SF1904 Markov Processes, Basic Course 3.0 credits

Markovprocesser, grundkurs

This is an addition to a basic course in statistics and probability theory like SF1901 so that a student when completing this course have fulfilled the goals similar to the ones in SF1906.

The overall purpose of the course is that the student should be well acquainted with basic concepts, theory, models and solution methods for Markov processes with discrete state spaces, i.e., Markov chains.

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Course information

Content and learning outcomes

Course contents *

Markov processes with discrete state spaces. Absorption, stationarity and ergodicity of Markov chains. Properties of birth and death processes in general and Poisson process in particular. Standard queueing models M/M/1 and M/M/c and queueing theory.

Intended learning outcomes *

To pass the course, the student should be able to do the following:

  • construct simple Markov chain models in discrete and continuous time and describe their asymptotic properties and behaviour, in particular the Poisson process
  • use absorption techniques in continuous and discrete time to solve problems
  • model simple queueing systems with birth and death processes and calculate theoretical quantities in these models such as expected queueing time and queue length.

To receive the highest grade, the student should in addition be able to do the following:

  • Combine all the concepts and methods mentioned above in order to solve more complex problems.

Course Disposition

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Literature and preparations

Specific prerequisites *

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Recommended prerequisites

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Equipment

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Literature

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Examination and completion

Grading scale *

A, B, C, D, E, FX, F

Examination *

  • TENA - Examination, 3.0 credits, Grading scale: A, B, C, D, E, FX, F

Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

The examiner may apply another examination format when re-examining individual students.

Opportunity to complete the requirements via supplementary examination

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Opportunity to raise an approved grade via renewed examination

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Examiner

Björn-Olof Skytt

Further information

Course web

Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.

Course web SF1904

Offered by

SCI/Mathematics

Main field of study *

Mathematics, Technology

Education cycle *

First cycle

Add-on studies

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Contact

Björn-Olof Skytt, bos@math.kth.se

Ethical approach *

  • All members of a group are responsible for the group's work.
  • In any assessment, every student shall honestly disclose any help received and sources used.
  • In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.