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MS&E 323: Stochastic Simulation

Emphasis is on the theoretical foundations of simulation methodology. Generation of uniform and non-uniform random variables. Discrete-event simulation and generalized semi-Markov processes. Output analysis (autoregressive, regenerative, spectral, and stationary times series methods). Variance reduction techniques (antithetic variables, common random numbers, control variables, discrete-time, conversion, importance sampling). Stochastic optimization (likelihood ratio method, perturbation analysis, stochastic approximation). Simulation in a parallel environment. Prerequisite: MS&E 221 or equivalent.

MS&E 325: Topics in Stochastic Optimization

Algorithms for optimization problems with inputs from a known probability distribution or a known class of probability distributions. Topics: Markov decision processes; optimization with sparse priors; multi-armed bandit problems and the Gittins' index; regret bounds for multi-armed bandit problems; stochastic knapsack and the adaptivity gap; budgeted learning; adversarial queueing theory; stochastic scheduling and routing; stochastic inventory problems; multi-stage and multi-objective stochastic optimization. Prerequisites: MS&E 221 or equivalent; and MS&E 212 or CS 261 or equivalent.

MS&E 332: Security and Risk in Computer Networks

Risk management of large scale computing and networking systems with respect to security, data integrity, performance collapse, and service disruption. Qualitative and analytical basis for assessment, modeling, control, and mitigation of network risks. Stochastic risk models. Contact process. Random fields on networks. Virus and worm propagation dynamics and containment. Denial of service attacks. Intruder detection technologies. Distributed network attacks and countermeasures. Disaster recovery networks. Network protection services and resource placement. Autonomic self-defending networks. Economics of risk management. Emphasis is on analytics and quantitative methods.

MS&E 334: Computation of Equilibria

Topics: Sperner's lemma, fixed point theorems, and existence of Nash and Market equilibria. Alternate convex and linear completarity program formulations. Combinatorial algorithms. Complexity classes related to fixed points theorems and reductions to equilibrium problems. Similar solutions in cooperative game theory and fair division.

MS&E 338: Advanced Topics in Information Science and Technology

Advanced material in this area is sometimes taught for the first time as a topics course. Prerequisite: consent of instructor.

MS&E 343: Optimal Control Theory with Applications in Economics

Classical and nonclassical optimal control applications in economics. Necessary and sufficient optimality conditions: maximum principle and HJB equation. Applications: single-person decision problems such as dynamic pricing, investment, marketing, and harvesting of renewable resources; multi-agent games such as dynamic oligopolies with open and closed-loop equilibria, capital accumulation, and dynamic pricing; and design of economic mechanisms such as screening contracts, regulation, and auctions. Prerequisites: course in dynamic systems and multivariable calculus.

MS&E 345: Advanced Topics in Financial Engineering

Derivative pricing theory from an engineering perspective. Underlying principles that apply to all derivative securities; general frameworks to model and price derivative securities on equities, interest rates, and credit. Topics in hedging and risk management. Prerequisites: derivative pricing and stochastic differential equations; and 220, 221, 242, 342, or consent of instructor. Recommended: Matlab. (Primbs)
Instructors: Primbs, J. (PI)

MS&E 361: Supply Chain Optimization

Characterization and computation of optimal and nearly optimal multiperiod supply chain policies with known or uncertain demands using dynamic, lattice, network, and convex and concave programming. Cooperation: sharing benefits of alliances. Competition. Leontief-substitution and network-flow models. Lattice programming: comparison of optima; existence and comparison of equilibria of non-cooperative games. Stochastic comparison. Invariant properties of optimal flows: graphical optimization of supply chains. Optimality of myopic policies. Prerequisites: MATH 115, optimization theory, probability.

MS&E 362: Advanced Models in Production and Operations

The design and operation of production-inventory systems. Topics include production scheduling, capacity planning, sequencing, assembly-line balancing, dynamic scheduling, and multigoal optimizations. Readings primarily from journal articles. Prerequisite: 260.

MS&E 364: Multi-echelon Inventory Models

Theoretical treatment of control problems arising in inventory management, production, and distribution systems. Inventory control for single and multi-location systems. Emphasis is on operating characteristics, performance measures, and optimal operating and control policies. Dynamic programming and applications in inventory control. Prerequisite: STATS 217 or equivalent, linear programming.
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