Operations Research or Statistics
In this course we will study the theory and applications of stochastic dynamic programming (SDP). The undergraduate level of probability theory is a prerequisite for this course. Prior knowledge of stochastic processes and convex optimization would be helpful but are not required, as we will cover the basic principles in this course. We will first study the theory of SDP including finite-stage models, discounted dynamic programming, and optimal stopping problems, and then study both classical and recent applications of SDP to Operations Management. The specific objectives of the course are: (i) to train you to model and analyze SDP problems, and (ii) to introduce you to various SDP models in Operations Management in order to help you develop your own research interests.
Lecture: 100min/wk and Recitation: 50min/wk