Markov population decision chains in discrete and continuous time. Risk
posture. Present value, Cesaro-overtaking and Cesaro-geometric-overtaking
optimality. Optimal stopping. Successive approximation, policy improvement,
and linear programming methods. Team decisions and stochastic programs;
quadratic costs and certainty equivalents. Maximum principle. Controlled
diffusions. Examples from supply, overbooking, options, investment,
queues, reliability, quality, capacity, transportation. MATLAB is used.
Prerequisites: Mathematics 113, 115; Markov chains; linear programming.