I joined the Department of Mathematics at Simon Fraser University
in September 2006, and have been an associate faculty member in the Department of Statistics and Actuarial Science
at SFU since January 2010. Prior to that, I was a Zeev Nehari Visiting Assistant Professor in the Department of Mathematical
Sciences at Carnegie Mellon University during the academic year 20052006. I completed my PhD in Operations
Research under the supervision of Dr. Renato D. C. Monteiro and Dr. Arkadi S. Nemirovski in the School of Industrial and Systems Engineering
at Georgia Institute of Technology in August 2005.
Research Interests
 Theory and algorithms for deterministic and/or stochastic continuous optimization
 Applications in finance, statistics, machine learning, image processing, engineering design, and decisionmaking under uncertainty
Awards and Honors
 NSERC Discovery Grant, 20072011, 20122016.
 The President's Research Grant, Simon Fraser University, 20062008.
 INFORMS George Nicholson Best Student Paper Competition, Finalist, 2005.
Teaching
 MATH 800 Advanced Linear Programming, Spring 2012, SFU.
 APMA 923 Numerical Methods in Continuous Optimization, Fall 2011, 2013, SFU.
 MATH 800 Special Topics in Continuous Optimization, Fall 2008, Spring 2010, SFU.
 MATH 348 Probabilistic Models in Operations Research, Spring 2007, SFU.
 MACM 316 Numerical Analysis I, Spring 2008, 2010, 2011, 2012 SFU.
 MATH 309 Continuous Optimization, Fall 2007, 2010, SFU.
 MACM 201 Discrete Mathematics, Spring 2007, 2008, SFU.
 MATH 151 Calculus I, Spring 2009, Fall 2010, 2013, SFU.
 MATH 150 Calculus I with Review, Fall 2009, SFU.
 21112 Calculus II, Spring 2006, Carnegie Mellon.
 21690 Methods of Optimization, Fall 2005, Carnegie Mellon.
 ISyE 4231 Engineering Optimization, Fall 2004, Georgia Tech.
Research Papers
 Generalized Conjugate Gradient Methods for $\ell_1$ Regularized
Convex Quadratic Programming with Finite Convergence (with X. Chen), submitted.
 Sparse Recovery via Partial Regularization:
Models, Theory and Algorithms (with X. Li), submitted.
 Schatten$p$ QuasiNorm Regularized Matrix Optimization via
Iterative Reweighted Singular Value Minimization (with Y. Zhang), submitted.
 A Nonmonotone Projected Gradient Method for Optimization over
Sparse Symmetric Sets, submitted.
 Penalty Methods for Constrained NonLipschitz Optimization
(with X. Chen and T.K. Pong), submitted.(MATLAB codes)
 A Randomized Nonmonotone Block Proximal Gradient Method for a Class
of Structured Nonlinear Programming (with L. Xiao), submitted.
 Sequential Convex Programming Methods
for A Class of Structured Nonlinear Programming, submitted.
 An Accelerated Randomized Proximal Coordinate Gradient Method and
its Application to Regularized Empirical Risk Minimization (with Q. Lin and L. Xiao), SIAM Journal on Optimization, 25(4): 22442273, 2015.
 A Proximal Gradient Method for Ensemble Density Functional Theory
(with D. Klockner, M. Ulbrich, Z. Wen and C. Yang), SIAM Journal on Scientific Computing, 37(4): A1975A2002, 2015.
 An Efficient Optimization Approach for Cardinalityconstrained Index Tracking Problems (with F. Xu and Z. Xu), accepted by
Optimization Methods and Software, DOI: 10.1080/10556788.2015.1062891, 2015.
 Fused Multiple
Graphical Lasso (with X. Shen, P. Wonka, S. Yang and J. Ye), SIAM Journal on Optimization, 25(2): 916943, 2015.
 Orthogonal RankOne Matrix Pursuit
for Matrix Completion (with M. Lai, Z. Wang and J. Ye), SIAM Journal on Scientific Computing, 37(1): A488A514, 2015.
 On the Complexity
Analysis of Randomized BlockCoordinate Descent Methods (with L. Xiao), Mathematical Programming, 152(1): 615642, 2015.
 Penalty
Decomposition Methods for Rank Minimization (with X. Li and Y. Zhang), Optimization Methods and Software, 30(3): 531558, 2015. (see the package below for MATLAB codes).
 Iterative Reweighted Minimization Methods
for $l_p$ Regularized Unconstrained Nonlinear Programming, Mathematical Programming, 147(12): 277307, 2014.
 Iterative Hard Thresholding Methods for
$l_0$ Regularized Convex Cone Programming, Mathematical Programming, 147(12): 125154, 2014.
 Sparse
Approximation via Penalty Decomposition Methods (with Y. Zhang), SIAM Journal on Optimization, 23(4):24482478, 2013. (see the package below for MATLAB codes).
 Computing
Optimal Experimental Designs via Interior Point Method (with T.K. Pong), SIAM Journal on Matrix Analysis and Applications, 34(4): 15561580, 2013.
(MATLAB codes).

FeaFiner: Biomarker Identification from Medical Data through Feature Generalization and Selection (with J. Sun, L. Yuan, F. Wang, J. Ye and J. Zhou),
19th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD 2013).

A General Iterative Shrinkage and Thresholding Algorithm for Nonconvex Regularized Optimization Problems (with P. Gong, J. Huang, J. Ye and C. Zhang),
The 30th International Conference on Machine Learning (ICML 2013).
 $l_0$
Minimization for Wavelet Frame Based Image Restoration (with B. Dong and Y. Zhang), Mathematics of Computation, 82:9951015, 2013.
 Assessing
the Value of Dynamic Pricing in Network Revenue Management (with D. Zhang), INFORMS Journal on Computing, 25(1):102115, 2013.
 PrimalDual FirstOrder Methods for a
Class of Cone Programming , Optimization Methods and Software, 28(6):12621281, 2013.
(MATLAB codes)
 An
Alternating Direction Method for Finding Dantzig Selectors (with T.K. Pong and Y. Zhang), Computational Statistics and Data Analysis, 56(12):40374046, 2012.
(see the package below for MATLAB codes).
 An Augmented Lagrangian Approach
for Sparse Principal Component Analysis (with Y. Zhang), Mathematical Programming, 135:149193, 2012. (see the package below for
MATLAB codes).
 Convex
Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression (with R.D.C. Monteiro and M. Yuan), Mathematical
Programming, 131:163194, 2012. DOI: 10.1007/s1010701003501.(MATLAB
and C codes).
 Penalty
Decomposition Methods for Rank Minimization (with Y. Zhang), Proceedings of Neural Information Processing Systems (NIPS), 4654, 2011.
 Minimizing Condition Number
via Convex Programming (with T.K. Pong), SIAM Journal on Matrix Analysis and Applications, 32(4):11931211, 2011. (MATLAB codes).
 A Computational Study on Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set,
Mathematical Programming, 126(1):193201, 2011.
 Primaldual
Firstorder Methods with $O(1/\epsilon)$ IterationComplexity for Cone Programming (with G. Lan and R.D.C. Monteiro), Mathematical Programming,
126(1):129, 2011.
 Robust Portfolio Selection Based on a
Joint Ellipsoidal Uncertainty Set, Optimization Methods and Software, 26(1): 89104, 2011.
 Adaptive FirstOrder Methods for
General Sparse Inverse Covariance Selection, SIAM Journal on Matrix Analysis and Applications, 31(4):20002016, 2010.
(MATLAB codes)
 Smooth Optimization Approach for
Sparse Covariance Selection, SIAM Journal on Optimization, 19(4):18071827, 2009. (C and MATLAB codes)

An Iterative SolverBased LongStep Infeasible PrimalDual PathFollowing Algorithm for Convex QP Based on a Class of Preconditioners (with R.D.C. Monteiro and J. O'Neal),
Optimization Methods and Software, 24(1):123143, 2009.
 Diagonal
Quadratic Approximation for Parallelization of Analytical Target Cascading (with Y. Li and J.J. Michalek), ASME Journal of Mechanical Design, 130(5),
2008.

Dimension Reduction and Coefficient Estimation in the Multivariate Linear Regression (with A. Ekici, R.D.C. Monteiro and M. Yuan), Journal of the Royal Statistical Society,
Series B, 69(3):329346, 2007.
 Limiting Behavior
of the AlizadehHaeberlyOverton Weighted Paths in Semidefinite Programming (with R.D.C. Monteiro), Optimization Methods and Software, 22(5):849870,
2007.
 A Modified
Nearly Exact Method for Solving LowRank Trust Region Subproblem (with R.D.C. Monteiro), Mathematical Programming,109(2):385411, 2007.

LargeScale Semidefinite Programming via Saddle Point MirrorProx Algorithm (with R.D.C. Monteiro and A.S. Nemirovski), Mathematical Programming,109(2):211237, 2007.
 An
Iterative SolverBased Infeasible PrimalDual PathFollowing Algorithm for Convex Quadratic Programming (with R.D.C. Monteiro and J. O'Neal), SIAM Journal on
Optimization, 17(1):287310, 2006.
 A Note on the Local
Convergence of a PredictorCorrector InteriorPoint Algorithm for the Semidefinite Linear Complementarity Problem Based on the
AlizadehHaeberlyOverton Search Direction (with R.D.C. Monteiro), SIAM Journal on Optimization, 15(4):11471154, 2005.

Optimal Solutions for the ClosestString Problem via Integer Programming (with C. Meneses, C.A. Olivera and P.M. Pardalos), INFORMS Journal on Computing,
16:419429, 2004.
 Error Bounds andLimiting
Behavior of Weighted Paths Associated with the SDP Map $X^{1/2}SX^{1/2}$ (with R.D.C. Monteiro), SIAM Journal on Optimization, 15(2):348374, 2004.
Technical Reports
Software Packages
ALSPCA:
A package for finding sparse principal components
PDL0:
Packages for solving L0 minimization related problems
PDRank:
Packages for solving rank minimization related problems
ADMDS:
A package for solving the Dantzig selector problem
Editorial Service
Associate Editor: SIAM Journal on Optimization.
Associate Editor: Big Data and Information Analytics.
My Research Group
Current graduate students and visitors
 Xiaorui Li (PhD student): September 2014  present
Former graduate students and visitors
 Yong Zhang (PhD student): March 2009  August 2014.
Current position: Postdoc Fellow at Stanford University.
 Xiaodi Bai (Visiting PhD student): Februray 2013  February 2014. Current position: Assistant Professor
at Zhejiang University of Technology, China.
 Xiaorui Li (Master student): September 2011  December 2013. Current position: PhD student at Simon Fraser University.
 Xiaodong Ji (Visiting profesor): October 2010  September 2011.
Current position: Associate Professor at Hebei Normal University, China.
 Ting Kei Pong (Visiting researcher): July 2010  March 2011.
Current position: Assistant Professor at Hong Kong Polytechnic University.
 Hua Zheng (Master student): September 2007  December 2009. Current position: Statistics Analyst at Cardiac Services BC,
Vancouver, Canada.
To prospective graduate
students:
I am currently recruiting wellmotivated graduate students with
strong mathematics background and research interest in optimization theory
and/or appplication
in business, finance, statistics and machine learning. As an
applicant, if your native language is not English or you do not hold a
degree from any English
speaking country, you must take TOEFL or IELTS exam, and at least
achieve scores 570 (paperbased) or 88 (computerbased).
But GRE scores are
NOT required. For the details of application, please visit the
website: http://www.math.sfu.ca/grad/prospective.shtml.
Other links
