Zhaosong Lu
Assistant 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
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 2005-2006. 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 with an emphasis in convex programming
- Applications of continuous optimization in finance, statistics, machine learning, image processing, engineering design, and decision-making under uncertainty
- NSERC Discovery Grant, 2007-2012.
- The President's Research Grant, Simon Fraser University, 2006-2008.
- INFORMS George Nicholson Best Student Paper Competition, Finalist, 2005.
- 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, 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 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.
- 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, 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.
- 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, 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 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 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.
- 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.
- 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.
- 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.
- Z. Lu, Smooth Optimization Approach for Sparse Covariance Selection, SIAM Journal on Optimization, 19(4):1807-1827, 2009. (C and MATLAB codes)
- 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, Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, Optimization Methods and Software, 26(1): 89-104, 2011.
- G. Lan, Z. Lu and R.D.C. Monteiro, Primal-dual First-order Methods with ${\cal O}(1/\epsilon)$ Iteration-complexity for Cone Programming, Mathematical Programming , 126(1):1-29, 2011. DOI: 10.1007/s10107-008-0261-6.
- Z. Lu, A Computational Study on Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, Mathematical Programming, 126(1):193-201, 2011. DOI: 10.1007/s10107-009-0271-z.
- 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, R.D.C. Monteiro and M. Yuan, Convex Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression, Mathematical Programming. DOI: 10.1007/s10107-010-0350-1.
- Z. Lu and Y. Zhang, An Augmented Lagrangian Approach for Sparse Principal Component Analysis, Mathematical Programming.DOI: 10.1007/s10107-011-0452-4.(MATLAB codes)
- D. Zhang and Z. Lu, Assessing the Value of Dynamic Pricing in Network Revenue Management, accepted in INFORMS Journal on Computing.
- Y. Zhang, B. Dong and Z. Lu, $l_0$ Minimization for Wavelet Frame Based Image Restoration, accepted in Mathematics of Computation.
- Z. Lu and Y. Zhang, Penalty Decomposition Methods for Rank Minimization, accepted in in Proceedings of Neural Information Processing Systems (NIPS 2011).
- Z. Lu, Primal-Dual First-Order Methods for a Class of Cone Programming , submitted. (MATLAB codes)
- Z. Lu and Y. Zhang, Penalty Decomposition Methods for Rank Minimization, submitted.(MATLAB codes)
- Z. Lu and Y. Zhang, Penalty Decomposition Methods for $L0$-Norm Minimization, submitted.(MATLAB codes)
- Z. Lu and T.K. Pong, Interior Point Methods for Optimal Experimental Designs, submitted.(MATLAB codes)
- Z. Lu, T.K. Pong and Y. Zhang, An Alternating Direction Method for Finding Dantzig Selectors, submitted.(MATLAB codes)
- Z. Lu and T.K. Pong, Error Bounds for First- and Second-Order Approximations of Eigenvalues and Singular Values, submitted.
- 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
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
- Xiaodong Ji (visiting profesor): October 2010 - present
- Hua Zheng (Master student): September 2007 - December 2009
- Ting Kei Pong (visiting researcher): July 2010 - March 2011
To prospective graduate students:
I am currently recruiting well-motivated 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 (paper-based) or 88 (computer-based). But GRE scores are NOT required. For the details of application, please visit the website: http://www.math.sfu.ca/grad/prospective.shtml.
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