ISE 760 Applied Stochastic Models in Industrial Engineering


Formulation and analysis of stochastic models with particular emphasis on applications in industrial engineering; univariate, multivariate and conditional probability distributions; unconditional and conditional expectations; elements of stochastic processes; moment-generating functions; concepts of stochastic convergence; limit theorems; homogeneous, nonhomogeneous and compound Poisson processes; basic renewal theory; transient and steady-state properties of Markov processes in discrete and continuous time. 3 credit hours

Prerequisite		MA 303, ST 371
Course Objectives		By the end of the course the students will be able to: Formulate real world system as stochastic models and analyze model performance. Describe the theory and applications of discrete and continuous time Markov processes. Apply Poisson processes in the study of discrete event systems Develop and analyze decision models of systems under uncertainty that impacts system performance and appropriately communicate their results Model stochastic systems as renewal process and renewal reward process, regenerative processes, and study the long run behavior and cost structure of these systems. Formulate continuous-state systems such as financial derivatives as Brownian motions and apply these stochastic models in performance evaluation and decision making.
Course Requirements		HOMEWORK: 25% EXAMS: Midterm (35%) and Final (35%) PROJECT: 5%
Textbook		Sheldon M. Ross, Introduction to Probability Models, Academic Press, 9th edition, ISBN-13:978-0-12-598062-3
Computer and Internet Requirements		NCSU has recommended minimum specifications for computers that are generally used for courses. Those specifications can be found here: http://www.ncsu.edu/it/compspecs/ Engineering Online recommends that your computer meets or exceeds the following minimum specifications below. A computer with greater capability (processor speed, RAM, internet bandwidth, disk capacity) will be more likely to properly display the video content of Engineering Online courses. Windows: Microsoft Windows XP, Windows 2003, or Windows Vista Intel-compatible 1 GHz processor 512 MB RAM 60 GB hard drive with 1 GB free space available Video display at 1024 x 768 or greater Sound output and speakers Microsoft Internet Explorer 6.0 SP1 or later, Firefox 2.0 or later, or Google Chrome 1.0 Windows Media Player 9.0 or later Real One Player Basic (required for certain courses) Adobe Acrobat Reader Broadband Internet connection (256 Kbps or more) Mac OS X: Mac OS X 10.4.8 or later G4 processor 512 MB RAM 60 GB hard drive with 1 GB free space available Video display at 1024 x 768 or greater Sound output and speakers Safari 2.0.4 (or later) or Firefox 2.0 (or later) Silverlight (viewers may be prompted to install this when first viewing a presentation) Real One Player Basic (required for certain courses) Adobe Acrobat Reader Broadband Internet connection (256 Kbps or more) NOTE: The Flip4Mac plug-in causes problems when viewing Mediasite presentations and should be disabled. Linux: Playback of Mediasite presentations on Linux is accomplished via the Moonlight Project, an open source implementation of Microsoft Silverlight. For more installation on the installation and configuration of Moonlight, please visit http://www.go-mono.com/moonlight/. The compatible operating systems and browsers are listed on this page. Microsoft Media Pack for Moonlight Adobe Reader for Unix Broadband Internet connection (256 Kbps or more)
Instructor		Dr. Russell E King, Professor and Director, Graduate Programs Fitts Dept of Industrial and Systems Engineering Daniels Hall 126A, Box 7906 NCSU Campus Raleigh, NC 27695 Phone: 919-515-5186 Fax: 919-515-1543 EMail: king@ncsu.edu