). He is currently the Vice President, Chinese National Society of Mathematical Programming and Vice President, Chinese Society of Financial Systems Engineering.

Decision Methodology and Risk Management

Financial Engineering

Optimization and Control

J. J. Gao and D. Li, "Cardinality Constrained Linear-quadratic Optimal Control," IEEE Transactions on Automatic Control, Vol. 56, No. 8, pp. 1936-1941, 2011.

X. J. Zheng, X. L. Sun, D. Li and Y. Xia, "Duality gap estimation of linear equality constrained binary quadratic programming," Mathematics of Operations Research, Vol. 35, No. 4, pp. 864-880, November 2010.

X. J. Zheng, X. L. Sun and D. Li, "Convex relaxation for non-convex quadratically constrained quadratic programming: Matrix cone decomposition and polyhedral convexification," Accepted for publication in Mathematical Programming, Series B, Special Issue in honor of Prof. Paul Tseng, 2010.

C. K. Ng, D. Li and L. S. Zhang, "Global descent method for global optimization," SIAM Journal on Optimization, Vol. 20, No. 6, pp. 3161-3184, 2010

X. Y. Cui, D. Li, S. Y. Wang and S. S. Zhu, "Better than dynamic meanvariance: Time inconsistency and free cash flow stream," accepted for publication in Mathematical Finance, 2010

D. Li, F. C. Qian and J. J. Gao, "Performancefirst control for discrete-time LQG problems," IEEE Transactions on Automatic control, Vol. 54, No. 9, pp. 2225-2230, 2009.

S. S. Zhu, D. Li and S. Y. Wang, "Robust portfolio selection under downside risk measures," Quantitative Finance, Vol. 9, No. 7, pp. 869-885, 2009.

J. F. Liang, S. Z. Zhang and D. Li, "Optioned portfolio selection: Models and analysis," Mathematical Finance, Vol. 18, No. 4, pp. 569-593, 2008.

Z.Y. Wu, D. Li, L.S. Zhang and X.M. Yang "Peeling off a nonconvex cover of an actual convex problem: Hidden convexity," SIAM Journal on optimization, vol. 18, pp. 507-536, 2007.

D. Li and X.L. Sun, Nonlinear Integer Programming, Springer, 2006.

D. Li, X.L. Sun and F.L. Wang, "A convergent Lagrangian and contour-cut method for nonlinear integer programming with a quadratic objective function," SIAM Journal on Optimization, Vol. 17, No. 2, pp. 372-400, 2006.

D. Li, X.L. Sun and J. Wang, "Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection," Mathematical Finance, Vol. 16, No. 1, pp. 83-101, 2006.

D. Li and X.L. Sun, "Towards strong duality in integer programming", Journal of Global Optimization, Vol. 35, pp. 255-282, 2006.

X.L. Sun, D. Li and K. McKinnon, "On saddle points of augmented Lagrangian for constrained non-convex optimization", SIAM Journal on Optimization, vol. 15, pp. 1128-1146, 2005.

D. Li, F.C. Qian and P.L. Fu, "Variance minimization approach for a class of dual control problems," IEEE Transactions on Automatic Control, Vol. 47, No. 12, pp. 2010-2020, December 2002.

L.Z. Liao and D. Li, "Adaptive differential dynamic programming for multiobjective optimal control," Automatica, Vol. 38, pp. 1003-1015, 2002.

D. Li, X. L. Sun, M. P. Biswal and F. Gao, "Convexification, concavification and monotonization in global optimization," Annals of Operations Research, Vol. 105, pp. 213-226, 2001 .

X.L. Sun and D. Li, "Asymptotic strong duality for bounded integer programming: A logarithmic-exponential dual formulation," Mathematics of Operations Research, Vol. 25, No. 4, pp. 625-644, 2000.

D. Li and W.-L. Ng, "Optimal dynamic portfolio selection: Multi-period meanvariance formulation," Mathematical Finance, Vol. 10, No. 3, pp. 387-406, 2000.

D. Li, "Zero duality gap for a class of nonconvex optimization problems," Journal of Optimization Theory and Applications, Vol. 85, No. 2, pp. 309-324, 1995.