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Weatherhead School of Management Case Western Reserve University

STOCHASTIC MODELS OPRE 402 Spring 2011

Syllabus
INSTRUCTOR Contact: Office: Office hours: Professor Matthew J. Sobel matthew.sobel@case.edu (216) 368-6003 PBL 327 TBD; other days and times by appointment.

TEACHING ASSISTANT COURSE DESCRIPTION Randomness is the rule rather than the exception throughout management, engineering, and the social sciences. The past fifty years have produced many useful methods to describe randomness and to take it into account while making decisions. Operations research uses many of these methods and this half-semester course, which begins January 11 and ends March 1, is an introduction to stochastic models in operation research. It includes elements of Markov chains, queueing theory, and stochastic dynamic programming. Basic elements of the theory are accompanied by examples of managerial applications. PREREQUISITE Knowledge of probability theory at the level, for example, of OPRE 433. COURSE GRADE Homework (60%) and final examination (40%). The final examination is on ______, March __, from ___ to ___. TEXTBOOK Introduction to Operations Research, 9th ed., Hillier and Lieberman, McGraw-Hill Publishing Co., 2010. See the comments later in this document concerning earlier editions and digital and international editions.

COURSE SUMMARY Date January 11 January 18 January 25 February 1 February 8 February 15 February 22 March 1 Topic Introduction to Markov chains; examples; ChapmanKolmogorov equations Classification of states; long-run properties; examples Long-run properties (continued); examples Continuous-time Markov chains; introduction to queueing theory; examples Exponential distribution; birth-and-death process; examples Queueing models based on birth-and-death processes; other queueing models; examples Applications of queueing models Markov decision processes; examples Text section 16.1, 16.2, 16.3 16.4, 16.5 16.8, 17.1, 17.2, 17.3 17.4, 17.5 17.6, 17.7 17.10 19.1, 19,2, 19.3

TEXTBOOK COMMENTS The textbook for the course is Introduction to Operations Research, 9th ed., Hillier and Lieberman, McGraw-Hill Publishing Co., 2010. This is the same textbook that was required for OPRE 411. It is available in several alternative forms. 1. Hard-cover edition (list price about $180) 2. Digital edition (list price about $50) 3. English-language international edition (list price $50-$65) The chapters in the 9th edition that will be used in OPRE 402 are similar to (but not the same as) in recent previous editions (such as the 8th edition). Regardless of the edition or form, it is the students responsibility to obtain the homework problems in the hard-cover English language 9th edition because those may be assigned for homework.

ACADEMIC INTEGRITY
At the CWRU Library website, there is a wealth of information on academic integrity. Start at the following link and explore the others on the page: http://library.case.edu/ksl/researchtools/citation/index.html All students in this course are expected to adhere to university standards of academic integrity. Cheating, plagiarism, and other forms of academic dishonesty will not be tolerated in this course. This includes, but is not limited to, consulting with another person during an exam, turning in written work that was prepared by someone other than you, and making minor modifications to the work of someone else and turning it in as your own. Ignorance will not be permitted as an excuse. If you are not sure whether something you plan to submit would be considered either cheating or plagiarism, it is your responsibility to ask for clarification. When your name appears on a group product for a class, you are responsible for the integrity of the work, even if you did not personally write the offending material. Either ask me about it or consult credible sources of information on the subject. At the CWRU Library website, there is a wealth of information. Start at the following link and explore the others on the page: http://library.case.edu/ksl/researchtools/citation/index.html. The Weatherhead Schools

procedures and policies related to academic integrity, given to you at orientation and found at http://weatherhead.case.edu/studentServices/registration/policy/integrity.cfm I expect all students to meet the objectives of the Case Statement of Ethics, as well as the previously referenced standards of the Weatherhead School. If you are unaware of the Case statement, please consult http://studentaffairs.case.edu/office/integrity/policy.html. POLICIES AND PROCEDURES 1. The final examination is on ______, March __, from ___ to ___, and it will be open book and open notes. 2. Homework will be collected at the beginning of each class when it is due. If it is submitted at a later time or date, it will be graded for your feedback benefit, but it will not receive credit. REFERENCES Many books cover part of the material in this course, and some books have more advanced material related to the course. E. V. Denardo, Dynamic Programming, Dover, Mineola, NY, 2003 D. P. Heyman and M. J. Sobel, Stochastic Models in Operations Research, Vol. I: Stochastic Processes and Operating Characteristics, Dover, Mineola, NY, 2004. D. P. Heyman and M. J. Sobel, Stochastic Models in Operations Research, Vol. II: Stochastic Optimization, Dover, Mineola, NY, 2004. G. E. Monahan, Management Decision Making, Cambridge University Press, Cambridge and New York, 2000. S. M. Ross, Introduction to Stochastic Dynamic Programming, Elsevier, 1995. S. M. Ross, Stochastic Processes, 2nd ed., Wiley, New York, 1996. W. L. Winston, Operations Research, 4th ed., Duxbury Press, Belmont CA, 2004. Many journals publish research related to the material in this course including these: Journal of Applied Probability Management Science Manufacturing & Services Operations Management (MSOM) Operations Research Queueing Systems