arXiv subjects

Duan Li

Publications and source records attributed to Duan Li.

27 records · Page 2Linked to original sources

arXiv2016

Simultaneous Diagonalization of Matrices and its Applications in Quadratically Constrained Quadratic Programming

An equivalence between attainability of simultaneous diagonalization (SD) and hidden convexity in quadratically constrained quadratic programming (QCQP) stimulates us to investigate necessary and sufficient SD conditions, which is one of the open problems posted by Hiriart-Urruty (SIAM Rev., 49 (2007), pp. 255-273) nine years ago. In this paper we give a necessary and sufficient SD condition for any two real symmetric matrices and offer a necessary and sufficient SD condition for any finite collection of real symmetric matrices under the existence assumption of a semi-definite matrix pencil. Moreover, we apply our SD conditions to QCQP, especially with one or two quadratic constraints, to verify the exactness of its second-order cone programming relaxation and to facilitate the solution process of QCQP.

math.OC↗

arXiv2016

SOCP Reformulation for the Generalized Trust Region Subproblem via a Canonical Form of Two Symmetric Matrices

We investigate in this paper the generalized trust region subproblem (GTRS) of minimizing a general quadratic objective function subject to a general quadratic inequality constraint. By applying a simultaneous block diagonalization approach, we obtain a congruent canonical form for the symmetric matrices in both the objective and constraint functions. By exploiting the block separability of the canonical form, we show that all GTRSs with an optimal value bounded from below are second order cone programming (SOCP) representable. Our result generalizes the recent work of Ben-Tal and Hertog (Math. Program. 143(1-2):1-29, 2014), which establishes the SOCP representability of the GTRS under the assumption of the simultaneous diagonalizability of the two matrices in the objective and constraint functions. Compared with the state-of-the-art approach to reformulate the GTRS as a semi-definite programming problem, our SOCP reformulation delivers a much faster solution algorithm. We further extend our method to two variants of the GTRS in which the inequality constraint is replaced by either an equality constraint or an interval constraint. Our methods also enable us to obtain simplified versions of the classical S-lemma, the S-lemma with equality, and the S-lemma with interval bounds.

math.OC↗

arXiv2015

Effect of carbon vacancies on structural and mechanical properties of stable zirconium carbides: A first principles study

By using evolutionary algorithm USPEX, we have predicted a number of stable zirconium carbides. In addition to the well-known rocksalt-type stoichiometric ZrC (Fm-3m), present prediction also identifies five stable substoichiometric zirconium carbides adopting rocksalt-type structures with ordered carbon vacancies, Zr8C7 (P-1), Zr6C5 (C2/m), Zr5C4 (P-1), Zr3C2 (C2/m), and Zr2C (Fd-3m). The effects of carbon vacancies on structural and mechanical properties are investigated. We highlight that the distribution of carbon vacancies has significant influence on volume, Pugh's ratio, and hardness. We further propose that hardness can be enhanced by replacing carbon vacancies with suitable elements, in particular nitrogen and oxygen.

cond-mat.mtrl-sci↗

arXiv2015

Emergence of novel hydrogen chlorides under high pressure

HCl, a 'textbook' example of a polar covalent molecule, is a well-known compound of hydrogen and chlorine. Inspired by the discovery of unexpected stable stoichiometries of sodium chlorides, we performed systematic searches for all stable compounds in the H-Cl system from ambient pressure to higher pressures up to 500 GPa using variable-composition ab initio evolutionary algorithm USPEX. We found several compounds that are stable under pressure, i.e. HCl, H$_2$Cl, H$_3$Cl, H$_5$Cl and H$_4$Cl$_7$, which display a rich variety of chemical bonding types. At ambient pressure, H$_2$, Cl$_2$ and HCl molecular crystals are formed by weak intermolecular van der Waals interactions and adjacent HCl molecules connect with each other to form asymmetric zigzag chains, which become symmetric under high pressure. In hydrogen-rich chlorides, H$_2$ and HCl react to form the thermodynamically stable H$_3$Cl crystalline compound in which molecular cyclic H$_3^+$ cations are stabilised by the Cl$^-$ sublattice. Increasing the amount of hydrogen leads to stable solid-state H$_5$Cl, in which H$_2$ formally combines with H$_3^+$ to form H$_5^+$ cations. Additionally, chlorine-based Kagomé layers are formed with intercalated zigzag HCl chains in chlorine-rich hydrides. These discoveries help to understand how varied bonding features can co-exist and evolve in one compound under extreme conditions.

cond-mat.mtrl-sci↗

arXiv2015

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear function of the current wealth level with a reference point at a preset investment target. Due to the time inconsistency of the resulting multi-period mean-variance model with an adaptive risk aversion, we investigate in this paper the time consistent behavior portfolio policy by solving a nested mean-variance game formulation. We derive semi-analytical time consistent behavior portfolio policy which takes a piecewise linear feedback form of the current wealth level with respect to the discounted investment target.

q-fin.PM↗

arXiv2015

Tight MIQP Reformulations for Semi-Continuous Quadratic Programming: Lift-and-Convexification Approach

We consider in this paper a class of semi-continuous quadratic programming problems which arises in many real-world applications such as production planning, portfolio selection and subset selection in regression. We propose a lift-and-convexification approach to derive an equivalent reformulation of the original problem. This lift-and-convexification approach lifts the quadratic term involving $x$ only in the original objective function $f(x,y)$ to a quadratic function of both $x$ and $y$ and convexifies this equivalent objective function. While the continuous relaxation of our new reformulation attains the same tight bound as achieved by the continuous relaxation of the well known perspective reformulation, the new reformulation also retains the linearly constrained quadratic programming structure of the original mix-integer problem. This prominent feature improves the performance of branch-and-bound algorithms by providing the same tightness at the root node as the state-of-the-art perspective reformulation and offering much faster processing time at children nodes. We further combine the lift-and-convexification approach and the quadratic convex reformulation approach in the literature to form an even tighter reformulation. Promising results from our computational tests in both portfolio selection and subset selection problems numerically verify the benefits from these theoretical features of our new reformulations.

math.OC↗

arXiv2014

Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated pre-committed efficient policy may become inefficient when considering the corresponding truncated problem, thus stimulating investors' irrational investment behavior. We investigate analytically effects of portfolio constraints on time consistency of efficiency for convex cone constrained markets. More specifically, we derive the semi-analytical expressions for the pre-committed efficient mean-variance policy and the minimum-variance signed supermartingale measure (VSSM) and reveal their close relationship. Our analysis shows that the pre-committed discrete-time efficient mean-variance policy satisfies TCIE if and only if the conditional expectation of VSSM's density (with respect to the original probability measure) is nonnegative, or once the conditional expectation becomes negative, it remains at the same negative value until the terminal time. Our findings indicate that the property of time consistency in efficiency only depends on the basic market setting, including portfolio constraints, and this fact motivates us to establish a general solution framework in constructing TCIE dynamic portfolio selection problem formulations by introducing suitable portfolio constraints.

q-fin.PM↗

arXiv2014

Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time

Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk measures, the lower-partial moments (LPM) and conditional value-at-risk (CVaR) are probably most promising. In this paper we investigate the dynamic mean-LPM and mean-CVaR portfolio optimization problems in continuous-time, while the current literature has only witnessed their static versions. Our contributions are two-fold, in both building up tractable formulations and deriving corresponding analytical solutions. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in the class of mean-downside risk portfolio models. The limit funding level not only enables us to solve both dynamic mean-LPM and mean-CVaR portfolio optimization problems, but also offers a flexibility to tame the aggressiveness of the portfolio policies generated from such mean - downside risk models. More specifically, for a general market setting, we prove the existence and uniqueness of the Lagrangian multiplies, which is a key step in applying the martingale approach, and establish a theoretical foundation for developing efficient numerical solution approaches. Moreover, for situations where the opportunity set of the market setting is deterministic, we derive analytical portfolio policies for both dynamic mean-LPM and mean-CVaR formulations.

q-fin.PM↗

arXiv2013

Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection

The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable problems, the dynamic mean-variance portfolio selection formulation had posted a great challenge to our research community until recently. A few solution methods, including the embedding scheme, have been developed in the last decade to solve the dynamic mean-variance portfolio selection formulation successfully. We propose in this paper a novel mean-field framework that offers a more efficient modeling tool and a more accurate solution scheme in tackling directly the issue of nonseparability and deriving the optimal policies analytically for the multi-period mean-variance-type portfolio selection problems.

q-fin.PM↗