IEORE3106 Stochastic Systems and Applications

Instructor: Karl Sigman

Additional Information: IEOR_E3106_fa13_syllabus.pdf

3 pts. Lect: 3. Probability at the level of SIEO W3600 or SIEO W4150 or instructor permission. For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR.  This class must be taken during (or before) the fifth semester. This course introduces students to operations research and stochastic processes. Operations research is concerned with quantitative decision problems, generally involving the allocation and control of limited resources, often in the presence of significant uncertainty. Stochastic processes are collections of random variables, usually indexed by time. In stochastic process models, time can be regarded as either discrete or continuous. For example, we might use stochastic processes to model the evolution of a stock price over time, the damage claims received by an insurance company over time, the work-in-process inventory in a factory over time or the number of calls waiting in a telephone call center over time, all of which evolve with considerable uncertainty. Among the stochastic processes to be considered are discrete-time Markov chains, random walks, continuous-time Markov chains, Poisson processes, birth-and-death processes, renewal processes, renewal-reward processes, Brownian motion and geometric Brownian motion. Among the engineering applications to be considered are queuing, inventory and finance. IEOR E3106 must be completed by the fifth term. Only students with special academic circumstances may be allowed to take these courses in alternative semesters with the consultation of CSA and Departmental advisors.

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