MSCI302-10S2 (C) Semester Two 2010

Probabilistic Operations Research Models

30 points

Details:
Start Date: Monday, 12 July 2010
End Date: Sunday, 14 November 2010
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 25 July 2010
  • Without academic penalty (including no fee refund): Sunday, 10 October 2010

Description

Applied stochastic processes. Queueing models and their use. Discrete event simulation using commercial packages. A brief introduction to continuous-systems and Monte Carlo simulation. Business forecasting. A mainstream course for MSCI/OR majors.

About one-third of MS/OR techniques and models can be classified as stochastic or probabilistic. Here we seek to cover a range of the most popular topics from an MS/OR practitioner's viewpoint, so that you are aware of them, know the basic theory, and can apply them to practical situations, including  the collection and analysis of the necessary data. The techniques include Markov chain and queueing models, simulation (especially discrete event simulation, but also continuous and Monte Carlo simulation) and extrapolative forecasting techniques including exponential smoothing and ARIMA models. We also cover (and use) commercial software that is available for these problems, so that you know what is available, and how to use it.

Learning Outcomes

By the end of this course you should be able to:

· Collect and measure appropriate data in order to fit a range of stochastic models
·  Fit a theoretical queueing model to real data
·  Select appropriate simulation software for a particular simulation situation
·  Write simple simulation programs
·  Set up and run a simulation experiment
·  Select an appropriate extrapolative forecasting method for a particular problem
·  Use commercial software to forecast time series

Prerequisites

(1) MSCI204; (2) MSCI210 or 30 points of 200-level courses in STAT; (3) Any one of COSC121, ACIS125, ENEL206, MATH170, MATH171, MATH280, MATH282 or any approved course involving an appropriate level of computer programming.

Restrictions

MSCI310, MSCI311, MSCI312

Course Coordinator / Lecturer

Don McNickle

Assessment

Assessment Due Date Percentage  Description
Assignment 1 20 Aug 2010 18% Assignment 1
Assignment 2 05 Oct 2010 25% Assignment 2
Final Examination 57% Final Examination

Notes

Course Notes and Policies

What I will do:
I will try to give you at least three weeks to complete the assignments. It is normal practice to return assignments by placing them out in boxes or bringing them along to class, so that you can get them as soon as possible. If you object to your work being returned in this way you should indicate this in writing and your work will be returned separately by the departmental secretary.

What you must do:
Unless there are unexpected circumstances beyond your control the assignment must be handed in by the due date if you want it to count towards your grade. Since it will count towards your final grade it must also be entirely your own work, except for the pairs provision in Assignment 1 i.e. no plagiarism, collusion or copying. You should do about 11 hours of study per week. (This course is half a normal semester load, assuming you work 30 hours per week, and we have 4 contact hours. That leaves 11 hours).

TOPICS
This course aims to provide students majoring in Management Science with an appropriate background in the methods and theory of stochastic processes, queueing theory, computer simulation and forecasting. We will cover the following material.

1.  Stochastic Processes
Elementary stochastic processes, probability distributions, expectations, Poisson processes, Markov chains

2.  Queueing Theory
Markovian queueing models. How to derive steady-state characteristics of these models. M/G/1 queues, phase-type approximations. The assignment is to fit a theoretical model to an actual queue. This has benefits beyond this section since the analysis of time-dependent data is common to simulation and other O.R. techniques as well.

3. Computer Simulation
Computer simulation is one of the most widely used Management Science techniques. The object is to present simulation from a skilled practitioner's viewpoint. The principal simulation approaches to discrete-event simulation programming, generation of random variates, strategies for running simulations to obtain valid results, statistical analysis of simulation output. A survey of simulation packages. Short introductions to continuous systems simulation and Monte-Carlo methods. Two simulation packages, GPSS/H and Simul8. I will be assuming you have studied Simul8 in some detail in MSCI204, but GPSS/H will be covered  extensively here so you see both the GUI and language approaches to simulation programming.

4. Forecasting
Extrapolative versus Explanatory models. Extrapolative forecasting techniques including classical decomposition, exponential smoothing, ARIMA models, neural networks, rule-based and business forecasting. Judgemental forecasting and biases. We use the Forecast Pro package extensively.

Dishonest Practice
The University of Canterbury considers cheating and plagiarism to be serious acts of dishonesty. All assessed work must be your own individual work unless specifically stated otherwise in the assessment guidelines. Material quoted from any other source must be clearly acknowledged.  You must not copy the work of another person (student or published work) in any assessment including examinations, tests and assignments. Any person who is found to have copied someone else's work, or to have allowed their work to be copied, will receive a fail grade for that piece of assessment and may face disciplinary action which may lead to a fine, community service or exclusion from the university.

IMPORTANT: Where there are concerns regarding the authorship of written course work, a student can be required to provide a formal, oral explanation of the content of their work.

Departmental Academic Policies
If you want a hard copy of this document, please ask the course co-ordinator. The Department assumes that you have read this document. You should also read the “Information related to courses and assessment” on page 35 of the Enrolment Handbook 2010 (also in UC Calendar under “General Course and Examination Regulations”).

Coversheets - Group and Individual

Indicative Fees

Domestic fee $1,186.00

International fee $5,075.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Management, Marketing and Tourism .

All MSCI302 Occurrences

  • MSCI302-10S2 (C) Semester Two 2010