3rd Workshop

On

Optimization and Risk Management

Department of Applied Mathematics,
The Hong Kong Polytechnic University
20-21, October, 2014


Workshop Poster

Please click here to download the poster.

Venue

Room Y306(20 Oct 2014), Room Y409(21 Oct 2014 MORNING) and Room Y306(21 Oct 2014 AFTERNOON), The Hong Kong Polytechnic University, Hung Hom, Hong Kong (Campus map)

 

Schedule and program (Abstracts of all talks)

 

20th October, 2014 (Monday)

Venue: Room Y306

15:30 - 16:15 Kok Lay Teo(Curtin University)

Time-delay Estimation via Dynamic Optimization Techniques
16:15 - 17:00 Defeng Sun(National University of Singapore)

A Multi-block Semi-proximal ADMM for Linear and Convex Quadratic Programming Problems with Dual Block Angular Structures
17:00 - 17:20

Tea Break

17:20 - 17:40 Cedric Yiu(The Hong Kong Polytechnic University)

On the optimization of beamforming system
17:40 - 18:00 Kai Zhang(Shenzhen University)

Reconstructing smooth local volatility surface from the observed American option prices
18:00 - 18:20 Xiaoqi Yang(The Hong Kong Polytechnic University)

Inexact Subgradient Methods for Quasi-Convex Optimization Problems
 

 

 

21st October, 2014 (Tuesday)

Venue: Room Y409(Morning) & Room Y306(Afternoon)

10:40 - 11:00 Ting Kei Pong(The Hong Kong Polytechnic University)

Douglas-Rachford Splitting for Nonconvex Feasibility Problems
11:00 - 11:20 Yaohua Hu(The Hong Kong Polytechnic University)

Group Sparse Optimization via ℓp,q Regularization
11:20 - 11:40 Hailin Sun(The Hong Kong Polytechnic University)

Regularized Mathematical Programs with Stochastic Equilibrium Constraints: Estimating Structural Demand Models
11:40 - 12:00 Xin Liu(The Hong Kong Polytechnic University)

An Efficient Gauss-Newton Algorithm for Symmetric Low-Rank Product Matrix Approximations
12:00 - 14:00

Break

14:00 - 14:45 Roger J-B Wets(Univrsity of California, Davis)

Sample Average Approximation and Laws of Large Numbers for Variational Problems
14:45 - 15:30 Che-Lin Su(The University of Chicago Booth School of Business)

Estimating Dynamic Discrete Choice Games of Incomplete Information
15:30 - 15:50

Tea Break

15:50 - 16:10 Chi Kin Chan(The Hong Kong Polytechnic University)

Meta-heuristics for Optimizing an Integrated Inventory-Transportation Supply Chain
16:10 - 16:30 Xun Li(The Hong Kong Polytechnic University)

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
16:30 - 16:50 Jianhui Huang(The Hong Kong Polytechnic University)

Some Recent Studies in Mean-field Games
16:50 - 17:10 Zuoquan Xu(The Hong Kong Polytechnic University)

An Optimal Consumption-Investment Model with Constraint on Consumption
17:10 - 17:30 Xiaojun Chen(The Hong Kong Polytechnic University)

Sparse Solutions of Linear Complementarity Problems

 

Spnsors

 

Enquiry

Ms. Mansfield Lee: Tel:2766 6938, Email: mansfield.lee@polyu.edu.hk

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(Last updated on 16 October 2014)