OR 442/542, MATH 442

Stochastic Operations Research

Fall 2003

Due to the heavy load of my research projects, I am buying out my teaching load for this class.  This class will be taught by Dr. Frederick Wieland in the Fall 2003. Please contact SEOR Department office for further information.

Instructor: Chun-Hung Chen
Email: cchen9@gmu.edu
Office: Science & Tec II, Room 319
Phone: 703-993-3572
Fax: 703-993-1521
Office Hours: Wednesday 3:30 - 4:30 PM; Thursday 5:30 - 6:30 PM.

Course Description:

A survey of probabilistic methods for solving decision problems under uncertainty. Topics covered by this class include decision analysis, Markov chains, queueing theory, dynamic programming, forecasting, and simulation.

Prerequisites: STAT 344, or MATH 351, or equivalent.

Grading: Homework 30%; Two exams 70% (35% each).

Required Text: W. L. Winston, " Operations Research: Applications and Algorithms" 3rd edition, 1993.

Exam 1: Wednesday, October 23, 2002; and Exam 2: Wednesday, December 4, 2002. There is no final exam. Make up exam questions will be MUCH MORE DIFFICULT than regular exam questions.

General Rules:

  1. Late homework is always allowed. No need to get advanced permission. However, the penalty for late homework is 25% for the first day and then 5% per day. No exemption.
  2. Turning in HW through email is subject to a 20% penalty; but fax is OK.
  3. No collaborations are allowed for homework, although discussions are encouraged.
  4. Comments are strongly encouraged.
  5. No cheating.

Course Outline & Reading Assignment:



Time (week)

Reading Assignment


Probability review


Chapter 11


Decision making


Chapters 13 & 14


Markov chains


Chapter 19


Dynamic programming


Chapters 20 & 21


Queueing theory


Chapter 22




Chapter 24




Chapter 23


About the topic of simulation in this course:

This is a survey course. Each topic is covered up to the level that students learn how to apply the fundamental theories, except simulation. It is safe to say that simulation is one of the most useful tools for decision making under uncertainty. However, only demonstration and very basic ideas of simulation will be given in this course, because i) most students are already required to take simulation courses; ii) it is impossible to cover sufficient materials for implementing simulation within the limited time allocated in this course. For details about the simulation courses offered by the department, please visit

    1. SYS 335/ OR 435 Discrete Systems Simulation Modeling
    2. OR 635 Discrete System Simulation

Homework Assignments:

Go to Professor Chun-Hung Chen's Page