Brown, D.B., C. Uru. 2022. Sequential search with acquisition uncertainty.
Working paper. (SSRN).
Brown, D.B., J.E Smith. 2022. Information relaxations and duality in stochastic dynamic programs: a review and tutorial.
Foundations and Trends in Optimization, 5(3), 246-339. (.pdf).
Brown, D.B., J. Zhang. 2021. On the strength of relaxations of weakly coupled stochastic dynamic programs.
Operations Research, to appear. (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., 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)
