Faculty of Engineering
University of Waterloo
WINTER 2011 TERM
MSci 431 Operations Research II: Stochastic Models and Methods
Instructor: Professor J.H. Bookbinder
Management Sciences
Office: CPH 4356
Telephone: (519) 888-4013 e-mail: jbookbinder@uwaterloo.ca
Time: 3:30 – 5:00 pm Tuesday and Thursday
Place:
Prerequisites:
E2-1303
An introductory course in Probability and Statistics ( mandatory ); plus
Operations Research 1: Deterministic Optimization (MSci 331), recommended
Required Text:
S.M. Ross (2010) Introduction to Probability Models , 10 th
Ed., Academic Press.
(Ninth edition, 2007 or even the eighth edition, 2003 would be fine as well)
Reference Texts:
F.S. Hillier and G.J. Lieberman (2010) Introduction to Operations Research , 9 th
Ed., McGraw-Hill.
J.J. Solberg (2009) Modeling Random Processes for Engineers and Managers, Wiley.
W.L. Winston (2004) Operations Research: Volume Two (Introduction to Probability Models),
4 rd
Ed., Thomson Learning.
Tentative Marking Scheme:
Quizzes
Mid-Term Exam
Final Exam
Project
10%
25% or 20%
50% or 55%
15%
}
100%
Bonus (participation in class discussion, attendance, etc.) 5%
75% total (For each student, the most favourable weighting will be taken.)
For further information, please contact the Instructor, or the Department of Management Sciences,
University of Waterloo (CPH 4319) at (519) 888-4567, ext. 38546.

Winter 2011 Operations Research II: Probabilistic Models Dr. J.H. Bookbinder
Whereas OR1 dealt with deterministic models, this course deals with decision making in the face of randomness and uncertainty. Stochastic models are useful for many situations in business and engineering. The instructor will try to present one such application (a model; a mini-case; an example of
Probabilistic OR in the News) each class, as a way of conveying to you his enthusiasm for the subject.
T O P I C S
1.
Probability Review
2.
Methods for assessing randomness and uncertainty; expected values, conditional expectations, joint and conditional distributions.
This is not a “Math course!”
But just as one cannot study Electrical Circuits without Laplace
Transforms, or Fluid Mechanics without Differential Equations, we need to be sharp about probability and related concepts. Our speed in covering Topics 1 and 2 will be determined by how quickly class members can re-learn or remember the basic ideas and issues concerning probability, randomness and uncertainty.
3.
Discrete time Markov models and their use in inventory modelling, marketing, and replacement/maintenance models.
4.
The Poisson Process and its uses in modelling arrivals for service, equipment failures, etc.
5.
Continuous time Markov Chains. Their use in queueing system performance analysis.
6.
General queueing concepts and related decision problems. Design of an optimal queuing system.
Application to Manufacturing systems.
OFFICE HOUR: Tuesday, 5:10 – 6:00 pm, CPH 4356
A tutorial has also been scheduled on Wednesdays, 11:30 am - 12:20 pm in DWE 2529. The instructor will announce each Thursday whether there will be a tutorial the following week. (See next page regarding tutorial quizzes .) We may also find it convenient to use the tutorial time-slot if we ever need to make up a regular class.
Our Teaching Assistants are Saul Cai <qcai@uwaterloo.ca>, and Tiffany Matuk <tamatuk@uwaterloo.ca>
KEY DATES:
First class : Tuesday, January 4 Last class : Thursday, March 31
Class cancelled : February 22 and 24 (Reading Week).
Mid-Term Exam : Thursday, February 17, 3:30 – 5:00 pm (In class)
(Date will be confirmed several weeks ahead.)
Project: Written reports due March 29.

Winter 2011 Operations Research II: Probabilistic Models Dr. J.H. Bookbinder
Homework problems will be “recommended” but not collected. Rather, a short quiz will be given at the end of each of six tutorials (specific dates below). No makeups will be given . For each person, the best five quizzes will be counted, for a total weight of 10%.
Date Chapters for Quiz (Approx)
Jan. 19
Jan. 26
Feb. 2
Mar. 9
Mar. 16
Mar. 23 6
1
2
3
4 (2 nd half)
5