Faculty

Institution

Unit

Venue

David B. Brown

Professor

Duke University

Affiliations

Fuqua School of Business

David B. Brown is currently serving as a Fuqua School Of Business Professor at Duke University.

Honors

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Experiences

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Education

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David B. Brown

Duke University

Professor

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mathematical optimization applied mathematics operations research mathematical programming computational optimization stochastic dynamics finance systems engineering decision theory computer science uncertainty quantification stochastic process mathematical finance risk management decision science stochastic optimization dynamic optimization information relaxations financial economics investment management theoretical economics economic behavior behavioral decision making robust optimization dynamic programming portfolio optimization optimal investment security choice theory financial stability convex analysis finance research quantitative management economic psychology combinatorial optimization portfolio allocation portfolio management optimization problems choice models control optimization operation management constrained optimization liquidity sequential decision making revealed preferences resource allocation dynamic resource allocation decision analysis optimal policy stochastic dynamic programs risk aversion engineering optimization uncertainty management robust statistics uncertainty modeling portfolio choice robustness (computer science) data-driven optimization linear systems semidefinite programming preference modeling convex optimization network optimization dynamic pricing exploration v exploitation coherent risk measures uncertainty sets strong duality weak duality dynamic portfolio optimization transaction costs soft robust model standard robustness robust guarantees risky positions financial positions ro approaches energy optimization energy planning sustainable energy energy strategies energy management

Notable Scholarly Works

Notable Federal Grants

Collaborators

Sequential Search With Acquisition Uncertainty. Management Science (2024)

David B. BrownCagin Uru

strategic managementacquisition uncertaintymanagementacquisitionssequential searchmanagement science

91. Conserved Epidermal Factors Direct Bone Growth in Mouse Digit Tip Regeneration. Plastic & Reconstructive Surgery Global Open (2023)

David A. BrownGrant R. DarnerThomas DvergstenTimothy CurtisJoshua D. CurrieKenneth D. Poss

reconstructive surgeryplastic surgeryconserved epidermal factorsregenerative medicinemammalian biologyorthopedic surgerybone growthdevelopmental biologyorthopaedic surgery

Fluid Policies, Reoptimization, and Performance Guarantees in Dynamic Resource Allocation. Operations Research (2023)

David B. BrownJingwei Zhang

systems engineeringdynamic resource allocationfluid policiesoperations research

Unit Commitment Without Commitment: A Dynamic Framework for Managing an Integrated Energy System Under Uncertainty. SSRN Electronic Journal (2023)

David B. BrownJames Smith

systems engineeringmanagementsocial sciencesunit commitmentenergy systemssocial science researchdynamic framework

Information Relaxations and Duality in Stochastic Dynamic Programs: A Review and Tutorial. Foundations and Trends® in Optimization (2022)

David B. BrownJames E. Smith

information relaxationsstochastic dynamic programsstochastic optimizationmathematical optimization

Technical Note—on the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs. Operations Research (2022)

David B. BrownJingwei Zhang

technical noterelaxation processstochastic dynamic programsapplied mathematicsoperations research

Dynamic Programs With Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality. Operations Research (2021)

David B. BrownJingwei Zhang

systems engineeringmathematical programmingstochastic dynamicsdynamic programsapplied probabilitymathematical optimizationoperation managementasymptotic optimalitystochastic systemsstochastic processresource allocationdynamic optimizationdynamic programmingapplied mathematicsquantitative managementapproximation methodsoperations research

Dynamic Pricing of Relocating Resources in Large Networks. Management Science (2020)

Santiago R. BalseiroDavid B. BrownChen Chen

mathematical programmingoptimal policymathematical optimizationmarket designdynamic pricing policynetwork optimizationresource allocationcombinatorial optimizationnetworked system designdynamic pricingdynamic resource allocationoperations research

Index Policies and Performance Bounds for Dynamic Selection Problems. Management Science (2020)

David B. BrownJames E. Smith

sequential decision makingcomputational optimizationmathematical programmingdynamic selection problemsstochastic dynamicsperformance boundsmarket designoperation managementmathematical optimizationoptimization problemsdecision theorydynamic optimizationcombinatorial optimizationapplied mathematicsquantitative managementdynamic programmingindex policiesoperations research

Approximations to Stochastic Dynamic Programs via Information Relaxation Duality. Operations Research (2019)

Santiago R. BalseiroDavid B. Brown

mathematical programmingstochastic dynamicsstochastic optimizationmathematical optimizationinformation relaxation dualitystochastic processdynamic optimizationapplied mathematics

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David B. Brown

Professor

Duke University

Affiliations

Fuqua School of Business

David B. Brown is currently serving as a Fuqua School Of Business Professor at Duke University.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

David B. Brown

Duke University

Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Sequential Search With Acquisition Uncertainty. Management Science (2024)

David B. BrownCagin Uru

strategic managementacquisition uncertaintymanagementacquisitionssequential searchmanagement science

91. Conserved Epidermal Factors Direct Bone Growth in Mouse Digit Tip Regeneration. Plastic & Reconstructive Surgery Global Open (2023)

David A. BrownGrant R. DarnerThomas DvergstenTimothy CurtisJoshua D. CurrieKenneth D. Poss

reconstructive surgeryplastic surgeryconserved epidermal factorsregenerative medicinemammalian biologyorthopedic surgerybone growthdevelopmental biologyorthopaedic surgery

Fluid Policies, Reoptimization, and Performance Guarantees in Dynamic Resource Allocation. Operations Research (2023)

David B. BrownJingwei Zhang

systems engineeringdynamic resource allocationfluid policiesoperations research

Unit Commitment Without Commitment: A Dynamic Framework for Managing an Integrated Energy System Under Uncertainty. SSRN Electronic Journal (2023)

David B. BrownJames Smith

systems engineeringmanagementsocial sciencesunit commitmentenergy systemssocial science researchdynamic framework

Information Relaxations and Duality in Stochastic Dynamic Programs: A Review and Tutorial. Foundations and Trends® in Optimization (2022)

David B. BrownJames E. Smith

information relaxationsstochastic dynamic programsstochastic optimizationmathematical optimization

Technical Note—on the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs. Operations Research (2022)

David B. BrownJingwei Zhang

technical noterelaxation processstochastic dynamic programsapplied mathematicsoperations research

Dynamic Programs With Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality. Operations Research (2021)

David B. BrownJingwei Zhang

Dynamic Pricing of Relocating Resources in Large Networks. Management Science (2020)

Santiago R. BalseiroDavid B. BrownChen Chen

Index Policies and Performance Bounds for Dynamic Selection Problems. Management Science (2020)

David B. BrownJames E. Smith

Approximations to Stochastic Dynamic Programs via Information Relaxation Duality. Operations Research (2019)

Santiago R. BalseiroDavid B. Brown

mathematical programmingstochastic dynamicsstochastic optimizationmathematical optimizationinformation relaxation dualitystochastic processdynamic optimizationapplied mathematics

1
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3
10 / page

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quantitative management

dynamic programming

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Rensselaer Polytechnic Institute

financial engineering

international financial market

John R. Birge

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applied mathematics

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