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, 20172021.
 The President's Research Grant, Simon Fraser University, 20062008.
 INFORMS George Nicholson Best Student Paper Competition, Finalist, 2005.
Teaching
 MATH 808 Advanced Linear Programming, Spring 2012, 2016, 2018 SFU.
 APMA 923 Numerical Methods in Continuous Optimization, Fall 2011, 2013, 2015, 2017 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, 2015, 2017 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
 IterationComplexity of FirstOrder Augmented Lagrangian Methods for Convex Conic Programming (with Z. Zhou), submitted.
 Penalty and Augmented Lagrangian Methods for a Class of Structured Nonsmooth DC Constrained DC Program (with Z. Sun and Z. Zhou), submitted.
 Enhanced Proximal DC Algorithms with Extrapolation for a Class of Structured Nonsmooth DC Minimization (with Z. Sun and Z. Zhou), submitted.
 An Exact Penalty Method for SemidefiniteBox Constrained LowRank Matrix Optimization Problems (X. Chen, Y.H. Dai and T. Liu), submitted.
 Optimization over Sparse Symmetric Sets via a Nonmonotone Projected Gradient Method
, submitted.
 Sparse Recovery via Partial Regularization:
Models, Theory and Algorithms (with X. Li), accepted by Mathematics of Operations Research, 2017.
 Generalized Conjugate Gradient Methods for $\ell_1$ Regularized
Convex Quadratic Programming with Finite Convergence (with X. Chen), accepted by Mathematics of Operations Research, 2017.
 $\ell_p$ Regularized LowRank Approximation via Iterative Reweighted Singular Value Minimization (with J. Lu and Y. Zhang).
Computational Optimization and Applications, 68(3):619642, 2017.
 Randomized Block Proximal Damped Newton Method for Composite SelfConcordant Minimization,
SIAM Journal on Optimization, 27(3), 19101942, 2017.
 A Randomized Nonmonotone Block Proximal Gradient Method for a Class
of Structured Nonlinear Programming (with L. Xiao), SIAM Journal on Numerical Analysis,
55(6): 29302955, 2017.
 An Augmented Lagrangian Method for NonLipschitz Nonconvex Programming
(with X. Chen, L. Guo and J. Ye), SIAM Journal on Numerical Analysis, 55(1), 168193, 2017.
 Penalty Methods for a Class of NonLipschitz Optimization Problems
(with X. Chen and T.K. Pong), SIAM Journal on Optimization, 26(3): 14651492, 2016.
(MATLAB codes)
 An Efficient Optimization Approach for Cardinalityconstrained Index Tracking Problems (with F. Xu and Z. Xu),
Optimization Methods and Software, 31(2):258271, 2016.
 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.
 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).
 An Accelerated Proximal Coordinate Gradient Method (with Q. Lin and L. Xiao),
Proceedings of Neural Information Processing Systems (NIPS), 30593067, 2014.
 Orthogonal RankOne Matrix Pursuit
for Matrix Completion (with M. Lai, Z. Wang and J. Ye), Proceedings of The 31st International Conference on Machine Learning, 9199, 2014.
 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),
Proceedings of the 19th ACM SIGKDD international conference on Knowledge discovery and data mining (KDD 2013), 10341042, 2013.

A General Iterative Shrinkage and Thresholding Algorithm for Nonconvex Regularized Optimization Problems (with P. Gong, J. Huang, J. Ye and C. Zhang),
JMLR W&CP, 28(2):3745, 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: Computational Optimization and Applications.
Associate Editor: Big Data and Information Analytics.
My Research Group
Current graduate students and postdoc fellow
 Zirui Zhou (Alan Mekler Postdoctoral Fellow): October 2016  present
 Jiaojiao Yang (Visiting PhD student): October 2016  present
 Xiaorui Li (PhD student): September 2014  present
Former graduate students and visitors
 Yong Zhang (PhD student): March 2009  August 2014.
Current position: Huawei research lab in Vancouver.
 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.
 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 PhD 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. The minimum university
requirements for test scores is TOEFL 88 with a minimum of 20 in each category
(internet based exam), or TOEFL 570 and TWE 5 (paper based), or TOEFL 230 (computer based),
and IELTS overall band score of 7.0. For the details of application, please visit the
website: http://www.math.sfu.ca/grad/prospective.shtml.
Two Advantages of international students to apply Canadian Universities:
1. You can become a Canadian permanent resident while studying for
your PhD degree. Canada intends to accept up to 1,000 international PhD students
per year as permanent residents through the Federal Skilled Worker Program.
Starting November 5, 2011, many international PhD students will be eligible
to submit applications for processing as federal skilled workers. To be eligible,
they must have completed at least two years of study toward the attainment of
a PhD and remain in good academic standing at a provincially recognized
postsecondary educational institution in Canada.
2. GRE scores are not required.
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