Yuying Li

Some links


Convocation 2013



Modo Yoga Austin Yoga



Description: Description: Z:\public_html\Li_05web.jpg
Professor (PhD, Waterloo, 1988)
School of Computer Science
DC 3623
200 University Avenue West
University of Waterloo
Waterloo, Ontario, Canada, N2L 3G1

email: yuying@uwaterloo.ca
phone: 519 888 4567 ext. 7825
fax: 519 885 1208


Panda (Predictive Advanced Nonlinear Diagnostic Analyzer, Aditya Tayal, Yuying Li, Tom Coleman), ranks the fourth place in the Heritage Health Provider Network Competition.


In 2006 over $30 billion was spent on unnecessary hospital admissions in the United States.  In an effort to address this extraordinary challenge, the Heritage Provider Network (HPN) https://www.heritagehealthprize.com, sponsored a global incentivized competition.  The objective: to create an algorithm that uses patient data to predict hospitalizations.  The competition ran for two years (ending April 4,2013) with a grand prize of $3 million. It attracted over 1600 teams with participants from various disciplines around the world, including data scientists, biostatisticians, physicians, engineers, industry players. Note:  Winner and placement among top 10 will be revealed publicly on June 3/4 at the Health DataPalooza Conference.

How we made it to the 4th place?

Research and Publications

Google Scholar Link

My current research interest is data mining and computational finance. I am generally interested in algorithm design, analysis, and implementation for scientific computing problems. More specifically, I am interested in:

  • Data mining: supervised, semi-supervised learning, feature selection, ordinal regression, similarity measure
  • Fraud detection, e.g., unsupervised auto insurance fraud detection
  • Computational finance
  • Computational methods for optimization
  • Trust region methods
  • Large scale optimization
  • Image restoration and segmentation

I have a few recent manuscripts available on-line: ( More Publications here )

  • A. Tayal, T. F. Coleman ,and Y. Li, ''Bounding the Difference Between RankRC and RankSVM and Application to Multi-Level Rare Class Kernel Ranking'', pdf, 369KB. Submitted, 2015.
  • A. Tayal, T. F. Coleman ,and Y. Li, ''RankRC: Large-scale Nonlinear Rare Class Ranking'', pdf, 357KB. IEEE Transactions on Knowledge and Data Engineering, Vol 27, December 2015.
  • A. Tayal, T. F. Coleman ,and Y. Li, ''Primal Explicit Max Margin Feature Selection for Nonlinear Support Vector Machines'', pdf, 619KB. To appear in J. Pattern Recognition, 2013.
  • J. Xi,T. F. Coleman ,and Y. Li, ''A Gradual Non-convexification Method for Minimizing VaR'', pdf,600KB. Journal of Risk, vol 26, (3), 23-47,2014.
  • S. Moazeni,T. F. Coleman ,and Y. Li, ''Regularized Optimal Portfolio Optimization, an Optimal Execution Case'', pdf, 600KB. To appear in Journal of Computational Optimization and Application, 2013.
  • S. T. Tse, P. A. Forsyth, and Y. Li, ''Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization'', pdf,600KB. Submitted to SIAM J. on Control and Optimization, 2013.
  • T. F. Coleman,Y. Li and C. Wang, ''Stable Local Volatility Calibration Using Kernel Splines'', pdf,600KB.  To appear in Journal of Computational Optimization and Application, 2013.
  • T. F. Coleman and Y. Li, Optimization & Finance, Encyclopedia of Quantitative Finance, R. Cont (Ed), John Wiley \& Sons Ltd. Chichester, UK. pp. 1322-1327. 2010.
  • S. Moazeni, T. F. Coleman and Y. Li, ''Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters'', pdf, 619KB. Submitted to SIAM J. Optimization, 2008.
  • L. Zhu, T. F. Coleman and Y. Li, ''Min-Max Robust and CVaR Robust Mean-Variance Portfolios'', pdf, 619KB. Submitted to Journal of Risk, 2007.
  • S. Moazeni, Y. Li, K. Larson, ''Execution Costs in financial markets with several institutional investors'', pdf, 229KB. Proceedings of the Fourth IASTED International Conference, Financial Engineering and Application , pp 31-37, 2007.
  • T. F. Coleman, Y. Kim, Y. Li and M. Patron, '' Robustly Hedging Variable Annuities with Guarantee Under Jump and Volatility Risks'', pdf, 229KB. Journal of Risk and Insurance , Vol 74, pp 347-376, June 2007.
  • C. He, T. F. Coleman, and Y. Li, ''Calibrating Volatility Function Bounds for An Uncertain Volatility Model '', pdf, 190KB. 2006
  • C. He, T. F. Coleman, and Y. Li, ''Computation and Analysis for a Constrained Entropy Optimization Problem in Finance '', pdf, 234KB. 2006. To appear in Journal of Computational and Applied Mathematics.
  • S. Alexander, T. F. Coleman, and Yuying Li, ''Minimizing VaR and CVaR for a Por tfolio of Derivatives'', pdf, 690KB. Journal of Banking and Finance, Vol. 30, no. 2, pp. 583-605, 2006.
  • T. F. Coleman, J. Henninger, Y. Li, '' Minimizing Tracking Error While Restricting the Number of Assets'', pdf, 257KB. Journal of Risk, vol 8, pp. 33-56, 2006.
  • T. F. Coleman, Y. Li and M. Patron, '' Hedging Guarantees in Variable Annuities (Under Both Market and Interest Rate Risks)'', pdf, 190KB. Insurance: Mathematics and Economics , vol 38, pp. 215-228, 2006.
  • T.F. Colemanm, Y. Li, and C. Patron ``Total risk minimization'', pdf, 607KB. Handbook of Financial Engineering. Published by Elsevier, Edited by John R. Birge and Vadim Linetsky, pp. 593-635, 2007.
  • C. He, J. S. Kennedy, T. F. Coleman, P. A. Forsyth, Y. Li and K. Vetzal, pdf, 1,334KB. ''Calibration and Hedging under Jump Diffusion'', Review of Derivative Research, vol 9, pp 1-35, 2006.
  • T. F. Coleman, D. Levchenkov and Y. Li, ''Discrete hedging of American-type options using local risk minimization'', pdf, 338KB. Journal of Banking and Finance, vol 31, pp 3398-3419, 2007.
  • S. Alexander, T. F. Coleman and Y. Li, ''Derivative Portfolio Hedging Based on CVaR'', pdf, 248KB. New Risk Measures for the 21st Century, edited by G. Szego, pp. 3 39-363, 2004.
  • T. F. Coleman, Y. Li and M. Patron, ''Discrete Hedging under Piecewise Linear Ri sk Minimization'', pdf,179LB. Journal of Risk , Vol. 5, pp. 39-65, 2003.
  • K. Boyle, T. F. Coleman and Y. Li, ''Hedging a Portfolio of Derivatives by Modeling Cost'', pdf,822KB. IEEE Proceedings of the 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), March 21-23, 2003, Hong Kong.
  • T. F. Coleman, Y. Li and A. Verma, ''A Newton Method for American Option Pricing'', pdf,183KB. Journal of Computational Finance. Vol. 5, No 3, Spring 2002: 51-78.
  • T. F. Coleman, Y. Li, Y. Kim and A. Verma, ''Dynamic Hedging with a Deterministic Volatility Function Model'', pdf,376KB. Journal of Risk , pp. 64-90, Vol. 4, 2001.
  • T. F. Coleman, Y. Li and A. Mariano, ''Segmentation of Pulmonary Nodule Image Using 1-norm Minimization'', pdf, 9,839KB. Computational Optimization and Applications , Vol. 19, September 2001, pp. 243-272.
  • T. F. Coleman and Y. Li, ''A Trust Region and Affine Scaling Interior Point Method for Nonconvex Minimization with Linear Inequality Constraints'', pdf, 12,416KB. Mathematical Programming Series A , 88(1), 2000, pp. 1-32.
  • T. F. Coleman, Y. Li and Arun Verma, '' Reconstructing the Unknown Local Volatility Function'', pdf,595KB. Journal of Computational Finance, Vol. 2, 1999, pp. 77-102.
  • M. Branch, T. F. Coleman and Y. Li, ''A Subspace, Interior and Conjugate Gradient Method for Large-scale Bound-constrained Minimization Problems'', pdf,10,387KB. SIAM Journal on Scientific Computing, Vol. 21, 1999 pp. 1-21.