Zhaosong Lu
Assistant Professor in Operations Research
Department of Mathematics
Simon Fraser University
Office: Surrey 14-360
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 appointed as 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, SFU.
- MACM 316 Numerical Analysis I, Spring 2008, SFU.
- MATH 309 Continuous Optimization, Fall 2007, SFU.
- MACM 201 Discrete Mathematics, Spring 2007, 2008, SFU.
- MATH 348 Probabilistic Models in Operations Research, Spring 2007, SFU.
- 21-112 Calculus II, Spring 2006, Carnegie Mellon.
- 21-690 Methods of Optimization, Fall 2005, Carnegie Mellon.
- ISyE4231 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)
- G. Lan, Z. Lu and R.D.C. Monteiro, Primal-dual First-order Methods with ${\cal O}(1/\epsilon)$ Iteration-complexity for Cone Programming, to appear in Mathematical Programming .
- Z. Lu, A Computational Study on Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, to appear in Mathematical Programming.
- Z. Lu, Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set, to appear in Optimization Methods and Software.
- Z. Lu, Adaptive First-Order Methods for General Sparse Inverse Covariance Selection, accepted in SIAM Journal on Matrix Analysis and Applications. (MATLAB code)
- Z. Lu, R.D.C. Monteiro and M. Yuan, Convex Optimization Methods for Dimension Reduction and Coefficient Estimation in Multivariate Linear Regression, submitted (revised version).
- Z. Lu and Y. Zhang, An Augmented Lagrangian Approach for Sparse Principal Component Analysis, submitted.(MATLAB code)
- D. Zhang and Z. Lu, Assessing the Value of Dynamic Pricing in Network Revenue Management, submitted.
- Z. Lu, Primal-Dual First-Order Methods for a Class of Cone Programming with Application to the Dantzig Selector, submitted (revised version). (MATLAB code)
- Z. Lu, Minimizing Condition Number via Convex Programming, 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.
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