1998 - 1999 CS Annual Report                                                        Researchers
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Yuying Li

Senior Research Associate

PhD Waterloo, 1988

My general research interests are in numerical optimization and scientific computation. In addition, I am interested in the application of optimization methods to medical, engineering, and financial problems. My current interests include generalizing the trust region theory for
unconstrained minimization to nonlinearly constrained minimization using an affine scaling and trust region minimization approach. My research focus is on both theoretical analysis and computational performance. On 

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the application front, my current research is directed at computing volatility for financial derivative pricing and hedging. 


  • Exploiting structure of large QPs arising in statistical learning theory. Applications of
    Large-Scale Optimization, 1998 SIAM Annual Meeting, Toronto, CA, July 13-24, 1998.  
  • Optimization in Support Vector Regression: A Financial Application. International Conference on Nonlinear Programming and Variational Inequality. Dec. 15-18, 1998.  
  • Reconstructing the Unknown Local Volatility Function, The Journal of Computational Finance 2, 3 (1999), 77-102 (with T. Coleman and Arun Verma).