Brown, D.B., M.B. Haugh. 2014. Information relaxation bounds for infinite horizon Markov decision processes. Working paper. (.pdf)
Brown, D.B., J. Smith. 2013. Information relaxations, duality, and convex stochastic dynamic programs. Operations Research, to appear. (.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)
