Applied Stochastic Modeling

Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

During this course you will get acquainted with the most often used
stochastic models and how they are applied in practice. The emphasis is
on the variety of stochastic models (and their analysis) that appear in
practice, rather than an in-depth study of a single-class of models.
During the course you learn to handle such practically motivated
problems as an independent researcher; this means that you:
- are able to determine the appropriate model
- can formulate the problem mathematically correct
- are able to solve the stochastic model
- know how to interpret the outcome.

Inhoud vak

This course deals with a number of stochastic modeling techniques that
are often used in practice. They are motivated by showing the business
context in which they are used. Topics we deal with are: time-dependent
Poisson processes and infinite-server queues, renewal processes and
simulation, birth-death-processes, basic queueing models, and inventory
models. We also repeat and extend certain parts of probability theory.


Lecture and instruction.


Written examination and two hand-in assignments (one in each period).
The assignment in period 1 is graded as a pass-fail, and the assignment
in period 2 counts for 20%; the written examination counts for 80%. The
weighted average grade should be sufficient, but for the written
examination there is a minimum requirement of a 5.0.


Lecture notes of Ger Koole (made available via Canvas).
Recommended: H.C. Tijms, A First Course in Stochastic Models, 2003. This
is available as e-book via the VU library (ubvu), free of charge.
Additional material will be announced in due time.


mBA, mMath

Aanbevolen voorkennis

Probability theory, Poisson process, Markov chains in continuous time

Algemene informatie

Vakcode X_400392
Studiepunten 6 EC
Periode P1+2
Vakniveau 400
Onderwijstaal Engels
Faculteit Faculteit der Bètawetenschappen
Vakcoördinator dr. R. Bekker
Examinator dr. R. Bekker
Docenten dr. R. Bekker

Praktische informatie

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