Scribd
Upload
40 views8 pages

ISYE 6650: Probabilistic Models Syllabus

This document outlines the course logistics, objectives, and outline for IE6650: Probabilistic Models. The course will introduce probabilistic tools for modeling stochastic systems and balance theoretical development with applications. Students will be graded based on homework, two midterms, and a final exam, and will cover topics like Markov chains, queueing theory, and renewal theory over the semester.

Uploaded by

Aishum1
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
40 views8 pages

ISYE 6650: Probabilistic Models Syllabus

This document outlines the course logistics, objectives, and outline for IE6650: Probabilistic Models. The course will introduce probabilistic tools for modeling stochastic systems and balance theoretical development with applications. Students will be graded based on homework, two midterms, and a final exam, and will cover topics like Markov chains, queueing theory, and renewal theory over the semester.

Uploaded by

Aishum1
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd

IE6650: Probabilistic Models

Fall 2007

Instructor: Spyros Reveliotis


e-mail: spyros@[Link]
homepage: [Link]/~spyros
Course Logistics
My Office Hours: TuTh 9-10am or by appointment
Course TAs: Judy Lee, Ralph Yuan and Yu-Heng Chang (for Shanghai
students)

Grading policy:
Homework: 25%
Midterm I: 20%
Midterm II: 20%
Final: 35%
Exams closed-book, with 2 pages of notes per midterm exam and 6
pages for the final.

Reading Materials:
Course Textbook: S. Ross, Introduction to Probability Models, 9th
ed. Academic Press.
Course slides and any other material posted at my homepage or the
library electronic reserves.
Course Objectives
(What this course is all about?)
This course will introduce the student to a basic set of
mathematical tools which are appropriate for dealing with
the randomness / stochasticity that underlies the operation
of many technological, economic and social systems.

The overall development will seek a balance between


the systematic exposition of the considered models and
their properties, and
the applicability of these models in the aforementioned
contexts.
Course Outline
Introduction:
Course Objectives, Context, and Outline
Probability review: sample spaces and events, probabilities,
conditional probabilities, independence, Bayes formula,
random variables, expectation, moment generating
functions, jointly distributed random variables and
stochastic processes.
Conditional Probability and Conditional Expectation
and Applications
The basic methodology
Computing expectations and variances by conditioning
Application to Compound random variables and other
examples
Course Outline
Discrete Time Markov Chains
Basic concepts
Chapman-Kolmogorov equations
State classification
Limiting probabilities
Examples
Mean Time Spent in Transient States
Time Reversibility
Introduction to Markov Decision Processes
Course Outline
Exponential Distribution and Poisson Processes
The exponential distribution and its properties
Convolution of exponential random variables
The Poisson process and its properties
Generalization of the Poisson process: Non-homogeneous
and compound Poisson processes

Continuous Time Markov Chains


Basic definitions
Birth-Death processes
Time-dependent probability distribution
Limiting probability distribution
Semi-Markov processes
Approximation of non-Markovian behavior through
CTMCs
Course Outline
Queueing Theory
Exponential models: M/M/1, M/M/c and M/M/1/m queues
M/G/1 and G/M/1 queues
Queueing networks: open and closed QNs

Introduction to Renewal theory


Reading Assignment

Chapters 1 and 2 from your textbook

You might also like