D
David B. Brown
Researcher at Duke University
Publications - 27
Citations - 5523
David B. Brown is an academic researcher from Duke University. The author has contributed to research in topics: Robust optimization & Portfolio optimization. The author has an hindex of 16, co-authored 25 publications receiving 4792 citations.
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Theory and Applications of Robust Optimization
TL;DR: This paper surveys the primary research, both theoretical and applied, in the area of robust optimization (RO), focusing on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology.
Journal Article
Theory and Applications of Robust Optimization
TL;DR: In this article, the authors survey the primary research, both theoretical and applied, in the area of robust optimization and highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.
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Theory and Applications of Robust Optimization
TL;DR: In this paper, the authors survey the primary research, both theoretical and applied, in the area of robust optimization and highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.
Journal ArticleDOI
Constructing Uncertainty Sets for Robust Linear Optimization
TL;DR: This paper utilizes the theory of coherent risk measures initiated by Artzner et al. (1999) to show that such risk measures, in conjunction with the support of the uncertain parameters, are equivalent to explicit uncertainty sets for robust optimization.
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Information Relaxations and Duality in Stochastic Dynamic Programs
TL;DR: This approach relaxes the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and imposes a “penalty” that punishes violations of nonant anticipativity.