Zhihua Allen-Zhao

Address: South Campus: 266 Xinglong Section of Xifeng Road, Xi’an, Shaanxi 710126

Email: allenzhaozh@gmail.com

Zhihua Allen-Zhao

Lecturer
School of Mathematics and Statistics
Xidian University.

Email: allenzhaozh@gmail.com

I am currently a Lecturer in the School of Mathematics and Statistics at Xidian University. I received my PhD from the School of Economics and Finance (Financial Optimization) at Xi’an Jiaotong University, advised by Fengmin Xu. Before that, I obtained my master of science from the School of Mathematics and Statistics (Operations Research) at Xi’an Jiaotong University, advised by Fengmin Xu.

ORCID: https://orcid.org/0000-0003-2391-5337

Google Scholar: https://scholar.google.com/citations?user=i-YP7WUAAAAJ

Research Interests

• Theory and algorithms for continuous optimization including sparse optimization, stochastic optimization, and robust optimization
• Applications in quantitative finance, data science, and machine learning

Academic Experience

• The Hong Kong Polytechnic University, Hong Kong, Research Associate

2024.03–2024.08

Supervisor: Prof. Xiaojun Chen

• Chines Academy of Sciences, Beijing, Visiting Scholar

2015.05–2015.08, 2013.09–2013.12

Supervisor: Prof. Yu-Hong Dai

Teaching

• Advanced Mathematics A-I, Fall 2023, 2024.
• Advanced Mathematics A-II, Spring 2023.
• Engineering Optimization, Fall 2023.

Research Papers

• Alternating Penalty Methods for Generalized Lp-Regularization Optimization with Linear Constraints (with Z. Li), submitted.
• Tensorized Subspace Learning with Bipartite Graph Embedding for Incomplete Multiview Clustering (with M. Jia), submitted.
• Robust Solutions to a System of Stochastic Vertical Linear Complementarity Problems (with X. Zha and X. Chen), submitted.
• Green Portfolio Optimization under Uncertainty and Randomness (with Z. Li and S. Liu), submitted.
• Cardinality-constrained Low-rank Least Squares Regression for Multi-view Subspace Clustering (with M. Jia, S. Liu, Y. Zhao and X. He), submitted.
• Inertial Primal-dual Projection Neurodynamic Approaches for Constrained Convex Optimization Problems and Application to Sparse Recovery (with Y. Zhao, L. Wang and X. He), to appear in Neural Networks, 2025.
• Sparse Portfolio Optimization via L1 over L2 Regularization (with Z. Wu, K. Sun, Z. Ge and T. Zeng), European Journal of Operational Research, 2024, 319(3): 820-833.
• Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint (with F. Xu, Y. Dai and S. Liu), Computers & Operations Research, 2024, 161: 106420.
• Chance constrained conic-segmentation support vector machine with uncertain data (with S. Peng and G. Canessa), Annals of Mathematics and Artificial Intelligence, 2023: 1-23.
• Robust portfolio rebalancing with cardinality and diversification constraints (with F. Xu, D. Du and M. Wang), Quantitative Finance, 2021, 21(10): 1707-1721.
• CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints (with H. Wang, X. Yang and F. Xu), Applied Economics Letters, 2020, 28(3): 201-207.
• Efficient projected gradient methods for cardinality constrained optimization (with F. Xu, Y. Dai and Z. Xu), Science China-Mathematics, 2019, 62(2): 245-268.
• A sparse enhanced indexation model with L1/2 norm and its alternating quadratic penalty method (with F. Xu, M. Wang and C. Zhang), Journal of the Operational Research Society, 2019, 70(3): 433-445.
• Adaptive projected gradient thresholding methods for constrained L0 problems (with F. Xu and X. Li), Science China-Mathematics, 2015, 58(10): 2205-2224.
• Partly Adaptive Elastic Net and Its Application to Microarray Classification (with J. Li and Y. Jia), Neural Computing and Applications, 2013, 22(6): 1193-1200.

Technical Reports

• Portfolio Optimization with Transaction Costs under Sparsity and Ambiguity via Accelerated ADMM, ORSC-FERM2024, Guangzhou.
• Cardinality-constrained Low-Rank Least Squares Regression for Multi-view Subspace Clustering, ASA2023, Tianjin.
• Sparse Robust Enhanced Indexation Optimization, Nanjing University of Information Science and Technology, 2023.
• Green Portfolio Optimization under Uncertainty and Randomness, ORSC-FERM2023, Fuzhou.
• Robust Enhanced Indexation Optimization with Sparse Industry Layout Constraint, CSIAM2023, Kunming.
• Models and Algorithms for Constrained Sparse Finance Optimization, Henan University, 2022.
• Worst-case CVaR Portfolio Rebalancing with Cardinality and Diversification Constraints, Northwestern Polytechnical University, 2021.

Research Group

• Shen Peng (Lecturer): June 2022 - present
• Mengxue Jia (PhD student): September 2021 – present
• Kewei Jie (PhD student): September 2021 – present
• Chenzheng Guo (PhD student): September 2024 – present
• Lixing Duan (PhD student): September 2024 – present
• Zeyu Li (PhD student): March 2025 – present
• Jiayi Lu (Graduate student): September 2021 – June 2024
• Xinyi Zhang (Graduate student): September 2021 – June 2024
• Yujun Liu (Graduate student): September 2023 – present
• Zemin You (Graduate student): September 2023 – present
• Ze Gao (Graduate student): September 2024 – present