Courses

For course details prior to the listed term, please visit the Office of the Registrar.

Fall 2024

Fundamentals of Statistics (QCR)
Subject associations
ORF 245 / EGR 245

A first introduction to probability and statistics. This course will provide background to understand and produce rigorous statistical analysis including estimation, confidence intervals, hypothesis testing and regression and classification. Applicability and limitations of these methods will be illustrated using a variety of modern real world data sets and manipulation of the statistical software R.

Probability and Stochastic Systems
Subject associations
ORF 309 / EGR 309 / MAT 380

An introduction to probability and its applications. Topics include: basic principles of probability; Lifetimes and reliability, Poisson processes; random walks; Brownian motion; branching processes; Markov chains

Instructors
Computing and Optimization for the Physical and Social Sciences (QCR)
Subject associations
ORF 363 / COS 323

An introduction to several fundamental and practically-relevant areas of modern optimization and numerical computing. Topics include computational linear algebra, first and second order descent methods, convex sets and functions, basics of linear and semidefinite programming, optimization for statistical regression and classification, and techniques for dealing with uncertainty and intractability in optimization problems. Extensive hands-on experience with high-level optimization software. Applications drawn from operations research, statistics and machine learning, economics, control theory, and engineering.

Instructors
Independent Research Project
Subject associations
ORF 375

Independent research or investigation resulting in a substantial formal report in the student's area of interest under the supervision of a faculty member.

Instructors
Regression and Applied Time Series
Subject associations
ORF 405

An introduction to popular statistical approaches in regression and time series analysis. Topics will include theoretical aspects and practical considerations of linear, nonlinear, and nonparametric modeling (kernels, neural networks, and decision trees).

Introduction to Monte Carlo Simulation
Subject associations
ORF 409

An introduction to the uses of simulation and computation for analyzing stochastic models and interpreting real phenomena. Topics covered include generating discrete and continuous random variables, stochastic ordering, the statistical analysis of simulated data, variance reduction techniques, statistical validation techniques, nonstationary Markov chains, and Markov chain Monte Carlo methods. Applications are drawn from problems in finance, manufacturing, and communication networks. Students will be encouraged to program in Python. Office hours will be offered for students unfamiliar with the language.

Instructors
Optimal Learning (QCR)
Subject associations
ORF 418

This course develops several methods that are central to modern optimization and learning problems under uncertainty. These include dynamic programming, linear quadratic regulator, Kalman filter, multi-armed bandits and reinforcement learning. Representative applications and numerical methods are emphasized.

Instructors
Financial Risk and Wealth Management
Subject associations
ORF 435

This course covers the basic concepts of measuring, modeling and managing risks within a financial optimization framework. Topics include single and multi-stage financial planning systems. Implementation from several domains within asset management and goal based investing. Machine learning algorithms are introduced and linked to the stochastic planning models. Python and optimization exercises required.

Instructors
Energy and Commodities Markets
Subject associations
ORF 455 / ENE 455

This course is an introduction to commodities markets (oil, gas, metals, electricity, etc.), and quantitative approaches to capturing uncertainties in their demand and supply. We start from a financial perspective, and traditional models of commodity spot prices and forward curves. Then we cover modern topics: game theoretic models of energy production (OPEC vs. fracking vs. renewables); quantifying the risk of intermittency of solar and wind output on the reliability of the electric grid (mitigating the duck curve); financialization of commodity markets; carbon emissions markets. We also discuss economic and policy implications.

Instructors
Transportation Systems Analysis
Subject associations
ORF 467

Studied is the transportation sector of the economy from a technology and policy planning perspective. The focus is on the methodologies and analytical tools that underpin policy formulation, capital and operations planning, and real-time operational decision making within the transportation industry. Case studies of innovative concepts such as "value" pricing, real-time fleet management and control, GPS-based route guidance systems, automated transit systems and autonomous vehicles will provide a practical focus for the methodologies. Class project in lieu of final exam focused on major issue in Transportation Systems Analysis.

Instructors
Senior Independent Research Foundations
Subject associations
ORF 498

This foundational class is designed to introduce students to both the ideation and investigation components of research, with milestones guiding students towards a complete thesis in the spring semester. Classes will consist of presentations on research tools (including data, library, and computing resources), crash-courses in common research methodologies, and introduction to LaTeX for typesetting their final theses. Throughout the semester, students will discuss and present their thesis progress in smaller group settings. Past student theses will also be studied as examples.

Instructors