David B. Brown

Associate Professor
Ph.D., Massachusetts Institute of Technology




  • Brown, D.B., J.E. Smith. 2017. Index policies and performance bounds for dynamic selection problems.
       Working paper. (.pdf)

  • Balseiro, S.R., D.B. Brown. 2018. Approximations to stochastic dynamic programs via information relaxation duality.
       Operations Research, to appear. (.pdf)

  • Balseiro, S.R., D.B. Brown, and C. Chen. 2018. Static routing in stochastic scheduling: performance guarantees and asymptotic optimality.
       Operations Research, to appear. (.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. Smith. 2014. Information relaxations, duality, and convex stochastic dynamic programs.
       Operations Research, 62(6) 1394-1415 . (.pdf). Online appendix: (.pdf)

  • Brown, D.B., J. Smith. 2013. Optimal sequential exploration: bandits, clairvoyants, and wildcats.
       Operations Research 61(3) 644-665. (.pdf). Online appendix: (.pdf)

  • 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. 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. 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)

  • Brown, D.B., M. Sim. 2009. Satisficing measures for analysis of risky positions.
       Management Science 55(1) 71-84. (.pdf)

  • 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)