Stochastic Models in Operations Research


Course Syllabus

Click here to get a copy of the syllabus in postscript format.

Course Objective

A study of basic stochastic processes that arise frequently in the modeling of Operations-Research problems. Each student is to select and study a research paper, for presentation at the end of the semester. The topic of the selected paper should be related to the material in this course. A list of suggested papers will be distributed later.

Office Hours

Mondays, 3:00pm--5:00pm
Jonsson 4.912

TAs

To be announced.

Text

Stochastic Processes, by Sheldon M. Ross, 2nd Edition, John Wiley & Sons, 1996.

Prerequisites

OPRE 6330; or consent of the instructor.

Grading Scheme

Homework: 30%
Final: 35%
Presentation: 35%

Course Outline

Chapters 3, 4, 5, and parts of 6, 7, 8. (Other related materials will be announced in class.)
  1. Poisson (Review) and Renewal Processes
  2. Markov Chains
  3. Continuous-Time Markov Chains
  4. Semi-Markov Processes
  5. Queueing Theory
  6. Stochastic Ordering Concepts
  7. Brownian Motion

Papers Suggested for Presentation


Assignments