619-355 Stochastic Modelling and Optimisation

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Objectives:

Students completing this subject should:

Comprehend:

• the concept of a stochastic process;

• the important standard stochastic processes, including Poisson process, Markov chains, birth-and- death processes, queueing processes and renewal processes;

• the standard techniques of describing such processes.

Have developed the skills:

• to develop a stochastic process model from a real-life situation;

• to derive the behaviour and properties of particular stochastic processes.

Appreciate:

• the importance of stochastic processes in modelling real-life phenomena;

• the applications of stochastic models to industry and the sciences.

Content:

Markov chains and applications; random walks; the Poisson process; birth-and-death processes and applications to population models, queueing models and storage models; renewal processes; Markov decision processes.

Assessment: