MS&E 121

Introduction to Stochastic Modeling


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General Information

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 11 AM - 12:15 PM Location: Meyer Forum Room 124
Thursday 11 AM - 12:15 PM Location: Meyer Forum Room 124

Problem Sessions: 

Wednesday 7 PM - 8 PM Location: 200 - 205

Office Hours:

Professor Glynn:

Wednesday 2 PM - 3 PM Location: Durand 105A
Thursday 4:45 PM - 5:45 PM Location: Terman 313

Xiaowei Zhang:

Friday 1 PM - 3 PM Location: Terman 302

Lawrence Chow:

Tuesday 5 PM - 6 PM Location: Terman 323
Thursday 5:45 PM - 8:45 PM Location: Terman 323

Apaar Sadhwani:

Friday 3 PM - 5 PM 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

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.

Exams
Midterm: Time: Tuesday, February 10
  Location: In calss
   
Final: Time: Monday, March 16, 3:30PM - 6:30PM
  Location: 380-380C


Grading

The course grade will be based on homework (30%), the midterm (20%), and the final exam (50%).


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