Efficient formulation and computational solution of sequential decision problems under uncertainty. Markov decision chains and stochastic programming. Maximum expected present value and rate of return. Optimality of simple policies: myopic, linear, index, acceptance limit and (s,S). Optimal stationary and periodic infinite-horizon policies. Applications to investment, options, overbooking, inventory, production, purchasing, selling, quality, repair, sequencing, queues, capacity, transportation. MATLAB is used. Prerequisites: probability, linear programming.