Stochastic Models in Operations Research


Course Syllabus

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

Course Description

This course is a systematic study of important classes of stochastic models in operations research. Topics include renewal theory, Markov chains, semi-Markov processes, queueing models, stochastic ordering concepts, Brownian motion, and (if time permits) stochastic scheduling.

Office Hours

Wednesdays, 4:00pm--6:00pm
JSOM 3.201

TAs

Meng Li
Office: JSOM 3.205
Office Hours: Tuesdays, 4:00pm--6:00pm
Telephone: 972-883-2382
E-mail: meng.li@utdallas.edu

Text

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

Prerequisites

OPRE 7310; or consent of the instructor.

Grading Scheme

Homework: 30%
Final: 40%
Presentation: 30%

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