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 100 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 was a Co-chair of the International Program Committee of the 5th International Conference on Optimization: Techniques and Applications, Hong Kong, 2001, Co-Chair of the Program Committee, the 3rd Chinese National Conference of Mathematical Programming, Wuhan, 1998 and a Co-Chair of the Program Committee, International Conference on Mathematical Programming, Shanghai, December, 2002. He is currently the Vice President, Chinese National Society of Mathematical Programming.

Decision Methodology and Risk Management

Financial Engineering

Optimization and Control

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.

Y. B. Zhao, F. C. Fang and D. Li, "Constructing generalized mean functions using convex functions with regularity conditions," SIAM Journal on Optimization, Vol. 17, No. 1, pp. 37-51, 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, Z. Y. Wu, H. W. J. Lee, X. M. Yang and L. S. Zhang, "Hidden convex minimization," Journal of Global Optimization, vol. 31, pp.211-233, 2005.

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.

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.

D. Li and D. J. White, "P-th power Lagrangian method for integer programming," Annals of Operations Research, Vol.98, pp. 151-170. 2000.

X. L. Sun and D. Li, "A symptotic 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 mean-variance formulation," Mathematical Finance, Vol. 10, No. 3, pp. 387-406, 2000.

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.