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    ST333 15 2023

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    Prem Sharma
    This module provides an introduction to applied stochastic processes. It is a 15-credit, 10-week module taught on the University of Warwick main campus. The module is assessed through a single in-person examination consisting of answering 3 out of 4 questions. The module aims to introduce concepts and techniques in applied probability theory and operations research, covering topics like continuous-time Markov chains, birth-death processes, queuing theory, and epidemics.

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    Download as PDF, TXT or read online from Scribd

    ST333 15 2023

    Uploaded by

    Prem Sharma
    21 views7 pages
    This module provides an introduction to applied stochastic processes. It is a 15-credit, 10-week module taught on the University of Warwick main campus. The module is assessed through a single in-person examination consisting of answering 3 out of 4 questions. The module aims to introduce concepts and techniques in applied probability theory and operations research, covering topics like continuous-time Markov chains, birth-death processes, queuing theory, and epidemics.

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    ST333-15-2023

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    This module provides an introduction to applied stochastic processes. It is a 15-credit, 10-week module taught on the University of Warwick main campus. The module is assessed through a single in-person examination consisting of answering 3 out of 4 questions. The module aims to introduce concepts and techniques in applied probability theory and operations research, covering topics like continuous-time Markov chains, birth-death processes, queuing theory, and epidemics.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    21 views7 pages

    ST333 15 2023

    Uploaded by

    Prem Sharma
    This module provides an introduction to applied stochastic processes. It is a 15-credit, 10-week module taught on the University of Warwick main campus. The module is assessed through a single in-person examination consisting of answering 3 out of 4 questions. The module aims to introduce concepts and techniques in applied probability theory and operations research, covering topics like continuous-time Markov chains, birth-death processes, queuing theory, and epidemics.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 7

    ST333-15 Applied Stochastic

    Processes
    23/24
    Department
    Statistics
    Level
    Undergraduate Level 3
    Module leader
    Sam Olesker-Taylor
    Credit value
    15
    Module duration
    10 weeks
    Assessment
    Multiple
    Study location
    University of Warwick main campus, Coventry

    Description

    Introductory description

    This module runs is available for students on a course where it is a listed option and as an
    Unusual Option to students who have completed the prerequisite modules.

    The ideas presented in this module have a vast range of applications, for example routing
    algorithms in telecommunications (queues), assessment of apparent spatial order in astronomical
    data (stochastic geometry), description of outbreaks of disease (epidemics). We will only be able
    to introduce each area - indeed each area could easily be the subject of a course on its own! But
    the introduction will provide you with a good base to follow up where and when required. (For
    example: a MORSE graduate found that their firm was asking them to address problems in
    queuing theory, for which ST333 provided the basis.) We will discuss these and other applications
    and show how the ideas of stochastic process theory help in formulating and solving relevant
    questions.

    Pre-requisites: ST202 Stochastic Processes or ST227 Stochastic Processes.

    Results from this module may be partly used to determine of exemption eligibility in the Institute
    and Faculty of Actuaries (IFoA) modules CS2.

    Module web page


    Module aims

    To provide an introduction to concepts and techniques which are fundamental in modern applied
    probability theory and operations research:
    Models for queues, point processes, and epidemics.
    Notions of equilibrium, threshold behaviour, and description of structure.

    Outline syllabus

    This is an indicative module outline only to give an indication of the sort of topics that may be
    covered. Actual sessions held may differ.

    1. Continuous time Markov Chains.


    Terms used in the analysis of continuous-time Markov chains: Markov property, transition
    probability function, standing assumptions, Chapman-Kolmogorov equations, Q-matrix,
    Kolmogorov forward and backward differential equations, equilibrium distribution. The
    simplest case: finite state-space Markov chains. The "switcher" example. Exact transition
    densities for processes on a small number of states. The strong Markov property.

    2. Linear Birth-Death processes.


    Poisson (counting) process: construction, ideas of independent increments, superposition,
    counts and thinning. Pure birth process, linear birth-death process, birth-death-immigration
    process: construction using "microscopic model", derivation of extinction and equilibrium
    probabilities. Generalized birth-death processes.

    3. Queuing theory.
    The Markov single-server (M/M/1) queue. The concept of detailed balance. Measures of
    effectiveness. Multiserver (M/M/cl/c2) queues. Erlang's formula. Queues with general
    service-time distribution (M/G/l) and their embedded Markov chains. Little's formula,
    Pollaczek-Khintchine formula.

    4. Other Markov properties.


    Stopping times. Strong Markov property. Holding theorem.

    5. Epidemics.
    Deterministic Epidemic model. Stochastic model without removals. Stochastic model with
    removals.

    Learning outcomes

    By the end of the module, students should be able to:

    • formulate continuous-time Markov chain models for applied problems.


    • use basic theory to gain quick answers to important questions (for example, what is the
    equilibrium distribution for a specific reversible Markov chain?).
    • solve for the transition probabilities for Markov chains on a finite state space.
    • understand how to use Markov chains in the modelling and analysis of queues and
    epidemics.
    Indicative reading list

    View reading list on Talis Aspire

    Subject specific skills

    • Demonstrate facility with rigorousprobabilistic methods.

    • Evaluate, select and apply appropriate mathematical and/or probabilist techniques.

    • Demonstrate knowledge of and facility with formal probability concepts, both explicitly and by
    applying them to the solution of mathematical problems.

    • Create structured and coherent arguments communicating them in written form.

    • Construct logical arguments with clear identification of assumptions and conclusions.

    • Reason critically, carefully, and logically.

    Transferable skills

    • Problem solving: Use rational and logical reasoning to deduce appropriate and well-
    reasoned conclusions. Retain an open mind, optimistic of finding solutions, thinking laterally
    and creatively to look beyond the obvious. Know how to learn from failure.

    • Self awareness: Reflect on learning, seeking feedback on and evaluating personal practices,
    strengths and opportunities for personal growth.

    • Communication: Present arguments, knowledge and ideas, in a range of formats.

    • Professionalism: Prepared to operate autonomously. Aware of how to be efficient and


    resilient. Manage priorities and time. Self-motivated, setting and achieving goals, prioritising
    tasks.

    Study

    Study time
    Type Required Optional
    Lectures 30 sessions of 1 hour (20%) 2 sessions of 1 hour
    Seminars 5 sessions of 1 hour (3%)
    Private study 115 hours (77%)
    Total 150 hours

    Private study description


    Completion of non-credit bearing coursework, weekly revision of lecture notes and materials, wider
    reading, practice exercises and preparing for examination.

    Costs
    No further costs have been identified for this module.

    Assessment
    You must pass all assessment components to pass the module.

    Students can register for this module without taking any assessment.

    Assessment group B4

    Weighting Study time


    In-person Examination 100%
    The examination paper will contain four questions, of which the best marks of THREE questions
    will be used to calculate your grade.

    • Answerbook Pink (12 page)


    • Students may use a calculator

    Assessment group R3

    Weighting Study time


    In-person Examination - Resit 100%
    The examination paper will contain four questions, of which the best marks of THREE questions
    will be used to calculate your grade.

    • Answerbook Pink (12 page)


    • Students may use a calculator

    Feedback on assessment

    Opportunities will be provided to submit non-credit bearing coursework for which feedback will be
    provided in the following problem class.
    Solutions and cohort level feedback will be provided for the examination.

    Past exam papers for ST333


    Availability

    Anti-requisite modules

    If you take this module, you cannot also take:

    • ST406-15 Applied Stochastic Processes with Advanced Topics

    Courses
    This module is Optional for:

    • Year 1 of TMAA-G1P0 Postgraduate Taught Mathematics


    • UCSA-G4G1 Undergraduate Discrete Mathematics
    ○Year 3 of G4G1 Discrete Mathematics
    ○Year 3 of G4G1 Discrete Mathematics
    • Year 3 of UCSA-G4G3 Undergraduate Discrete Mathematics
    • Year 4 of UCSA-G4G4 Undergraduate Discrete Mathematics (with Intercalated Year)
    • Year 4 of UCSA-G4G2 Undergraduate Discrete Mathematics with Intercalated Year
    • USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and
    Economics
    ○Year 3 of G300 Mathematics, Operational Research, Statistics and Economics
    ○Year 4 of G300 Mathematics, Operational Research, Statistics and Economics

    This module is Unusual option for:

    • Year 2 of TMAA-G1PC Postgraduate Taught Mathematics (Diploma plus MSc)

    This module is Core option list A for:

    • Year 3 of USTA-G1G3 Undergraduate Mathematics and Statistics (BSc MMathStat)


    • Year 4 of USTA-G1G4 Undergraduate Mathematics and Statistics (BSc MMathStat) (with
    Intercalated Year)

    This module is Option list A for:

    • USTA-G1G3 Undergraduate Mathematics and Statistics (BSc MMathStat)


    ○ Year 3 of G1G3 Mathematics and Statistics (BSc MMathStat)
    ○ Year 4 of G1G3 Mathematics and Statistics (BSc MMathStat)
    • USTA-G1G4 Undergraduate Mathematics and Statistics (BSc MMathStat) (with Intercalated
    Year)
    ○ Year 4 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    ○ Year 5 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    • USTA-GG14 Undergraduate Mathematics and Statistics (BSc)
    ○ Year 3 of GG14 Mathematics and Statistics
    ○ Year 3 of GG14 Mathematics and Statistics
    • Year 4 of USTA-GG17 Undergraduate Mathematics and Statistics (with Intercalated Year)
    • USTA-Y602 Undergraduate Mathematics,Operational Research,Statistics and Economics
    ○Year 3 of Y602 Mathematics,Operational Research,Stats,Economics
    ○Year 3 of Y602 Mathematics,Operational Research,Stats,Economics
    • Year 4 of USTA-Y603 Undergraduate Mathematics,Operational
    Research,Statistics,Economics (with Intercalated Year)

    This module is Option list B for:

    • UMAA-G105 Undergraduate Master of Mathematics (with Intercalated Year)


    ○Year 4 of G105 Mathematics (MMath) with Intercalated Year
    ○Year 5 of G105 Mathematics (MMath) with Intercalated Year
    • Year 3 of USTA-G300 Undergraduate Master of Mathematics,Operational
    Research,Statistics and Economics
    • USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and
    Economics (with Intercalated
    ○Year 3 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial
    Mathematics Stream) Int
    ○Year 4 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial
    Mathematics Stream) Int
    • UMAA-G100 Undergraduate Mathematics (BSc)
    ○Year 3 of G100 Mathematics
    ○Year 3 of G100 Mathematics
    ○Year 3 of G100 Mathematics
    • UMAA-G103 Undergraduate Mathematics (MMath)
    ○Year 3 of G100 Mathematics
    ○Year 3 of G103 Mathematics (MMath)
    ○Year 3 of G103 Mathematics (MMath)
    ○Year 4 of G103 Mathematics (MMath)
    ○Year 4 of G103 Mathematics (MMath)
    • UMAA-G106 Undergraduate Mathematics (MMath) with Study in Europe
    ○Year 3 of G106 Mathematics (MMath) with Study in Europe
    ○Year 4 of G106 Mathematics (MMath) with Study in Europe
    • Year 4 of UMAA-G101 Undergraduate Mathematics with Intercalated Year

    This module is Option list C for:

    • USTA-G302 Undergraduate Data Science


    ○Year 3 of G302 Data Science
    ○Year 3 of G302 Data Science
    • Year 3 of USTA-G304 Undergraduate Data Science (MSci)
    • Year 4 of USTA-G303 Undergraduate Data Science (with Intercalated Year)

    This module is Option list F for:

    • Year 3 of USTA-G300 Undergraduate Master of Mathematics,Operational


    Research,Statistics and Economics
    • USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and
    Economics (with Intercalated
    ○ Year 3 of G30H Master of Maths, Op.Res, Stats & Economics (Statistics with
    Mathematics Stream)
    ○ Year 4 of G30H Master of Maths, Op.Res, Stats & Economics (Statistics with
    Mathematics Stream)

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