Introductory course for overview of modern approaches and ideas of operations research and data analytics. Through a series of interactive sessions, students engage in activities exploring OR topics with various faculty members from the IEOR department.
Introduction to essential data engineering methods. Potential topics include Arrays, Linked Lists, Stacks and Queues, Trees and Graphs, Hash Tables, Search Algorithms and Efficiency, Relational databases, SQL, NoSQL, and Data Wrangling. Practice both theory and applications using Python programming.
Designed to provide an introduction to data science for sophomore SEAS majors. Combines three perspectives: inferential thinking, computational thinking, and real-world applications. Given data arising from some real-world phenomenon, how does one analyze that data so as to understand that phenomenon? Teaches critical concepts and skills in computer programming, statistical inference, and machine learning, in conjunction with hands-on analysis of real-world datasets such as economic data, document collections, geographical data, and social networks. At least one project will address a problem relevant to New York City.
For undergraduates only. Required for all undergraduate students majoring in IE, OR:EMS, OR:FE, and OR. Must be taken during (or before) the sixth semester. Inventory management and production planning. Continuous and periodic review models: optimal policies and heuristic solutions, deterministic and probabilistic demands. Material requirements planning. Aggregate planning of production, inventory, and work force. Multi-echelon integrated production-inventory systems. Production scheduling. Term project. Recitation section required.
It is strongly advised that Stochastic modeling (IEOR E3106 or IEOR E4106) be taken before this course. This is an introductory course to simulation, a statistical sampling technique that uses the power of computers to study complex stochastic systems when analytical or numerical techniques do not suffice. The course focuses on discrete-event simulation, a general technique used to analyze a model over time and determine the relevant quantities of interest. Topics covered in the course include the generation of random numbers, sampling from given distributions, simulation of discrete-event systems, output analysis, variance reduction techniques, goodness of fit tests, and the selection of input distributions. The first half of the course is oriented toward the design and implementation of algorithms, while the second half is more theoretical in nature and relies heavily on material covered in prior probability courses. The teaching methodology consists of lectures, recitations, weekly homework, and both in-class and take-home exams. Homework almost always includes a programming component for which students are encouraged to work in teams.
For undergraduates only. Required for all undergraduate students majoring in IE, OR:EMS, OR:FE, and OR. This is a follow-up to IEOR E3608 and will cover advanced topics in optimization, including integer optimization, convex optimization, and optimization under uncertainty, with a strong focus on modeling, formulations, and applications.
Introductory course to probability theory and does not assume any prior knowledge of subject. Teaches foundations required to use probability in applications, but course itself is theoretical in nature. Basic definitions and axioms of probability and notions of independence and conditional probability introduced. Focus on random variables, both continuous and discrete, and covers topics of expectation, variance, conditional distributions, conditional expectation and variance, and moment generating functions. Also Central Limit Theorem for sums of random variables. Consists of lectures, recitations, weekly homework, and in-class exams.
An overview of active research areas in Operations Research and Data Analytics, and an introduction to the essential components of research studies. This course helps students develop fundamental research skills, including paper reading, problem formulation, problem-solving, scientific writing, and research presentation. Classes are in seminar format, with students analyzing research papers, developing research projects, and presenting research findings.
Independent work involving experiments, computer programming, analytical investigation, or engineering design.
A graduate course only for MS&E, IE, and OR students. This is also required for students in the Undergraduate Advanced Track. For students who have not studied linear programming. Some of the main methods used in IEOR applications involving deterministic models: linear programming, the simplex method, nonlinear, integer and dynamic programming.
Introduction to stochastic processes and models, with emphasis on applications to engineering and management; random walks, gambler’s ruin problem, Markov chains in both discrete and continuous time, Poisson processes, renewal processes, stopping times, Wald’s equation, binomial lattice model for pricing risky assets, simple option pricing; simulation of simple stochastic processes, Brownian motion, and geometric Brownian motion. A specialized version of IEOR E4106 for MSE students.
Some of the main stochastic models used in engineering and operations research applications: discrete-time Markov chains, Poisson processes, birth and death processes and other continuous Markov chains, renewal reward processes. Applications: queueing, reliability, inventory, and finance.
Supply chain management, model design of a supply chain network, inventories, stock systems, commonly used inventory models, supply contracts, value of information and information sharing, risk pooling, design for postponement, managing product variety, information technology and supply chain management; international and environmental issues. Note: replaced IEOR E4000 beginning in fall 2018.
Open to SEAS graduate and advanced undergraduate students, Business School, and GSAPP. Students from other schools may apply. Fast-paced introduction to human-centered design. Students learn the vocabulary of design methods, understanding of design process. Small group projects to create prototypes. Design of simple product, more complex systems of products and services, and design of business.
Prerequisites: COMS W3134, COMS W3136, or COMS W3137, and COMS W3203. Introduction to the design and analysis of efficient algorithms. Topics include models of computation, efficient sorting and searching, algorithms for algebraic problems, graph algorithms, dynamic programming, probabilistic methods, approximation algorithms, and NP-completeness.
Interpret financial statements, build cash flow models, value projects, value companies, and make Corporate Finance decisions. Additional topics include: cost of capital, dividend policy, debt policy, impact of taxes, Shareholder/Debtholder agency costs, dual-class shares, using option pricing theory to analyze management behavior, investment banking activities, including equity underwriting, syndicated lending, venture capital, private equity investing and private equity secondaries. Application of theory in real-world situations: analyzing financial activities of companies such as General Electric, Google, Snapchat, Spotify, and Tesla.
Generation of random numbers from given distributions; variance reduction; statistical output analysis; introduction to simulation languages; application to financial, telecommunications, computer, and production systems. Graduate students must register for 3 points. Undergraduate students must register for 4 points. Note: Students who have taken IEOR E4703 Monte Carlo simulation may not register for this course for credit. Recitation section required.
Required for undergraduate students majoring in IE and OR. Job shop scheduling: parallel machines, machines in series; arbitrary job shops. Algorithms, complexity, and worst-case analysis. Effects of randomness: machine breakdowns, random processing time. Term project.
Aims to give the student a broad overview of the role of Operations Research in public policy. The specific areas covered include voting theory, apportionment, deployment of emergency units, location of hazardous facilities, health care, organ allocation, management of natural resources, energy policy, and aviation security. Draws on a variety techniques such as linear and integer programming, statistical and probabilistic methods, decision analysis, risk analysis, and analysis and control of dynamic systems.
Management of complex projects and the tools that are available to assist managers with such projects. Topics include project selection, project teams and organizational issues, project monitoring and control, project risk management, project resource management, and managing multiple projects.
Teams of students work on real-world projects in analytics. Focus on three aspects of analytics: identifying client analytical requirements; assembling, cleaning and organizing data; identifying and implementing analytical techniques (e.g., statistics and/or machine learning); and delivering results in a client-friendly format. Each project has a defined goal and pre-identified data to analyze in one semester. Client facing class. Class requires 10 hours of time per week and possible client visits on Fridays.
IEOR students only; priority to MSBA students. Survey tools available in Python for getting, cleaning, and analyzing data. Obtain data from files (csv, html, json, xml) and databases (Mysql, PostgreSQL, NoSQL), cover the rudiments of data cleaning, and examine data analysis, machine learning, and data visualization packages (NumPy, pandas, Scikit-lern, bokeh) available in Python. Brief overview of natural language processing, network analysis, and big data tools available in Python. Contains a group project component that will require students to gather, store, and analyze a data set of their choosing.
MSBA students only. Groups of students will work on real world projects in analytics, focusing on three aspects: identifying client analytical requirements; assembling, cleaning, and organizing data; identifying and implementing analytical techniques (statistics, OR, machine learning); and delivering results in a client-friendly format. Each project has a well-defined goal, comes with sources of data preidentified, and has been structured so that it can be completed in one semester. Client-facing class with numerous on-site client visits; students should keep Fridays clear for this purpose.
MS IEOR students only. Introduction to machine learning, practical use of ML algorithms and applications to financial engineering and operations. Supervised learning: regression, classification, resampling methods, regularization, support vector machines (SVMs), and deep learning. Unsupervised learning: dimensionality reduction, matrix decomposition, and clustering algorithms.
Data visualization and how to build a story with data. Using complex data or statistics to communicate results effectively. Learn to present analysis and results conscisely and effectively.
OKR framework and different variations. Measurement techniques (A/B testing, validation, correlation, etc.) Identifying what to measure in product experience and business initiatives. Data-driven decision making.
Applied Analytics focus querying and transforming data with SQL, defining and visualizing metrics, measuring impact of products / processes. Tools and techniques to convert raw data to business decisions, statistical analysis. Be able to apply these techniques to real-world datasets.
Course covers major statistical learning methods for data mining under both supervised and unsupervised settings. Topics covered include linear regression and classification, model selection and regularization, tree-based methods, support vector machines, and unsupervised learning. Students learn about principles underlying each method, how to determine which methods are most suited to applied settings, concepts behind model fitting and parameter tuning, and how to apply methods in practice and assess their performance. Emphasizes roles of statistical modeling and optimization in data mining.
This course is designed as an introductory exposure to entrepreneurial concepts and practical skills for engineering students (and others) who wish to explore entrepreneurship conceptually or as a future endeavor in their careers. The class will be a mix of lecture, discussion, team-building and in-the-field workshopping of concepts we cover.
Each offering of this course is devoted to a particular sector of Operations Research and its contemporary research, practice, and approaches. If topics are different, then course can be taken more than once for credit.
The course focuses on a PRACTICAL study of how to quantify & predict RISK in organizations by using learnings from: Regression analysis; Monte Carlo simulation; Factor analysis; Cohort analysis; Cluster analysis; Time series analysis; Sentiment analysis. Expectation is that incoming students should have a basic understanding of such concepts and statistics. The course will offer meeting & listening to CXO's & top executives from companies who have implemented robust AI & Applied Risk solutions to solve real-world problems in their own industries.
It will give students a great opportunity to learn practical applications of predictive analytics to solve real business problems
By taking this course, students will gain the tools and knowledge to develop a comprehensive new venture that is scalable, repeatable and capital efficient. The course will help students formulate new business ideas through a process of ideation and testing. Students will test the viability of their ideas in the marketplace and will think through the key areas of new venture. The first part of the course will help students brainstorm about new ideas and test the basic viability of those ideas through of process of design and real world tests. After an idea is developed students will work towards finding a scalable, repeatable business model. We will cover customer discovery, market sizing, pricing, competition, distribution, funding, developing a minimal viable product and many other facets of creating a new venture. The course will end with students having developed a company blueprint and final investor pitch. Course requirements include imagination, flexibility, courage, getting out of the building, and passion.
In this course, you'll leverage student engagement data to create a photo and text recommendation app similar to Instagram/Twitter. This app will utilize AI-generated photos and text and require you to recommend a feed from over 500,000 pieces of AI generated content. We'll explore various techniques to achieve this, including, but not limited to: Candidate Generation (Collaborative filtering, Trending, Cold start, N-tower neural network models, Cross-attention teachers, Distillation, Transfer learning, Random graph walking, Reverse indexes, LLMs as embedding), Filtering (Small online models, Caching, Deduplication, Policy), Prediction/Bidding (User logged activity based prediction (time-series), Multi-gate mixture of experts (MMOE), Regularization, Offline/Online evaluation (NDCG, p@k, r@k), Boosted Trees, Value Based Bidding), Ranking (Re-ranking, Ordering, Diversity, Enrich/Metadata/Personalization, Value Functions), Misc (Data Privacy and AI Ethics, Creator Based Models, Declared, Explicit and implicit topics, Explore/Exploit, Interpret/Understand/Context/Intention).
These concepts are applicable to various recommendation systems, from e-commerce to travel to social media to financial modeling. The instructor's experience at Uber Eats, Facebook, Instagram, and Google will provide valuable insights into real-world use cases.
Focus on capacity allocation, dynamic pricing and revenue management. Perishable and/or limited product and pricing implications. Applications to various industries including service, airlines, hotel, resource rentals, etc.
This course focuses on how to identify, evaluate, and capture business analytic opportunities that create value. The course covers basic analytic methods alongside case studies on organizations that successfully deployed these techniques. The first part of the course is on using data to develop insights and predictive capabilities with machine learning techniques. The second part focuses on the use of A/B testing, causal inference, ethics, and optimization to support decision-making.
Prerequisite(s): IEOR E4106 or E3106. Required for undergraduate students majoring in OR:FE. Introduction to investment and financial instruments via portfolio theory and derivative securities, using basic operations research/engineering methodology. Portfolio theory, arbitrage; Markowitz model, market equilibrium, and the capital asset pricing model. General models for asset price fluctuations in discrete and continuous time. Elementary introduction to Brownian motion and geometric Brownian motion. Option theory; Black-Scholes equation and call option formula. Computational methods such as Monte Carlo simulation.
This graduate course is only for M.S. Program in Financial Engineering students. Multivariate random number generation, bootstrapping, Monte Carlo simulation, efficiency improvement techniques. Simulation output analysis, Markov-chain Monte Carlo. Applications to financial engineering. Introduction to financial engineering simulation software and exposure to modeling with real financial data. Note: Students who have taken IEOR E4404 Simulation may not register for this course for credit.
This graduate course is only for MS program in FE students. Modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.
This graduate course is only for M.S. Program in Financial Engineering students. Empirical analysis of asset prices: heavy tails, test of the predictability of stock returns. Financial time series: ARMA, stochastic volatility, and GARCH models. Regression models: linear regression and test of CAPM, non-linear regression and fitting of term structures.
During the past 15 years the behavior of market options prices have shown systematic deviations from the classic Black-Scholes model. Examines the empirical behavior of implied volatilities, in particular the volatility smile that now characterizes most markets, the mathematics and intuition behind new models that can account for the smile, and their consequences for hedging and valuation.
Selected topics of interest in the area of quantitative finance. Offerings vary each year; some topics include energy derivatives, experimental finance, foreign exchange and related derivative instruments, inflation derivatives, hedge fund management, modeling equity derivatives in Java, mortgage-backed securities, numerical solutions of partial differential equations, quantitative portfolio management, risk management, trade and technology in financial markets.
MS IEOR students only. Application of various computational methods/techniques in quantitative/computational finance. Transform techniques: fast Fourier transform for data de-noising and pricing, finite difference methods for partial differential equations (PDE), partial integro-differential equations (PIDE), Monte-Carlo simulation techniques in finance, and calibration techniques, filtering and parameter estimation techniques. Computational platform will be C++/Java/Python/Matlab/R.
Data, models, visuals; various facets of AI, applications in finance; areas: fund, manager, security selection, asset allocation, risk management within asset management; fraud detection and prevention; climate finance and risk; data-driven real estate finance; cutting-edge techniques: machine learning, deep learning in computational, quantitative finance; concepts: explainability, interpretability, adversarial machine learning, resilience of AI systems; industry utilization
Prerequisite(s): Approval by a faculty member who agrees to supervise the work. Independent work involving experiments, computer programming, analytical investigation, or engineering design.