Skip over navigation

Course Offerings

Course Evaluation Results

Course Details

Fall 2012-2013
ORF 311   na, npdf

Optimization under Uncertainty

John M. Mulvey

A survey of quantitative approaches for making optimal decisions under uncertainty, including decision trees, Monte Carlo simulation, and stochastic programs. Forecasting and planning systems are integrated with a focus on financial applications.

Sample reading list:
F. Hillier & G. Lieberman, Introduction to Operation Research 9th Ed.
Handouts:, Multi-objective optimization, optimization under uncertainty
Birge and Louveaux, Introduction to Stochastic Programming
Winston & Albright, Practical Management Science

Reading/Writing assignments:
Students will be required to design and build stochastic optimization models using Excel Add-ins and other software systems. A series of case studies will be discussed in precepts. Students are expected to read 25 pages per week.

Requirements/Grading:
Mid Term Exam - 25%
Final Exam - 40%
Programming Assignments - 10%
Problem set(s) - 25%

Other Requirements:
Open to Juniors and Seniors Only.

Prerequisites and Restrictions:
ORF 307 or MAT 305, and ORF 309.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
20380 L01 3:00 pm - 4:20 pm T Th   Sherrerd Hall   101   Enrolled:36 Limit:40
P01 7:30 pm - 8:20 pm M   Sherrerd Hall   001   Enrolled:0 Limit:20
P02 7:30 pm - 8:20 pm W   Engineering Quad E-Wing   E225   Enrolled:0 Limit:20