620-301 Stochastic Modelling

Note

Students may only gain credit for one of 620-301 and 619-355 (1997 Handbook).

Credit Points

Coordinator

Prerequisites

620-201 (1997 Handbook 619-201) and one of 620-112, 620-122, 620-200, 620-211 (1997 Handbook one of 618-112, 618-122, 618-200, 618-211).

Semester

Contact

Subject Description

This subject introduces the concept of a stochastic process and deals with the important standard stochastic processes, including Poisson process, Markov chains, birth-and-death processes, queuing processes and renewal processes, demonstrating the standard techniques of describing such processes. Students learn to develop a stochastic process model from a real-life situation and to derive the behaviour and properties of particular stochastic processes. This subject demonstrates the importance of stochastic processes in modelling real-life phenomena and in particular shows the applications of stochastic models to industry and the sciences.

Topics covered: Markov chains and applications; random walks; the Poisson process; birth-and-death processes and applications, queuing models and storage models; renewal processes; Markov decision processes.

Assessment

A 3-hour end of semester written examination; up to 50 pages of assignments may be assessed.