STOCHASTIC MODELING TECHNIQUES

ISYE 323

Basic techniques for modeling and optimizing deterministic systems with emphasis on linear programming. Computer solution of optimization problems. Applications to production, logistics, and service systems.

ISYE 620

Introduction to simulation modeling and analysis techniques with application to production, logistics, service, and other systems. Emphasis on model building, application of basic statistical data analysis, and the use of simulation for design, evaluation, and improvement of such systems. Introduction to available software. Case studies.

COMPSCI/ISYE 719

Stochastic programming is concerned with decision making in the presence of uncertainty, where the eventual outcome depends on a future random event. Topics include modeling uncertainty in optimization problems, risk measures, stochastic programming algorithms, approximation and sampling methods, and applications. Students are strongly encouraged to have knowledge of linear programming (e.g.,MATH/​COMP SCI/​I SY E/​STAT  525) and probability and statistics (e.g.,MATH/​STAT  431). Knowledge of integer optimization (MATH/​COMP SCI/​I SY E  728) is helpful, but not required.

ISYE/MATH/OTM/STAT 632

Topics include discrete-time Markov chains, Poisson point processes, continuous-time Markov chains, and renewal processes. Applications to queueing, branching, and other models in science, engineering and business.

ISYE 320

Analysis of stochastic systems using both analytic methods and computer simulation. Empirical and theoretical models of arrival and service processes. State spaces and state transition probabilities. Simulation of queuing and manufacturing systems. Continuous time Markov analysis of manufacturing systems. Simulation project management, testing and emerging trends.