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Nov 09, 2024
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MATH 8170 - Stochastic Models in Operations Research I3 Credits (3 Contact Hours)
Stochastic control; structure of sequential decision processes; stochastic inventory models; recursive computation of optimal policies; discrete parameter finite Markov decision processes; various optimality criteria; computation by policy improvement and other methods; existence of optimal stationary policies; stopping-rule problems; examples from financial management, maintenance and reliability, search, queuing and shortest path. Students are expected to have completed a graduate-level course in stochastic processes before enrolling in this course. Offered spring semester only.
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