Applied Stochastic Processes

This course provides applied knowledge of stochastic models to solve uncertain (stochastic) service operations and production systems. The concepts of random variables, stochastic processes, and random fields will be introduced. Methodologies covered include discrete and continuous time Markov processes, Poisson processes, Brownian motion, stochastic approximation including Kalman filtering and random search techniques. Applications relate to design and analysis of problems, inventory control, queuing systems, scheduling systems, services operations, game theory and decision analysis. Applications of stochastic processes will be demonstrated through student seminars.