David B. Brown
David B. Brown
The Fuqua School of Business, Duke University
Verified email at duke.edu - Homepage
Title
Cited by
Cited by
Year
Theory and applications of robust optimization
D Bertsimas, DB Brown, C Caramanis
SIAM review 53 (3), 464-501, 2011
19362011
Constructing uncertainty sets for robust linear optimization
D Bertsimas, DB Brown
Operations research 57 (6), 1483-1495, 2009
3372009
Information relaxations and duality in stochastic dynamic programs
DB Brown, JE Smith, P Sun
Operations research 58 (4-part-1), 785-801, 2010
2132010
A soft robust model for optimization under ambiguity
A Ben-Tal, D Bertsimas, DB Brown
Operations research 58 (4-part-2), 1220-1234, 2010
1692010
Dynamic portfolio optimization with transaction costs: Heuristics and dual bounds
DB Brown, JE Smith
Management Science 57 (10), 1752-1770, 2011
1392011
Satisficing measures for analysis of risky positions
DB Brown, M Sim
Management Science 55 (1), 71-84, 2009
1172009
Constrained stochastic LQC: a tractable approach
D Bertsimas, DB Brown
IEEE Transactions on automatic control 52 (10), 1826-1841, 2007
1102007
Optimal portfolio liquidation with distress risk
DB Brown, BI Carlin, MS Lobo
Management Science 56 (11), 1997-2014, 2010
69*2010
Aspirational preferences and their representation by risk measures
DB Brown, ED Giorgi, M Sim
Management Science 58 (11), 2095-2113, 2012
59*2012
Optimal sequential exploration: Bandits, clairvoyants, and wildcats
DB Brown, JE Smith
Operations research 61 (3), 644-665, 2013
462013
Information relaxations, duality, and convex stochastic dynamic programs
DB Brown, JE Smith
Operations Research 62 (6), 1394-1415, 2014
442014
Large deviations bounds for estimating conditional value-at-risk
DB Brown
Operations Research Letters 35 (6), 722-730, 2007
362007
Information relaxation bounds for infinite horizon markov decision processes
DB Brown, MB Haugh
Operations Research 65 (5), 1355-1379, 2017
282017
Approximations to stochastic dynamic programs via information relaxation duality
SR Balseiro, DB Brown
Operations Research 67 (2), 577-597, 2019
162019
Risk and robust optimization
DB Brown
Massachusetts Institute of Technology, 2006
112006
Dynamic pricing of relocating resources in large networks
SR Balseiro, DB Brown, C Chen
ACM SIGMETRICS Performance Evaluation Review 47 (1), 29-30, 2019
92019
Index policies and performance bounds for dynamic selection problems
DB Brown, JE Smith
Management Science, 2020
82020
Static routing in stochastic scheduling: Performance guarantees and asymptotic optimality
SR Balseiro, DB Brown, C Chen
Operations Research 66 (6), 1641-1660, 2018
72018
Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (Addendum on Gradient Penalties)
DB Brown, JE Smith
The Fuqua School of Business, Duke University, 2014
12014
Approximations to Stochastic Dynamic Programs via Information Relaxation Duality Online Appendix
SR Balseiro, DB Brown
2018
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Articles 1–20