Zhaosong Lu

Associate Professor in Operations Research
Department of Mathematics
Simon Fraser University
Office: Surrey 2887
Phone: (778) 782-7426
Fax: (778) 782-7488
Email: zhaosong@sfu.ca

• Theory and algorithms for deterministic and/or stochastic continuous optimization
• Applications in finance, statistics, machine learning, image processing, engineering design, and decision-making under uncertainty

• NSERC Discovery Grant, 2007-2011, 2012-2016.
• The President's Research Grant, Simon Fraser University, 2006-2008.
• INFORMS George Nicholson Best Student Paper Competition, Finalist, 2005.

• MATH 800 Advanced Linear Programming, Spring 2012, SFU.
• APMA 923 Numerical Methods in Continuous Optimization, Fall 2011, 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, SFU.
• MATH 150 Calculus I with Review, Fall 2009, SFU.
• 21-112 Calculus II, Spring 2006, Carnegie Mellon.
• 21-690 Methods of Optimization, Fall 2005, Carnegie Mellon.
• ISyE 4231 Engineering Optimization, Fall 2004, Georgia Tech.

• Z. Lu and L. Xiao On the Complexity Analysis of Randomized Block-Coordinate Descent Methods, submitted.
• Z. Lu, Iterative Hard Thresholding Methods for $l_0$ Regularized Convex Cone Programming, submitted.
• Z. Lu, Sequential Convex Programming Methods for A Class of Structured Nonlinear Programming, submitted.
• Z. Lu, Iterative Reweighted Minimization Methods for $l_p$ Regularized Unconstrained Nonlinear Programming, submitted.
• Z. Lu and T.K. Pong, Computing Optimal Experimental Designs via Interior Point Method, submitted. (MATLAB codes)
• Z. Lu and Y. Zhang, Penalty Decomposition Methods for Rank Minimization, submitted. (see the package below for MATLAB codes)
• Z. Lu and Y. Zhang, Sparse Approximation via Penalty Decomposition Methods, submitted. (see the package below for MATLAB codes)
• Z. Lu and T.K. Pong, Error Bounds for First- and Second-Order Approximations of Eigenvalues and Singular Values, submitted.
• Y. Zhang, B. Dong and Z. Lu, $l_0$ Minimization for Wavelet Frame Based Image Restoration, to appear in Mathematics of Computation.
• D. Zhang and Z. Lu, Assessing the Value of Dynamic Pricing in Network Revenue Management, to appear in INFORMS Journal on Computing.
• Z. Lu, Primal-Dual First-Order Methods for a Class of Cone Programming , to appear in Optimization Methods and Software. (MATLAB codes)
• Z. Lu, T.K. Pong and Y. Zhang, An Alternating Direction Method for Finding Dantzig Selectors, Computational Statistics and Data Analysis, 56(12):4037-4046, 2012. (see the package below for MATLAB codes)
• Z. Lu and Y. Zhang, An Augmented Lagrangian Approach for Sparse Principal Component Analysis, Mathematical Programming, 135:149-193, 2012. (see the package below for MATLAB codes)
• Z. Lu, R.D.C. Monteiro and M. Yuan, Convex Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression, Mathematical Programming, 131:163-194, 2012. DOI: 10.1007/s10107-010-0350-1.(MATLAB and C codes)
• Z. Lu and Y. Zhang, Penalty Decomposition Methods for Rank Minimization, Proceedings of Neural Information Processing Systems (NIPS), 2011: 46-54.
• Z. Lu and T.K. Pong Minimizing Condition Number via Convex Programming, SIAM Journal on Matrix Analysis and Applications, 32(4):1193-1211, 2011. (MATLAB codes)
• Z. Lu, A Computational Study on Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, Mathematical Programming, 126(1):193-201, 2011.
• G. Lan, Z. Lu and R.D.C. Monteiro, Primal-dual First-order Methods with $O(1/\epsilon)$ Iteration-Complexity for Cone Programming, Mathematical Programming, 126(1):1-29, 2011. DOI: 10.1007/s10107-008-0261-6.
• Z. Lu, Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, Optimization Methods and Software, 26(1): 89-104, 2011.
• Z. Lu, Adaptive First-Order Methods for General Sparse Inverse Covariance Selection, SIAM Journal on Matrix Analysis and Applications, 31(4):2000-2016, 2010. (MATLAB codes)
• Z. Lu, Smooth Optimization Approach for Sparse Covariance Selection, SIAM Journal on Optimization, 19(4):1807-1827, 2009. (C and MATLAB codes)
• Z. Lu, R.D.C. Monteiro and J. O'Neal, An Iterative Solver-Based Long-Step Infeasible Primal-Dual Path-Following Algorithm for Convex QP Based on a Class of Preconditioners, Optimization Methods and Software, 24(1):123-143, 2009.
• Y. Li, Z. Lu and J.J. Michalek, Diagonal Quadratic Approximation for Parallelization of Analytical Target Cascading, ASME Journal of Mechanical Design, 130(5), 2008.
• M. Yuan, A. Ekici, Z. Lu and R.D.C. Monteiro, Dimension Reduction and Coefficient Estimation in the Multivariate Linear Regression, Journal of the Royal Statistical Society, Series B, 69(3):329-346, 2007.
• Z. Lu and R.D.C. Monteiro, Limiting Behavior of the Alizadeh-Haeberly-Overton Weighted Paths in Semidefinite Programming, Optimization Methods and Software, 22(5):849-870, 2007.
• Z. Lu and R.D.C. Monteiro, A Modified Nearly Exact Method for Solving Low-Rank Trust Region Subproblem, Mathematical Programming,109(2):385-411, 2007.
• Z. Lu, A.S. Nemirovski and R.D.C. Monteiro, Large-Scale Semidefinite Programming via Saddle Point Mirror-Prox Algorithm, Mathematical Programming,109(2):211-237, 2007.
• Z. Lu, R.D.C. Monteiro and J. O'Neal, An Iterative Solver-Based Infeasible Primal-Dual Path-Following Algorithm for Convex Quadratic Programming, SIAM Journal on Optimization, 17(1):287-310, 2006.
• Z. Lu and R.D.C. Monteiro, A Note on the Local Convergence of a Predictor-Corrector Interior-Point Algorithm for the Semidefinite Linear Complementarity Problem Based on the Alizadeh-Haeberly-Overton Search Direction, SIAM Journal on Optimization, 15(4):1147-1154, 2005.
• C. Meneses, Z. Lu, C.A. Olivera and P.M. Pardalos, Optimal Solutions for the Closest-String Problem via Integer Programming, INFORMS Journal on Computing, 16:419-429, 2004.
• Z. Lu and R.D.C. Monteiro, Error Bounds andLimiting Behavior of Weighted Paths Associated with the SDP Map $X^{1/2}SX^{1/2}$, SIAM Journal on Optimization, 15(2):348-374, 2004.

• Z. Lu, A New Cone Programming Approach for Robust Portfolio Selection.
• Z. Lu, R.D.C. Monteiro and M. Yuan, Convex Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression.
• Z. Lu, Gradient Based Method for Cone Programming with Application to Large-Scale Compressed Sensing.
• Z. Lu and Y. Zhang, An Augmented Lagrangian Approach for Sparse Principal Component Analysis
• Z. Lu and Y. Zhang, Penalty Decomposition Methods for $L0$-Norm Minimization.

Software Packages

My Research Group

• Yong Zhang (PhD student): March 2009 - present
• Xiaorui Li (Master student): September 2011 - present
• Xueying Shen (Master student): September 2011 - present

• Hua Zheng (Master student): September 2007 - December 2009
• Ting Kei Pong (visiting researcher): July 2010 - March 2011
• Xiaodong Ji (visiting profesor): October 2010 - September 2011

• SFU Operations Research Seminar