Operations Research III- Stochastic Problems
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IE 334 Operations Research III – Stochastic Problems

(2016-2017 Spring)


Instructor: Haluk Aygüneş

                  Office: Engineering Faculty, L-309

                  Phone: 1366, e-mail: aygunes@cankaya.edu.tr

Assistant: Atıl Kurt

                  Office: Engineering Faculty, L-322

                  Phone: 1371, e-mail: atilkurt@cankaya.edu.tr


Catalog Description:

Introduction; review of basic concepts of probability and properties of random variables; basics of decision making under uncertainty; discrete-time Markov chains; exponential distribution and Poisson process; queuing theory; probabilistic inventory models, probabilistic dynamic programming.


Text Book:

Operations Research - Applications and Algorithms, Wayne L. Winston, 4th Edition, Cengage Learning, 2004.


Supplementary Books:

1.   Introduction to Operations Research, Frederick S. Hillier and Gerald J. Lieberman, 10th Edition, McGraw Hill, 2015.

2.   Introduction to Probability Models, Sheldon M. ROSS, 10th Edition, Elsevier, 2010


Course Outline:

1.      Review of Probability, Random Variables, Sample Space, Conditional Probability, Distributions and Expectations.

2.      Basic Principles of Decision Making Under Uncertainty, Decision Criteria

3.      Utility Theory, Decision Trees

4.      Markov Chains: n-Step Transition Probabilities, Classification of States

5.      Markov Chains: Mean First Passage Times, Steady State Probabilities

6.      Markov Chains: Absorbing Chains, Applications of Markov Chains

7.      Properties of Exponential Distribution, Counting Process, Poisson Process

8.      Queuing Models: Terminology, Arrival and Service Processes, Birth-and Death Processes

9.     Queuing Models: M/M/1, M/M/s queues

10.   Queuing Models: M/G/∞, GI/G/∞, M/G/1 queues, Finite Source Models 

11.   Probabilistic Inventory Models: The Newsvendor Problem

12.   Probabilistic Inventory Models: The EOQ with uncertain Demand ((r,q) and (s, S) models)

13.   Probabilistic Inventory Models: Service Level Measures

14.   Review


Class meeting hours:

            Mon. 12:20-14:10 (LA 14)

            Tue. 13:20-14:10 (LA 15)

                 Recitation; Sec.1: Thu. 13:20-15:10 (RB 03)

                                   Sec.2: Fri. 15:20-17:10 (L 111)


 % 30 Homework Assignments

 % 30 Midterm Exam

 % 40 Final Exam