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Course module: 202000425
202000425
Stochastic Models
Course info
Course module202000425
Credits (ECTS)5
Course typeStudy Unit
Language of instructionEnglish
Contact personprof.dr. R.J. Boucherie
E-mailr.j.boucherie@utwente.nl
Lecturer(s)
PreviousNext 5
Lecturer
ir. J. Bos
Examiner
prof.dr. R.J. Boucherie
Contactperson for the course
prof.dr. R.J. Boucherie
Lecturer
prof.dr. R.J. Boucherie
Lecturer
dr.ir. A. Braaksma
Academic year2021
Starting block
2B
RemarksPreferably, this module component needs to be followed in parallel with the component Project Stochastic Models.
Application procedureYou apply via OSIRIS Student
Registration using OSIRISYes
Aims
After successful completion of this module component, the student is able to:
  1. formulate a Markov chain model for a given problem description and solve this model;
  2. formulate a Stochastic Dynamic Programming (SDP) model for a given problem description and solve this model;
  3. formulate a Markov Decision Process (MDP) model for a given problem description and solve this model;
  4. interpret the outcomes of an SDP and MDP model in order to construct an optimal strategy, which is applicable in a given practical situation;
  5. select an appropriate queueing model (M/M/1, M/M/c, etc.) for a given problem description and solve this model;
  6. interpret the implications of a queueing system’s performance on (given) performance indicators and formulate practical recommendations for system improvement.
Content
In the module component Stochastic Models, students first learn the basics of Markov chains (in discrete and continuous time, and Poisson processes). Using that knowledge, they next learn about stochastic dynamic programming and about queueing theory. Stochastic dynamic programming can be used to solve sequential multistage decision problems under uncertainty, e.g., transportation planning for multiple time periods with uncertain order arrivals and transportation times. Queueing theory can be used to analyse queueing problems that occur, e.g., in production and logistics, traffic, and communication networks.

 
Assumed previous knowledge
1. Probability theory (e.g., random variables, cumulative distribution functions, probability density functions, conditional distributions and measures of a distribution).
2. Operations research (e.g., basic knowledge of queueing models and understands the idea behind dynamic programming).
Module
Module 8
Participating study
Bachelor Industrial Engineering and Management
Required materials
Book
RJ Boucherie, A Braaksma, H Tijms – Operations Research, Introduction to Models and Methods, World Scientific Publishers, 2021. 978-981-123-934-6 (hardcopy) 978-981-123-981-6 (paperback) 978-981-123-936-6 (ebook)
Recommended materials
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Instructional modes
Lecture

Q&A

Self study without assistance

Tutorial

Tests
Stochastic Models Exam

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Kies de Nederlandse taal