ENGR 612 - Stochastic Optimization

3 Credit(s)

Modeling, analysis, and optimal design of stochastic engineering, management, and operational systems. The techniques of operations research are used. Topics include steady state analysis of single and multiple server queues; economic decisions in queuing systems; stochastic inventory models and effect of set-up cost; Markov chains and Chapman-Kolmogorov equations; Markov decision problems; policy improvement and discounted costs; system reliability and redundancy; decision analysis under risk and uncertainty and decision trees; and simulation, random number generation, and the Monte-Carlo technique.
Prerequisite(s): ENGR 611 or equivalent; ENGR 618 is recommended.