IEOR 3106. Introduction to Operations Research: Stochastic Modeling

Fall, 2009. Tuesdays and Thursdays, 4:10-5:25PM in Room 309 Havemeyer

Last Updated: 11/19/09

Syllabus/prerequisites for the course


Instructor: Professor Karl Sigman
Department of Industrial Engineering and Operations Research

Phone: (212) 854-3556
FAX: (212) 854-8103

karl.sigman@columbia.edu
http://www.columbia.edu/~ks20

Office hours: Mondays 2-3PM, 310 Mudd.

COURSE WEB SITE:

http://www.columbia.edu/~ks20/3106-09/3106-09.html


Required Text: Sheldon Ross Introduction to Probability Models, 9th edition, Academic Press, New York.

Grading:Homework : 10%, two midterm exams 25% each (with the maximum of the two weighted .6, and the minimum weighted .4). Final 40%. Midterms and Final are open textbook, open notes.
Teaching Assistants:

 Behzad Nouri
bn2164@columbia.edu
Office Hours: Mondays 12:00PM--2:00 PM (822 Schapiro (Engineering) building)

Rhea Zhen Qiu
zq2110@columbia.edu
Office Hours: Mondays 10:00AM--12:00 Noon (323 Mudd)

RECITATION SESSIONS: Fridays 11:00AM--12:00 Noon (633 Mudd Bldg), and Fridays 2:00PM--3:00PM (627 Mudd Bldg)


Weekly Homework Assignments (due in class one week later unless otherwise specified; late hmwk is penalized!)

  1. HMWK 1 (Due in class on Tuesday, September 15 )
  2. HMWK 2 (Due in class on Tuesday, September 22 )
  3. HMWK 3 (Due in class on Tuesday, September 29 )
  4. HMWK 4 (Due in class on Tuesday, October 6 )
  5. HMWK 5 (Due in class on Tuesday, October 13 )
  6. HMWK 6 (Not to be turned in for credit: Solutions will be posted over the weekend )
  7. HMWK 7 (Due in class on Thursday, November 5 )
  8. HMWK 8 (Due in class on Tuesday, November 10 )
  9. HMWK 9 (Due in class on Tuesday, November 17 )
  10. HMWK 10 (Not to be turned in for credit: Solutions will be posted over the weekend )

Homework Solutions

  1. HMWK 1
  2. HMWK 2
  3. HMWK 3
  4. HMWK 4
  5. HMWK 5
  6. HMWK 6
  7. HMWK 7
  8. HMWK 8
  9. HMWK 9
  10. HMWK 10

Lecture Notes

  1. Introduction to Markov chains
  2. The gambler's ruin problem
  3. Class properties for Markov chains; positive recurrence and the existence of limiting stationary distributions
  4. The Poisson Process
  5. Continuous-time Markov chains
  6. Introduction to renewal theory; renewal reward theorem
  7. Binomial lattice model for stock prices

Exams Information

PLEASE MAKE NOTE OF THESE DATES, NO CHANGES ALLOWED!!