Course Description

IE632: Stochastic Processes

The course deals with stochastic modeling and performance analysis methods for system design and operation of complex engineering systems such as production / manufacturing systems, computer / communication systems, and service systems. The course covers more advanced mathematical modeling and analysis than OR-II. Topics include basic concepts, modeling and analysis, and applications for fundamental stochastic models, including Poisson processes, renewal processes, Markov chains, stationary processes, Brownian and diffusion processes, stochastic Petri nets, basic queueing models and queueing networks, and Markov decision processes. Advanced topics like Markov renewal processes, Martingales, large deviation theories, and advanced traffic models can be introduced depending on the class.