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Courses Taught
| 課程名稱 |
隨機過程(“Stochastic Processes”) |
| 課程概述 |
This is an introductory course for students to earn fundamental understanding of stochastic
processes and probability methods in engineering and management. |
| 參考資料 |
-
Sheldon M. Ross, Introduction to Probability Models, 10th edition,
Academic Press, 2009
- Sheldon M. Ross, Introduction to Probability Models, 9th edition, Academic Press, 2002
- Sheldon M. Ross, Stochastic Processes, 2nd edition, Wiley, 1995
- Sidney Resnick, Adventure in Stochastic Processes, 1st edition, Birkhauser, 1992
- Samuel Karlin and H. E. Taylor, A First Course in Stochastic Processes, 2nd edition, Academic
Presses, 1975
- John R. Birge and F. Louveaux, Introduction
to Stochastic Programming, Springer, 1997
- Linn I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley,
1999
|
| 開課時間 |
Fall 2010, Fall 2011, Fall 2012, Fall 2013, Fall 2014
and Fall2015 |
| 課程名稱 |
動態規劃與應用(“Dynamic Programming” ) |
| 課程概述 |
This course emphasizes the use of stochastic
optimization methods in theory and practice. General knowledge of
basic probability theory and stochastic processes is assumed.
Applications considered include revenue management, queueing systems
and production and inventory systems. However, the topics discussed
also have wide applications to financial and economic systems. We
will also emphasize on showing the existence of optimal policy
structure for a wide variety of dynamic optimization problems. |
| 參考資料 |
- E. Denardo, Dynamic Programming: Models and Applications, 1982 (out of print)
- M. L. Puterman, Markov Decision Processes, Wiley, 1994
- L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley,
1999
- J. R. Birge and F. Louveaux, Introduction to Stochastic Programming, Springer, 1997
- S. G. Nash and A. Sofer, Linear and Nonlinear Programming, McGraw-Hill, 1996
- D. P. Bertsekas, Dynamic Programming and Optimal Control, 2nd edition, Athena Scientific,
2001
- V. G. Kulkarni, Modeling and Analysis of Stochastic Systems, Chapman & Hall,1995
- S. M. Ross, Introduction to Probability Models, 8th edition, Academic Press, 2002
- S. M. Ross, Stochastic Processes, 2nd edition, Wiley, 1995
- S. Resnick, Adventure in Stochastic Processes, 1st edition, Birkhauser, 1992
- S. Karlin and H. E. Taylor, A First Course in Stochastic Processes, 2nd edition, Academic
Presses, 1975
|
| 開課時間 |
Spring 2009, Spring 2010, Spring 2011, Spring
2012, Fall 2012, Spring 2014, Spring 2015 and Fall2015 |
| 課程名稱 |
決策分析與賽局(“Decision
Analysis and Games ”) |
| 課程概述 |
This is an application oriented course on
decision making. We will emphasize the use of dynamic decision
methods in theory and practice, especially when uncertainties and
multiple decision makers are issues. These methods are widely used
and covered in other courses, including decision analysis,
stochastic optimization methods, and game theory. However, none of
the previous courses emphasize on the dynamic interaction between
decision makers and between decisions in different time periods.
Different from other courses in decision making, this course will
focus on the multiple period, multiple decision maker decision
problems.We will also emphasize on the modeling of uncertainties in
multi-period decision making problems.
Applications considered in this course include supply chain
coordination, revenue management, and technology management.
However, the topics discussed also have wide applications to other
financial and economic systems. |
| 參考資料 |
-
R. T. Clemen, Making Hard Decisions: An Introduction to Decision
Analysis, 2nd edition, South-Western College Pub, 1997
- E. Denardo, Dynamic Programming: Models and
Applications, 1982 (out of print)
- L. Pepall, D. Richards, and G. Morman,
Industrial Organization: Contemporary Theory and Empirical
Applications, 4th edition, Wiley-Blackwell, 2008
|
| 開課時間 |
Fall 2014 |
| 課程名稱 |
決策方法與產業應用 (“Dynamic Decision Methods and Industrial Applications ” ) |
| 課程概述 |
This is an application oriented course on dynamic decision making. We will emphasize the use of dynamic decision methods in theory and practice, especially when uncertainties and multiple decision makers are issues. These methods are widely used and covered in other courses, including decision analysis, stochastic optimization methods, and
game theory.
However, none of the previous courses emphasize on the dynamic interaction between decision makers and between decisions in different time periods. Different from other courses in decision making, this course will focus on the multiple period, multiple decision maker decision problems. We will also emphasize on the modeling of uncertainties in multi-period
decision making problems. |
| 參考資料 |
- R. T. Clemen, Making Hard Decisions: An Introduction to Decision Analysis, 2nd edition, South-Western College Pub, 1997
- E. Denardo, Dynamic Programming: Models and Applications, 1982 (out of print)
- L. Pepall, D. Richards, and G. Morman, Industrial Organization: Contemporary Theory and Empirical Applications, 4th edition,Wiley-Blackwell, 2008
- J. Tirole, The Theory of Industrial Organization, MIT Press, 1998
- M. L. Puterman, Markov Decision Processes, Wiley, 1994
|
| 開課時間 |
Fall 2009, Fall 2010, Spring
2013 and Fall 2013 |
| 課程名稱 |
非確定型模式與方法(“Non-deterministic Model and Methods”) |
| 課程概述 |
This is an introductory course for students to earn fundamental understanding of stochastic processes and probability methods in engineering. Other course information can be found on: |
| 參考資料 |
-
Sheldon M. Ross, Stochastic Processes, 2nd edition, Wiley, 1995
- Sidney Resnick, Adventure in Stochastic Processes, 1st edition, Birkhauser, 1992
- Samuel Karlin and H. E. Taylor, A First Course in Stochastic Processes, 2nd edition, Academic Presses, 1975
- John R. Birge and F. Louveaux, Introduction to Stochastic Programming, Springer, 1997
- Linn I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley, 1999
- Sheldon M. Ross, Introduction to Probability Models, 9th edition, Academic Press, 2002
|
| 開課時間 |
Fall 2008 and Fall 2009 |
| 課程名稱 |
非線性規劃(“Nonlinear Programming”) |
| 課程概述 |
The main topics of the course are the basics of nonlinear optimization, constrained and unconstrained, with the main focus on characterizing
the solutions of such problems through optimality conditions and
describing the ideas behind modern algorithms for finding these solutions. |
| 參考資料 |
- Bazaraa, Sherali, and Shetty: Nonlinear programming: theory and algorithms
- Bertsekas, Nonlinear programming : 1st or 2nd edition.
- Nash and Sofer, Linear and Nonlinear Programming
- Nocedal and Wright, Numerical Optimization
|
| 開課時間 |
Spring 2008 |
| 課程名稱 |
最適化理論(“Optimization Theory”) |
| 開課時間 |
Spring 2007 |
| 課程名稱 |
高等作業研究(“Advanced Operations Research”) |
| 開課時間 |
Spring 2007 |
| 課程名稱 |
統計方法(“Statistic Methods”) |
| 開課時間 |
Fall 2006 |
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