David B. Brown Professor Ph.D., Massachusetts Institute of Technology Vita Google Scholar profile

Research Interests

Publications

• Brown, D.B., J.E Smith. 2021. Information relaxations and duality in stochastic dynamic programs: a review and tutorial.
  Working paper. (.pdf).


• Brown, D.B., J. Zhang. 2021. On the strength of relaxations of weakly coupled stochastic dynamic programs.
  Working paper. (SSRN).


• Brown, D.B., J. Zhang. 2020. Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality.
  Operations Research to appear. (SSRN).


• Balseiro, S.R., D.B. Brown, and C. Chen. 2021. Dynamic pricing of relocating resources in large networks.
  Management Science, 67(7) 4075-4094. (.pdf). Online appendix: (.pdf). RideAustin data: (.zip).
  Conference version to appear in Abstracts of the ACM International Conference on Measurement and Modeling of Computer Systems (SIGMETRICS), Phoeniz, AZ, 2019.
  - First prize, 2019 INFORMS Revenue Management & Pricing Student Paper Prize (C. Chen)


• Brown, D.B., J.E. Smith. 2020. Index policies and performance bounds for dynamic selection problems.
     Management Science, 66(7) 3029-3050. (.pdf). Online appendix: (.pdf)


• Balseiro, S.R., D.B. Brown. 2019. Approximations to stochastic dynamic programs via information relaxation duality.
     Operations Research, 67(2) 577-597. (.pdf). Online appendix: (.pdf)


• Balseiro, S.R., D.B. Brown, and C. Chen. 2018. Static routing in stochastic scheduling: performance guarantees and asymptotic optimality.
     Operations Research, 66(6) 1641-1660. (.pdf). Online appendix: (.pdf)


• Brown, D.B., M.B. Haugh. 2017. Information relaxation bounds for infinite horizon Markov decision processes.
     Operations Research, 65(5) 1355-1379. (.pdf). Online appendix: (.pdf)


• Brown, D.B., J.E. Smith. 2014. Information relaxations, duality, and convex stochastic dynamic programs.
     Operations Research, 62(6) 1394-1415 . (.pdf). Online appendix: (.pdf)


• Brown, D.B., J.E. Smith. 2013. Optimal sequential exploration: bandits, clairvoyants, and wildcats.
     Operations Research 61(3) 644-665. (.pdf). Online appendix: (.pdf)
  - First prize, 2015 INFORMS Decision Analysis Society Best Paper Award


• Brown, D.B., E. De Giorgi, M. Sim. 2012. Aspirational preferences and their representation by risk measures.
     Management Science 58(11) 2095-2113. (.pdf). Online appendix: (.pdf)


• Brown, D.B., J.E. Smith. 2011. Dynamic portfolio optimization with transaction costs: heuristics and dual bounds.
     Management Science 57(10) 1752-1770. (.pdf). Online appendix: (.pdf). Addendum on gradient penalties: (.pdf)


• Brown, D.B., B. Carlin, M.S. Lobo. 2010. Optimal portfolio liquidation with distress risk.
     Management Science 56(11) 1997-2014. (.pdf)


• Ben-Tal, A., D. Bertsimas, D.B. Brown. 2010. A soft robust model for optimization under ambiguity.
     Operations Research 58(4) 1220-1234. (.pdf). Online appendix: (.pdf)


• Brown, D.B., J.E. Smith, P. Sun. 2010. Information relaxations and duality in stochastic dynamic programs.
     Operations Research, 58(4) 785-801. (.pdf). Online appendix: (.pdf)


• Bertsimas, D., D.B. Brown, C. Caramanis. 2011. Theory and applications of robust optimization.
     SIAM Review 53(3) 464-501. (.pdf)


• Bertsimas, D., D.B. Brown. 2009. Constructing uncertainty sets for robust linear optimization.
     Operations Research 57(6) 1483-1495. (.pdf)
  - Second prize, 2006 INFORMS George Nicholson Student Paper Compeition


• Brown, D.B., M. Sim. 2009. Satisficing measures for analysis of risky positions.
     Management Science 55(1) 71-84. (.pdf)
  - First prize, 2007 INFORMS Junior Faculty Interest Group Paper Competition


• Brown, D.B. 2007. Large deviations bounds for estimating conditional value-at-risk.
     Operations Research Letters 35(6) 722-730. (.pdf)


• Bertsimas, D., D.B. Brown. 2007. Constrained stochastic LQC: a tractable approach.
     IEEE Trans. Aut. Control 52(10) 1826-1841. (.pdf)