Sumários

TP4

12 Março 2018, 19:00 • António José Lopes Rodrigues

Exercises 7,8 (steady-state probabilities — brand switching and blood inventory problems)

Exercises 9,10 (probability of absortion — gambler’s ruin and reliability problems)

T4

12 Março 2018, 17:00 • António José Lopes Rodrigues

Markov chains: unconditional (“steady”) state probabilities. Examples: weather; inventory.

Probability of absortion. Examples: gambling; credit evaluation; projects modelled as stochastic (GERT) activity networks with different possible end states.

TP3

5 Março 2018, 19:00 • António José Lopes Rodrigues

Exercises 4,5 (classification of states)

Exercise 6 (estimating the transition matrix from observed states; solving with underdetermined or overdetermined systems)

T3

5 Março 2018, 17:00 • António José Lopes Rodrigues

Markov chains: special definitions (accessibility, irreducibility, periodicity, ergodicity), classification of states; n-step conditional state transition probabilities; Chapman-Kolmogorov equations.

Applications: the Brand Switching Problem

TP2

26 Fevereiro 2018, 19:00 • António José Lopes Rodrigues

Exercises 1,2 (Markov chains formulation)

Exercise 3 (programming a simple trading DSS)