University of South Florida Industrial & Management Systems Engineering ESI 4313 Probabilistic Operations Research (ESI 6340

Probabilistic Systems Analysis) Spring 2013

Time & place Instructor Oce hours Prerequisites Text(s) References

TR 2:00 - 3:15 pm, ENG 4; F 2:00 - 2:50 pm, ENB 116 (recitation sessions). Dr. Alex Savachkin, ENC 2201, alexs@usf.edu, 813-974-5577. M 8:30 - 10:30 am. Feel free to stop by at any time. COP 2510, EGN 3443. Applied Probability and Stochastic Processes, R. Feldman & C. Valdez-Flores, 2e. Probability and Statistics for Engineering and the Sciences, J. Devore, 8e or later.

Objectives: Get exposed to fundamental techniques of probability and stochastic processes and build foundations for their decision support applications in engineering, healthcare, and nance. Course grade: Midterm I, II, III = 100%/3 each. Policies Academic misconduct will not be tolerated; violations will be dispatched in accordance with the university policy. Students in need of academic accommodations for a disability need to consult with the SDS Oce. If a test is missed, a written, university authorized excuse will be required for a make-up. Topics I. Probability review (set operations; sample space; events; probability axioms; conditional probability; independence; Bayes formula; random variables; distribution functions; expectation; variance; common probability distributions) II. Poisson processes (stochastic processes; counting processes; properties of Poisson processes; merging and splitting of Poisson processes; non-stationary Poisson processes; applications) III. Discrete-time Markov processes (Markovian property; multi-step transitions; rewards; classication of states; state communication; irreducibility; recurrency & transience; limiting probabilities; long-run average reward; applications) IV. Probabilistic dynamic systems (sequential decision making; backward recursion; principle of optimality; myopic policies; Markov decision processes: stationary policies, exhaustive enumeration, policy iteration methods, value iteration methods; applications) V. Queueing systems (innite capacity single-server systems; nite capacity single-server systems; applications) Good luck!