David B. Brown | Scholars@Duke

David B. Brown
Professor of Business Administration

David B. Brown is a Professor at the Fuqua School of Business at Duke University. He has been at Fuqua as a member of the Decision Sciences area since receiving his Ph.D. in Electrical Engineering and Computer Science from MIT in 2006.

Professor Brown's research is within the field of operations research and focuses broadly on the design and analysis of solution methods for large-scale optimization problems involving uncertainty. This work entails the use of techniques from optimization theory, applied probability, and stochastic processes. His research focuses on both computational issues (e.g., designing efficient algorithms) as well as theoretical questions (e.g., deriving performance guarantees that show that a particular method performs well).

Professor Brown’s research has appeared in publications such as Management Science and Operations Research and his research has been recognized with several awards through the Institute for Operations Management and the Management Sciences (INFORMS). His work is relevant for individuals or firms seeking to systematically understand and manage risk as well as for those aiming to improve decision-making in complex problems affected by uncertainty. Examples of applications of his work are (a) how ride-hailing platforms can optimally price ride requests dynamically to maximize revenues; (b) how retailers can optimally offer a mix of new products in the presence of unknown demands; (c) how to sequentially search and select from a large set of alternatives with a limited budget; and (d) how to manage a portfolio of assets in the presence of transaction costs and changing market conditions. He has experience in the asset management and hedge fund industries. His recent teaching includes a PhD course on Convex Optimization and an MBA course in Decision Models and he has won teaching awards in Fuqua's Weekend Executive MBA program and Master of Management Studies (DKU) program.

Current Appointments & Affiliations

Professor of Business Administration, Fuqua School of Business, Duke University 2020

Contact Information

Fuqua School of Business, 90120, Durham, NC 27708
dbbrown@duke.edu (919) 660-7968
Fuqua Faculty Profile

Background
Education, Training, & Certifications
- Ph.D., Massachusetts Institute of Technology 2006
- M.S., Stanford University 2001
- B.S., Stanford University 2000
Previous Appointments & Affiliations
- Associate Professor of Business Administration, Fuqua School of Business, Duke University 2013 - 2020
- Associate Professor of Business Administration in the Fuqua School of Business, Fuqua School of Business, Duke University 2010 - 2013
- Assistant Professor of Business Administration, Fuqua School of Business, Duke University 2006 - 2010
Recognition
In the News
- MAY 17, 2023 Fuqua School of Business
  
  A Better Way of Pricing Your Rideshare
Research
Selected Grants
- A Grid that's Risk-Aware for Clean Electricity - GRACE awarded by Department of Energy 2020 - 2024
Publications & Artistic Works
Selected Publications
- Academic Articles
  - Brown, D. B., and J. Zhang. “Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality.” Operations Research 70, no. 5 (September 1, 2022): 3015–33. https://doi.org/10.1287/opre.2021.2181.
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  - Balseiro, S. R., D. B. Brown, and C. Chen. “Dynamic pricing of relocating resources in large networks.” Management Science 67, no. 7 (July 1, 2021): 4075–94. https://doi.org/10.1287/mnsc.2020.3735.
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  - Brown, D. B., and J. E. Smith. “Index policies and performance bounds for dynamic selection problems.” Management Science 66, no. 7 (July 1, 2020): 3029–50. https://doi.org/10.1287/mnsc.2019.3342.
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  - Balseiro, S. R., and D. B. Brown. “Approximations to stochastic dynamic programs via information relaxation duality.” Operations Research 67, no. 2 (January 1, 2019): 577–97. https://doi.org/10.1287/opre.2018.1782.
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  - Balseiro, S. R., D. B. Brown, and C. Chen. “Static routing in stochastic scheduling: Performance guarantees and asymptotic optimality.” Operations Research 66, no. 6 (November 1, 2018): 1641–60. https://doi.org/10.1287/opre.2018.1749.
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  - Brown, D. B., and M. B. Haugh. “Information relaxation bounds for infinite horizon markov decision processes.” Operations Research 65, no. 5 (September 1, 2017): 1355–79. https://doi.org/10.1287/opre.2017.1631.
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  - Brown, D. B., and J. E. Smith. “Information relaxations, duality, and convex stochastic dynamic programs.” Operations Research 62, no. 6 (November 1, 2014): 1394–1415. https://doi.org/10.1287/opre.2014.1322.
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  - Brown, D. B., and J. E. Smith. “Optimal sequential exploration: Bandits, clairvoyants, and wildcats.” Operations Research 61, no. 3 (May 1, 2013): 644–65. https://doi.org/10.1287/opre.2013.1164.
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  - Brown, D. B., E. De Giorgi, and M. Sim. “Aspirational preferences and their representation by risk measures.” Management Science 58, no. 11 (November 1, 2012): 2095–2113. https://doi.org/10.1287/mnsc.1120.1537.
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  - Bertsimas, D., D. B. Brown, and C. Caramanis. “Theory and applications of robust optimization.” Siam Review 53, no. 3 (December 1, 2011): 464–501. https://doi.org/10.1137/080734510.
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  - Brown, D. B., and J. E. Smith. “Dynamic portfolio optimization with transaction costs: Heuristics and dual bounds.” Management Science 57, no. 10 (October 1, 2011): 1752–70. https://doi.org/10.1287/mnsc.1110.1377.
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  - Brown, D. B., B. I. Carlin, and M. S. Lobo. “Optimal portfolio liquidation with distress risk.” Management Science 56, no. 11 (November 1, 2010): 1997–2014. https://doi.org/10.1287/mnsc.1100.1235.
    Full Text Open Access Copy
  - Ben-Tal, Aharon, Dimitris Bertsimas, and David B. Brown. “A Soft Robust Model for Optimization Under Ambiguity” 58, no. 4-part-2 (August 2010): 1220–34.
  - Brown, David B., James E. Smith, and Peng Sun. “Information Relaxations and Duality in Stochastic Dynamic Programs” 58, no. 4-part-1 (August 2010): 785–801.
  - Ben-Tal, A., D. Bertsimas, and D. B. Brown. “A soft robust model for optimization under ambiguity.” Operations Research 58, no. 4 PART 2 (July 1, 2010): 1220–34. https://doi.org/10.1287/opre.1100.0821.
    Full Text Open Access Copy
  - Brown, D. B., J. E. Smith, and P. Sun. “Information relaxations and duality in stochastic dynamic programs.” Operations Research 58, no. 4 PART 1 (July 1, 2010): 785–801. https://doi.org/10.1287/opre.1090.0796.
    Full Text Open Access Copy
  - Bertsimas, D., and D. B. Brown. “Constructing uncertainty sets for robust linear optimization.” Operations Research 57, no. 6 (November 1, 2009): 1483–95. https://doi.org/10.1287/opre.1080.0646.
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  - Brown, D. B., and M. Sim. “Satisficing measures for analysis of risky positions.” Management Science 55, no. 1 (January 1, 2009): 71–84. https://doi.org/10.1287/mnsc.1080.0929.
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  - Brown, D. B. “Large deviations bounds for estimating conditional value-at-risk.” Operations Research Letters 35, no. 6 (November 1, 2007): 722–30. https://doi.org/10.1016/j.orl.2007.01.001.
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  - Bertsimas, D., and D. B. Brown. “Constrained stochastic LQC: A tractable approach.” Ieee Transactions on Automatic Control 52, no. 10 (October 1, 2007): 1826–41. https://doi.org/10.1109/TAC.2007.906182.
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- Conference Papers
  - Balseiro, S. R., D. B. Brown, and C. Chen. “Dynamic Pricing of Relocating Resources in Large Networks.” In Performance Evaluation Review, 47:29–30, 2019. https://doi.org/10.1145/3309697.3331512.
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Teaching & Mentoring
Recent Courses
Scholarly, Clinical, & Service Activities
Service to the Profession
- Participant. Faculty Short Course on Improving Departmental Climate. Duke Office of Faculty Advancement & Duke Office of Institutional Equity. August 2, 2021 - August 5, 2021 2021

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Education, Training, & Certifications

Previous Appointments & Affiliations

In the News

Selected Grants

Selected Publications

Academic Articles

Conference Papers

Recent Courses

Service to the Profession