David B. Brown
My research focuses on designing and analyzing solution techniques and algorithms for decision problems involving uncertainty and complex tradeoffs. This work is methodological in nature and cuts across various application areas.
As a co-PI on the GRACE project funded by the U.S. Department of Energy’s Advanced Research Projects Agency, I am also actively involved in research on improving the efficiency and reliability of electricity grid operations in the face of uncertainty in renewable energy sources.
Brown, D.B., J. Zhang. 2022.
Fluid policies, reoptimization, and performance guarantees in dynamic resource allocation. Under review.
Brown, D.B., C. Uru. 2022.
Sequential search with acquisition uncertainty. Under review.
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. 2021.
On the strength of relaxations of weakly coupled stochastic dynamic programs. Operations Research, articles in advance.
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.