OR 542

Stochastic Operations Research

Fall 2003

Dr. Frederick Wieland

System Engineering and Operations Research Department

Instructor: Frederick Wieland
Email: [email protected]
Office: By appointment
Phone: 703-883-5385
Fax: 703-476-1665
Office Hours: By appointment

Course Description:

A survey of probabilistic methods for solving decision problems under uncertainty. Topics covered by this class include decision analysis, Markov chains, queueing theory, dynamic programming, forecasting, and simulation.

Prerequisites: STAT 344, or MATH 351, or equivalent.

Grading: Homework 30%; Two exams 70% (35% each).

Required Text: W. L. Winston, " Operations Research: Applications and Algorithms" 3rd edition, 1993.

Exams:
Exam 1: Wednesday, October 22, 2003 and Exam 2: Wednesday, December 3, 2003. There is no final exam. Make up exam questions will be MUCH MORE DIFFICULT than regular exam questions.

General Rules:

  1. Please ask questions during class!  Do not hesitate if you are unsure or confused about something.  Better to get it wrong "in class" and clarified, then getting it wrong on a test or homework!
  2. Late homework is always allowed. No need to get advanced permission. However, the penalty for late homework is 25% for the first day and then 5% per day. No exemption.
  3. You can FAX your homework to me, however, I prefer not to receive it through email, especially if equations are involved.
  4. No collaborations are allowed for homework, although discussions are encouraged.
  5. Comments are strongly encouraged.
  6. No cheating.

Course Outline & Reading Assignment:


 

 

Topics

Time (week)

Reading Assignment

A

Probability review 

0.5

Chapter 11 

B

Decision making

2.5

Chapters 13 & 14

C

Markov chains 

2

Chapter 19

D

Dynamic programming 

2

Chapters 20 & 21

D

Queueing theory 

2

Chapter 22

F

Forecasting 

1

Chapter 24

G

Simulation 

0.5

Chapter 23

About the topic of simulation in this course:

This is a survey course. Each topic is covered up to the level that students learn how to apply the fundamental theories, except simulation. It is safe to say that simulation is one of the most useful tools for decision making under uncertainty. However, only demonstration and very basic ideas of simulation will be given in this course, because i) most students are already required to take simulation courses; ii) it is impossible to cover sufficient materials for implementing simulation within the limited time allocated in this course. For details about the simulation courses offered by the department, please visit

    1. SYS 335/ OR 435 Discrete Systems Simulation Modeling
    2. OR 635 Discrete System Simulation

Homework Assignments: To be assigned week-by-week