2009-2010 Bulletin – PDF - SEAS Bulletin - Columbia University

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IEOR E6707y Advanced topics in queueing
theory
Lect: 2. 3 pts. Professor Whitt.
Prerequisite: IEOR E6704 or the instructor’s permission.
Queueing models with general arrival
and service processes, Loyne’s construction,
Harris recurrence, coupling, stability, steady-state
moments and tail asymptotics, heavy-traffic and
light-traffic approximations. Recent literature and
open problems are discussed.
IEOR E6708x Discrete event stochastic systems
Lect: 2. 3 pts. Not given in 2009–2010.
Prerequisites: IEOR E4004, E4404, and E4106.
Modeling, analysis, control, and optimization of
discrete event stochastic systems. Generalized
semi-Markov process models; sample path analysis;
stochastic optimization optimal control.
Applications to manufacturing and communication
problems.
IEOR E6710y Markovian decision processes
Lect: 2. 3 pts. Instructor to be announced.
Prerequisite: IEOR E4106 or E4701. Dynamic
systems observed periodically and partially controlled
by decisions made at each time of observation.
Methods of determining optimal decision
policies. Applications to inventory, inspection,
maintenance, and replacement theories.
IEOR E6711x Stochastic models, I
Lect: 3. 4.5 pts. Professor Whitt.
Prerequisite: SIEO W4105 or the equivalent.
Advanced treatment of stochastic modeling in the
context of queueing, reliability, manufacturing,
insurance risk, financial engineering and other
engineering applications. Review of elements of
probability theory; exponential distribution; renewal
theory; Wald’s equation; Poisson processes.
Introduction to both discrete and continuous-time
Markov chains; introduction to Brownian motion.
IEOR E6712y Stochastic models, II
Lect: 3. 4.5 pts. Professor Yao.
Prerequisite: IEOR E6711 or the equivalent.
Continuation of IEOR E6711, covering further
topics in stochastic modeling in the context of
queueing, reliability, manufacturing, insurance
risk, financial engineering, and other engineering
applications. Topics from among generalized
semi-Markov processes; processes with a
nondiscrete state space; point processes;
stochastic comparisons; martingales; introduction
to stochastic calculus.
IEOR E6801x Monte Carlo methods
Lect: 2. 3 pts. Professor Blanchet.
Prerequisites: IEOR E4106 or E4701, and SIEO
4150, plus a working knowledge of programming.
No prior knowledge of simulation is required.
Random variate generation, discrete event simulation,
Monte Carlo simulation, simulation output
analysis, variance reduction, improving simulation
efficiency, simulation-based derivative-estimation/
sensitivity-analysis, and quasi–Monte Carlo techniques.
Application of these techniques to financial
engineering and performance analysis/ optimization
of computer networking, telecommunications,
and production systems.
IEOR E8100 Advanced topics in IEOR
Lect: 1–3. 1 to 3 pts. Instructor to be announced.
Prerequisite: Faculty adviser’s permission.
Selected topics of current research interest.
May be taken more than once for credit.
IEOR E9101x and y, and s Research
1 to 6 pts. The faculty.
Before registering, the student must submit an
outline of the proposed work for approval by the
supervisor and the chair of the Department.
Advanced study in a specialized field under the
supervision of a member of the department staff.
This course may be repeated for credit.
IEOR E9800x and y, and s Doctoral research
instruction
3, 6, 9, or 12 pts. The faculty.
A candidate for the Eng.Sc.D. degree in industrial
engineering or operations research must register
for 12 points of doctoral research instruction.
Registration in IEOR E9800 may not be used to
satisfy the minimum residence requirement for
the Ph.D. degree.
IEOR E9901x and y Operations research
seminar
Sem: 2. 1 to 3 pts. The faculty.
Open to doctoral candidates, and qualified M.S.
candidates with the instructor’s permission. This
course may be repeated for credit. Selected topics
of interest. Topics may vary from year to year.
IEOR E9940x or y Industrial engineering
seminar
Sem: 2. 1 to 3 pts. The faculty.
Open to doctoral candidates and qualified M.S.
candidates with the instructor’s permission. The
course may be repeated for credit. Selected topics
of interest. Topics may vary from year to year.
SEAS 2009–2010