OR 442/542

Stochastic Operations Research

Dr. Frederick Wieland

System Engineering and Operations Research Department

Instructor: Frederick Wieland
Email: fredwieland@hotmail.com
Office: By appointment
Phone: 703-476-4780
Fax: 703-476-1665
Office Hours: By appointment

Course Description:

A survey of probabilistic methods for solving decision problems under uncertainty. Topics covered by this class include decision analysis, inventory theory, Markov chains, queueing theory, dynamic programming,  and simulation.

Prerequisites: STAT 344, or MATH 351, or equivalent.

Grading: Homework 30%; Two exams 70% (35% each).

Web Site:  http://home.comcast.net/~or542

MIDTERM EXAM is Monday, October 17, 2005.

LAST DAY OF CLASS  Monday, November 28, study break day is Monday, December 5.

FINAL EXAM is at 4:30 PM on Monday, December 12 2005.

General Rules:

1.      Please ask questions during class!  Do not hesitate if you are unsure or confused about something.  Better to get it wrong "in class" and clarified, then getting it wrong on a test or homework!

2.      Late homework is discouraged. If you have a good reason for it to be late (you'll be TDY, for example), then get prior permission from the instructor.

3.      You can fax the homework to the instructor under certain circumstances; see the "homework faxing policy" page.

4.      No collaborations are allowed for homework, although discussions are encouraged.

5.      Comments are strongly encouraged.

6.      No cheating.

Course Outline & Reading Assignment, from the FOURTH EDITION of the text.





Reading Assignment


Probability review 


Chapter 12


Decision Theory


All students: Chapter 13, sections 13.1 through 13.5, inclusive. 


Game Theory


All students: Chapter 13, section 13.5, Chapter 14, sections 14.1 and 14.2.    The remaining two sections of chapter 13 (13.6 and 13.7) are not included in this class, however, Ph.D. students are exhorted to read those sections.  The PhD comprehensive exam may allude to or contain information in those chapters. 


Game Theory


Sections 14.3 through 14.6.  Section 14.7 will not be covered in class, but it is optional reading.  Additional information that supplements the text can be found in the game theory links.


Inventory Theory


Sections 15.1 through 15.3 inclusive



Stochastic Inventory Theory

6, 7

Section 15.4  (we will skip 15.5 and 15.7, but 15.6 is required reading).

Sections 16.1 through 16.3 inclusive



Markov chains 

8, 9

Sections 17.1 through 17.5 inclusive


Dynamic Programming

10, 11

Chapter 18, 19


Queueing Theory 

12, 13

Chapter 20


Forecasting & Simulation

14, 15

Chapters 21-24: very quick review

About the topic of Queueing Theory in this course:

Queueing theory seems remarkably sublime (the mathematics of waiting in lines), but in practice it is one of the most important applications of stochastic operations research.  Many people find employment throughout the world working on queueing problems, especially in telecommunications (packets routing through servers on the internet), traffic analysis (vehicles waiting for a stoplight or airplanes waiting for a runway), amusement parks (optimal design of lines), and so forth.  The theory involves computing probabilities for various situations, and an in-depth course is offered as OR 647, usually offered in the spring term.  I urge you to take that course!

About the topic of simulation in this course:

This is a survey course. Each topic is covered up to the level that students learn how to apply the fundamental theories, except simulation. It is safe to say that simulation is one of the most useful tools for decision making under uncertainty. However, only demonstration and very basic ideas of simulation will be given in this course, because i) most students are already required to take simulation courses; ii) it is impossible to cover sufficient materials for implementing simulation within the limited time allocated in this course. For details about the simulation courses offered by the department, please visit

1.      SYS 335/ OR 435 Discrete Systems Simulation Modeling

2.      OR 635 Discrete System Simulation

Homework Assignments:

To be assigned week by week. The assignments will be posted on the web site.