李端

特聘师资
个人详细介绍

教育经历
博士学位,1983年九月-1987年一月,美国, 凯斯西储大学(Case Western Reserve University),系统工程系
工学硕士学位,1979年九月-1982年二月, 中国,上海交通大学,电子工业与计算机科学学系
大学毕业,1973年九月-1977年一月,中国,复旦大学, 物理系

工作经历
2012年七月—,Patrick Huen Wing Ming Professor,香港中文大学,系统工程与工程管理系
2003年八月—2012 年七月,系主任,香港中文大学,系统工程与工程管理系
2007年八月—,系统工程与工程管理系讲座教授(Chair Professor of Systems Engineering & Engineering Management),香港中文大学,系统工程与工程管理系
2002年一月—2007年七月,教授,香港中文大学,系统工程与工程管理系
1994年十二月—2001年十二月,副教授,香港中文大学,系统工程与工程管理系
1992年六月—1995年七月,副主任(Associate Director),美国,弗吉尼亚大学(University of Virginia), 工程系统风险管理中心(Center for Risk Management of Engineering Systems)
1993年七月—1996年六月,副教授(研究),美国,弗吉尼亚大学(University of Virginia),系统工程系
1988年一月—1993年六月,助理教授(研究),美国,弗吉尼亚大学(University of Virginia),系统工程系
1987年七月—十二月, 副研究员(Research Associate),美国,弗吉尼亚大学(University of Virginia),系统工程系
1987年一月--六月, 副研究员(Research Associate),美国, 凯斯西余大学(Case Western Reserve University)系统工程学系
1982年三月—1983年八月, 讲师,中国, 上海交通大学, 系统工程研究所
1977年5月—1979年8月,技术员,上海工业自动化仪表研究所,系统室

国内兼职情况

中国数学规划协会副理事长
中国系统工程学会金融系统工程专业委员会副理事长
中国运筹学会金融工程与金融风险管理分会指导委员会委员
中国系统工程学会理事
清华大学,复旦大学,哈尔滨工业大学,北京理工大学,上海大学,重庆师范大学等多所大学兼职教授。
上海大学运筹优化开放实验室,学术委员会委员


专长及代表性成果

1.个人专长

金融工程,最优化理论, 运筹学与管理科学。

2.领导(参与)过的主要项目

2006-2012, 最优化与运筹学,香港中文大学重点科研资助计划(B类), 600万港币,12个成员,主持人(Principal Investigator)

1996-2010香港研究资助局11项资助计划, 总额约560万港币, 首席研究员(Principal Investigator)

2006-2008,中国国家自然科学基金委员会与香港研究资助局1项联合资助计划, 49万港币, 首席研究员

1990-1995,美国国家自然科学基金委员会(US NSF)4项资助计划, 总额约60万美元,合作研究员(Co-PI)

1988-1993,美国航空航天总署(US NASA)4项资助计划, 总额约20万美元,合作研究员(Co-PI)

1988-1993,美国环保总署(US EPA)1项资助计划, 总额约4.2万美元,合作研究员(Co-PI)
3. 代表性论著

2006, Nonlinear Integer Programming, Springer, D. Li and X. L. Sun
2012, “Better than dynamic mean-variance: Time inconsistency and free cash flow stream,” Mathematical Finance, Vol.22 No.2, pp. 346-378, X. Y. Cui, D. Li, S. Y. Wang and S. S. Zhu
2010, “Duality gap estimation of linear equality constrained binary quadratic programming,” Mathematics of Operations Research, Vol. 35, No. 4, pp. 864-880, X. J. Zheng, X. L. Sun and D. Li
2010, “Global descent method for global optimization,” SIAM Journal on Optimization, Vol. 20, No. 6, pp. 3161-3184, C. K. Ng, D. Li and L. S. Zhang.
2010, “Portfolio selection with marginal risk control,” Journal of Computational Finance, Vol. 14, No. 1, pp. 3-28, S. S. Zhu, D. Li and X. L. Sun.
2009, “Performance-first control for discrete-time LQG problems,” IEEE Transactions on Automatic Control, Vol. 54, No. 9, pp. 2225-2230, D. Li, F. C. Qian and J. J. Gao.
2008, “Optioned portfolio selection: Models and analysis,” Mathematical Finance, Vol. 18, No. 4, pp. 569-593, J. F. Liang, S. Z. Zhang and D. Li.
2008, “Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters,” AUTOMATICA, Vol. 44, No. 1, pp. 119-127, D. Li, F. C. Qian and P. L. Fu.
2007, “Peeling off a nonconvex cover of an actual convex problem: Hidden convexity,” SIAM Journal on Optimization, Vol. 18, No. 2, pp. 507-536, Z. Y. Wu, D. Li, L. S. Zhang and X. M. Yang.
2006, “Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection,” Mathematical Finance, Vol. 16, No. 1, pp. 83-101, D. Li, X. L. Sun and J. Wang.
2006, “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, D. Li, X. L. Sun and F. L. Wang.
2005, “On saddle points of augmented Lagrangians for constrained nonconvex optimization”, SIAM Journal on Optimization, Vol. 15, No. 4, pp. 1128-1146, X. L. Sun, D. Li and K. McKinnon.
2004, “Convergence of the iterative Hammerstein system,” IEEE Transactions on Automatic Control, Vol. 49, No. 11, 1929 - 1940, E. W. Bai and D. Li.
2004, “Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation,” IEEE Transactions on Automatic Control, Vol. 49, No. 3, pp. 447 - 457, S. S. Zhu, D. Li and S. Y. Wang.
2003, “A globally and locally superlinearly convergent non-interior-point algorithm for $P_0$ LCPs,” SIAM Journal on Optimization, Vol. 13, No. 4, pp. 1195-1221, Y. B. Zhao and D. Li.
2002, “Variance minimization approach for a class of dual control problems,” IEEE Transactions on Automatic Control, Vol. 47, No. 12, pp. 2010-2020, D. Li, F. C. Qian and P. L. Fu.
2002, “Adaptive differential dynamic programming for multiobjective optimal control,” Automatica, Vol. 38, pp. 1003 - 1015, L. Z. Liao and D. Li.
2000, “Asymptotic strong duality for bounded integer programming: A logarithmic-exponential dual formulation,” Mathematics of Operations Research, Vol. 25, No. 4, pp. 625-644, X. L. Sun and D. Li.
2000, “Continuous time mean-variance portfolio selection: A stochastic LQ framework”, Applied Mathematics and Optimization, Vol. 42, pp. 19-33, X. Y. Zhou and D. Li.
2000, “Optimal dynamic portfolio selection: Multi-period mean-variance formulation,” Mathematical Finance, Vol. 10, No. 3, pp. 387-406, D. Li and W.-L. Ng.


 
其它

期刊副主编

美国电子电工协会自动控制期刊副主编, 2003—2004 (Associate Editor, IEEE Transactions on Automatic Control, 2003 – 2004)
全局优化期刊特刊主编(前后4期特刊), 2002—2010, (Guest Co-Editor, 4 Special issues for Journal of Global Optimization, 2002--2010)
美国工业工程期刊金融工程特刊主编, 2005 (Guest Co-Editor, Special issue on Financial Engineering,  IIE Transactions on Operations Engineering}, Vol. 37, No. 10, 2005)
工业与管理优化期刊副主编,2004- (Member of the Editorial Board, Journal of Industrial and Management Optimization, 2004 -)
决策科学丛书副主编,2005- (Member of the Editorial Board, Lecture Notes in Decision Sciences, 2005 -).
系统工程理论与实践,副主编,2008-。
控制理论与先进计术期刊副主编, 1992-1994 (Member of the Editorial Board, Control-Theory and Advanced Technology, 1992 – 1995)
信息与决策计术期刊副主编, 1992-1994 (Associate Editor, Information and Decision Technologies, 1992 – 1994)
优化与工程特刊主编,2002。(Guest Co-Editor, Special issue on optimization applications in high technology, Optimization and Engineering, Vol. 3, No. 2, 2002)
可靠性工程与系统安全性特刊主编,1993。(Guest Co-Editor, Special issue on reliability of water distribution systems, Reliability Engineering and System Safety, Vol. 42, No. 1, 1993)


 
国际会议
大会主席,国际最优化方法及应用大会,2001年与2010年两届 (Co-Chair, The 5th International Conference on Optimization: Techniques and Applications (ICOTA), Hong Kong, 2001, and the 8th ICOTA, Shanghai, 2010) .
大会主席,国际风险管理与金融系统工程大会,2005,2006,2007,2010前后共四届(Co-Chair, The International Conference on Risk Management and Financial System Engineering)
大会主席,WOSP2007, 2007 (Co-Organizer, The Workshop WOSP2007 (Workshop on Optimization and Signal Processing, December 19 - 21, 2007, Hong Kong)
大会主席, 最优化讨论会,2007 (Co-Chair, Workshop on Optimization (Dedicated to Prof. M. J. D. Powell on the Occasion of his 70th Birthday), Hong Kong, February 12, 2007.
大会主席, 运筹学与管理科学中的随机模型讨论会,2006 (Co-Chair, Summer Workshop on Stochastic Models in Operations Research/Management Science, Beijing, China, August 13--15, 2006)
大会主席, 国际管理科学与应用大会,2005 (Co-Chair, Program Committee, International Conference of Management Science and Applications, Chengdu, Sichuan, China, June 20-22, 2005)

 
大会报告

大会报告共同作者,第四届国际自动化大会—大系统理论与应用(Y. Y. Haimes and D. Li, ``Hierarchical multiobjective analysis for large-scale systems: Review and current status," Plenary talk, 4th IFAC/IFORMS Symposium on Large Scale Systems: Theory and Applications, August 26-29, 1986, Zurich, Switzerland)这一大会报告后发表在AUTOMATICA上:Y. Y. Haimes and D. Li, ``Hierarchical multiobjective
analysis for large-scale systems: Review and current status," Automatica, Vol. 24, No.1, pp. 53-69, 1988.
大会报告共同作者,第五届国际自动化大会—大系统理论与应用(Y. Y. Haimes and D. Li, “A hierarchical multiobjective framework for risk management,” Plenary talk, 5th IFAC/IFORMS/IMACS Symposium on Large Scale Systems: Theory and Applications, August 29-31, 1989, Berlin, Germany)这一大会报告后发表在AUTOMATICA上:Y. Y. Haimes and D. Li, ``A hierarchical multiobjective
framework for risk management," \emph{Automatica}, Vol. 27, No. 3, pp. 579-584, 1991.
大会报告,国际风险管理与金融系统工程大会,2005,2006,2007,2010前后共四次(Plenary Talk, The International Conference on Risk Management and Financial System Engineering).
大会报告,第七届中国数学规划会议 (``Financial Optimization,'' Keynote speech, The 7th Symposium of the Chinese National Society of Mathematical Programming,
August 6 - 9, 2008, Dalian, China)
大会报告,第三届中国-澳大利亚最优化会议(D. Li, ``On Duality in Binary Quadratic Optimization Problems,'' Plenary speech, The 3rd China-Australia Workshop on Optimization Theory, Methods and Applications, December 16 - December 19, 2007, Shanghai, China)
大会报告,第五届中国管理科学与工程论坛(D. Li, ``From continuous solution to discrete solution: A necessary but challenging step in portfolio selection,'' Keynote speech, The 5th Forum of Management Science and Engineering, Guangzhou, China, Nov. 23 - 26, 2007)
大会报告,第三届最优化与控制国际会议(D. Li, ``Hidden convex optimization," Semiplenary talk, the 3rd International Conference on Optimization and Control with Applications (OCA2004), July 25-31, 2004, Chongqing-Chengdu, China)
大会报告,第一届中国-澳大利亚最优化会议 (Duan Li, ``A convergent Lagrangian and contour -cut method for nonlinear integer programming with a quadratic objective function," Keynote speech, China-Australia Workshop on Optimization Theory, Methods and Applications, May 21-23, 2004, Shanghai, China)
大会报告,国际最优化会议(D. Li, ``Exact solution to separable integer programming: Convergent Lagrangian and objective level cut method,"
Plenary talk, International Workshop on Optimization, National Cheng-Kung University, May 17 - 20, 2004, Tainan, Taiwan)
大会报告,国际数学规划会议(D. Li, J. Wang and X. L. Sun, ``Exact solution to separable integer programming problems: Convergent Lagrangian and objective
level cut method," Plenary talk at the International Conference on Mathematical Programming, December 19-22, 2002, Shanghai, China)