MS&E 121 |
Introduction to Stochastic Modeling |
| General Info | Contact Info|
Announcements | CourseOutline
| Course Materials | Handouts
| Assignments| Links |
Course Description
Many systems that we encounter are subject to some uncertainty; we call
such systems stochastic. Often we are interested in understanding how a
stochastic system evolves over time. For example, we might be interested in
understanding how the price of a security, a firm's market share, or inventory
levels of a particular product change with time. A system such as these can be
described by a sequence of random variables called a stochastic process.
This course provides an introduction to the theory of stochastic processes.
Intructor, TAs
and Staff
Please see Contact Info.
Lectures, Problem Sessions
and Office hours
Lectures:
|
Tuesday |
|
Location: Meyer Forum Room 124 |
|
Thursday |
|
Location: Meyer Forum Room 124 |
Problem Sessions:
| Wednesday |
|
Location: 200 - 205 |
Office Hours:
Professor Glynn:
|
Wednesday |
|
Location: Durand 105A |
|
Thursday |
|
Location: Terman 313 |
Xiaowei Zhang:
| Friday |
|
Location: Terman 302 |
Lawrence Chow:
|
Tuesday |
|
Location: Terman 323 |
|
Thursday |
|
Location: Terman 323 |
Apaar Sadhwani:
| Friday |
3 |
Location: Terman 302 |
Prerequisites
MS&E 120 or
equivalent(e.g. Statistics 116); Calculus; familiarity with matrices.
Required Text
The text will consist of selected chapters from:
Introduction
to Operations Research
by Frederick S. Hillier and Gerald J. Lieberman, 8th Edition, 2005
(ISBN 0072527447)
The
selected chapters are: Chapters 16-17-18 and Chapter 20. (Chapters 16 to 20 and
22 in previous editions). A modified version of the text containing only the
selected chapters is available from the Bookstore (at a significantly reduced
price relative to the full book).
Reserve Books
The following books are on the reserve shelf at the Terman Engineering Library.
F.S. Hillier and G.
Lieberman (2001). Introduction to Operations Research,Seventh Edition.
McGraw-Hill, New York.
Law, A.M. and W.D.
Kelton (2000) Simulation Modeling and Analysis,Third Edition.
McGraw-Hill, New York.
S.M. Ross (2000). Introduction
to Probability Models, Seventh Edition. Academic Press,New York.
H. Taylor and S.
Karlin (1998). An Introduction to Stochastic Modeling,Third Edition.
Academic Press, New York.
Homework will be assigned every Friday and due the following Friday by 5pm. It
can be handed in at the course collection box outside Terman 321. For each day
of lateness, a homework's score will be reduced by 20%. At the end of the
quarter, the homework with the lowest grade will be dropped.
Simulation can be used to solve any problem in the homeworks. In this case confidence intervals for all point estimates must be provided in order to receive full marks. Please keep in mind that you will not be allowed to bring computers to the midterm/final, so it may not be in your best interest to solve too many problems in this way.
The Stanford Honor Code
will apply to all assignments, both in and out of class. Copying homework from
another student (past or present) is forbidden. However, collaboration is
encouraged, provided each student documents on each assignment with whom he or
she worked. The best way to ensure success in this class to is to fully
understand the homework assignments. The course grade will be based on homework (30%), the midterm (20%), and the
final exam (50%). | Management Science &
Engineering Dept | Stanford University
|
Midterm:
Time:
Tuesday,
February 10
Location: In calss
Final:
Time: Monday, March 16, 3:30PM - 6:30PM
Location: 380-380C