David B. Brown

Publications

• Brown, D.B., J.E. Smith. 2023.
  Unit commitment without commitment: a dynamic framework for managing an integrated energy system under uncertainty. Operations Research, to appear.
  
  

• Brown, D.B., J. Zhang. 2022.
  Fluid policies, reoptimization, and performance guarantees in dynamic resource allocation. Operations Research, to appear.
  
  

• Brown, D.B., C. Uru. 2023.
  Sequential search with acquisition uncertainty. Management Science, to appear.

  • Second place, 2023 INFORMS Manufacturing and Service Operations Management Student Paper Competition (C. Uru)
    
    

• 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.
  
  

• Brown, D.B., J. Zhang. 2023.
  Technical Note—On the strength of relaxations of weakly coupled stochastic dynamic programs. Operations Research, 71(60), 2374-2389.
  
  

• Brown, D.B., J. Zhang. 2022.
  Dynamic programs with shared resources and signals: dynamic fluid policies and asymptotic optimality. Operations Research 70(5) 3015-3033. Online appendix: (.pdf).
  
  

• Balseiro, S.R., D.B. Brown, and C. Chen. 2021.
  Dynamic pricing of relocating resources in large networks. Management Science 67(7) 4075-4094. Online appendix: (.pdf). RideAustin data: (.zip).

(Conference version 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. 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. 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. 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. Online appendix: (.pdf)
  
  

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

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

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

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

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

• Bertsimas, D., D.B. Brown. 2009.
  Constructing uncertainty sets for robust linear optimization. Operations Research 57(6) 1483-1495.

  • Second prize, 2006 INFORMS George Nicholson Student Paper Competition
    
    

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

  • 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.
  
  

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