APMA 120 - Operational Research: Probabilistic Methods-Spring 2012

Instructor: Konstantinos Spiliopoulos

Office: 37 Manning, Room 101
Office Hours: Thursdays 10:30-11:30 unless otherwise specified in class
Email: kspiliop_at_dam.brown.edu
to send me an email replace _at_ by @.

Meets:

TuTh... 9:00-10:20AM at Watson (CIT) Center 165

T.A.: Dane Johnson, email: Dane_Johnson_at_Brown.edu ; Yufei Liu, email: Yufei_Liu_at_Brown.edu

Office hours: Tuesdays 12:00-2:00 and Fridays 3:00-5:00 in room 104, 37 Manning Street
Recitation Session: Wedensdays 3-4:50 in CIT 227

Required Text: An Introduction to Stochastic Modeling, Mark Pinsky, Samuel Karlin, 4^th Edition, Academic Press
Recommended Texts:

A First Course in Stochastic Processes, Howard M. Taylor and Samuel Karlin, 2^nd Edition, Academic Press
Stochastic Processes, S.M. Ross, John Wiley & Sons, New York

The class will be based mostly on the required text. However, we will use both of the recommended texts for certain parts of the course and for homework problems.

Course Description: Basic probabilistic problems and methods in operations research and management science. Methods of problem formulation and solution. The course will cover basic stochastic processes such as simple random walk, Markov chains, Martingales, Poisson processes, and Brownian motion. It will also offer introductory level treatment to stochastic optimization problems, such as optimal stopping and optimal control, based on dynamic programming principle.

Prerequisites: APMA 1650 or MATH 1610 or equivalent. The students are required to have a solid understanding of basic probability and calculus.

Syllabus (tentative)

I will try to follow the syllabus as closely as possible. However it may change depending on our progress. Any changes will be announced in class and posted here.

Homework assingments:

Assingment	Due Date	Assignment	Material Covered
Homework 1	Tuesday Feb 7th
Homework 2	Thursday Feb 9th
Homework 3	Thursday Feb 16th

Currently the Exam schedule is as follows:

Date	Assignment	Material Covered
, 9am, regular class time	Midterm
May, 15th at 02:00 PM	Final

Tentative grading policy: Your grade will be based on :(a) Homework (35%), (b) midterm exam (35%) and final exam (30%). The grading policy may change depending on the progress of the class.

Exam & Homeworks:
Exams: There will be one midterm exam and one final exam. The exam material for each one of the two exams will be announced in class and posted on the webpage of the course. The final exam will concentrate on the material that was taught from the previous test and then. However, I reserve the right to include a couple of questions from the material of the previous exam. Hence, make sure that you have learned from your mistakes.
Homeworks: There will be several homeworks, both theoretical and more of applied flavor. The due date of each homework will be announced in class and it will usually be 7-10 days after. Needless to say, you should work on the homework on your own, unless otherwise instructed by me. Late homeworks will be heavily penalized.

Make-up policy: Make up exams will be given only in extreme circumstances, and only when accompanied by appropriate documentation. Any student with a valid reason to be given a make up exam must contact me prior to the exam, either by email or in person, and present documentation at the next class session attended.