OR 442/MATH 442

Stochastic Operations Research

Fall 2008

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Important Announcements & Deadlines

• HW#1 is due at 4:30 PM, Thursday, September 11.
• Midterm Exam: In class on October 30. Make up exam questions will be MUCH MORE DIFFICULT than regular exam questions.
• Reminder: there is a 20% penalty for the HW turned in through email.
• Reminder: some announcements will be sent to your GMU email address. Please check your GMU emails routinely or ensure that they are forwarded correctly.

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Instructor: Chun-Hung Chen
Email: cchen9@gmu.edu
Office: Science & Tec II, Room 319
Phone: 703-993-3572
Fax: 703-993-1521
Office Hours: Tuesday 4:00 - 6:00 PM.

Course Description:

A survey of probabilistic methods for solving decision problems under uncertainty. Probability review, decision theory, queuing theory, inventory models, reliability, decision theory, and simulation are covered. Emphasis is on modeling and problem solving..

Prerequisites: STAT 346, or MATH 351, or equivalent.

Grading: Homework 15%; Two exams 60% (max{midterm, final} 35%, min{midterm, final} 25%), Quiz in class 25% (two lowest ones will be dropped).

Required Text: W. L. Winston, " Operations Research: Applications and Algorithms" 4rd edition, 2004.

Examinations:
One midterm exam and the final. The midterm exam will be held in class on October 30. The final exam will be held on the date published by the university. Make up exam questions will be MUCH MORE DIFFICULT than regular exam questions.

General Rules:

1. Late homework is always allowed. No need to get advanced permission. However, the penalty for late homework is 25% for the first day and then 5% per day. No exemption.
2. Turning in HW through email is subject to a 20% penalty; but fax is OK.
3. No collaborations are allowed for homework, although discussions are encouraged.
4. Comments are strongly encouraged.
5. No cheating.

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Course Outline & Reading Assignment:

	Topics	Time (week)	Reading Assignment
A	Introduction	0.5
B	Probability review	0.5	Chapter 12
C	Inventory Models	3	Chapters 15 & 16
D	Markov chains	2.5	Chapter 17
E	Queueing theory	2.5	Chapter 20
F	Forecasting	2	Chapter 24
G	Simulation & Dynamic Programming	1	Skim Chapters 18, 19, 21

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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 335 Discrete Systems Simulation Modeling
2. OR 635 Discrete System Simulation

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Homework Assignments:

• HW#1

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Useful Links:

• Useful tools developed by Ben Crain at George Mason University for probability distributions and Markov Chain analysis.

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Go to Professor Chun-Hung Chen's Page

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