GraduateHandbook AcademicYear 2010/2011

ORFEGraduateHandbook September1,2010 Contents

MessagefromChair..................................................................................................................................3 MessagefromtheDirectorofGraduateStudies(DGS)............................................................................ 3 SatisfactoryAcademicProgressPolicy ...................................................................................................... 3 1. Ph.D.Requirements.............................................................................................................................. 4 1.1 1.2 1.3 1.4 2. 3. Research&ThesisAdvisor............................................................................................................ 6 Ph.D.QualifyingandGeneralExaminations................................................................................. 6 ResearchAdvisingCommitteeforPh.D.Candidates.................................................................... 8 DissertationandPostGeneralsCourses....................................................................................... 9

MSEDegreeRequirements................................................................................................................... 9 OtherRegulations............................................................................................................................... 10 3.1 3.2 3.3 3.4 3.5 3.6 3.7 AcademicRegulations/Fraud...................................................................................................... 10 ChangesinCourseStatus............................................................................................................ 10 AuditingCourses......................................................................................................................... 10 AssistantsinInstruction(AIs)...................................................................................................... 10 Parttimeemployment ................................................................................................................ 11 LeaveofAbsence........................................................................................................................ 11 Holiday,Vacation,andTravel..................................................................................................... 11

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MiscellaneousInformation................................................................................................................. 12 ImportantContacts............................................................................................................................. 13

Thishandbookdescribesthebasicacademicrequirementsandcontainsmanytipsand suggestionsfornewgraduatestudentsintheORFEdepartment.

MessagefromChair

Welcome to the Department of Operations Research and Financial Engineering. It is my hope that you will strive to make your graduate study successful. Your success is our success. In addition to your academic work, I hope you will take some time to explore the historical riches ofPrincetonUniversityaswellasthePrincetoncommunityatlarge. MessagefromtheDirectorofGraduateStudies(DGS)

Princeton is a small school where close interaction with advisors is encouraged. It is important that you establish a close working relationship with your advisor. If you feel that this is not happening,oryouarehavingproblemswithyouradvisor,pleasefeelfreetocomeandseeme.

SatisfactoryAcademicProgress
Toestablishthefoundationforsatisfactoryacademicprogress,theGraduateSchooland academicdepartmentsexpectthefollowingfromenrolledstudents,asevidenceoftheir successfulengagementwithgraduateworkandforthemtocontinuetoreceivetheirstipends andotherbenefitsofenrollment:

FulltimeCommitment.GraduatestudyatPrinceton,atboththedoctoralandmasters levels,requiresfulltimecommitmenttostudyandresearchonthepartofstudents. TheGraduateSchoolsfinancialaidstructureisone,butonlyone,indicationofthat requirement:fulltime,12monthsupportforfulltimeacademiceffort.Our commitmenttoclearlystateddegreeprogramlengths(e.g.,afiveyearPh.D.programin mostdepartments)andtimelycompletionofgraduatedegreesisanother. Presence:Studentsmustbevisiblypresentinthedepartmentandoncampus,unlessIn AbsentiaoronanapprovedLeaveofAbsence.Asimportantly,studentsmustbe intellectuallypresent,thatis,noticeablyengagedinthenormalworkoftheirdegree programcoursetaking,paperwriting,research,teaching,attendingcolloquia. Production:Studentsmustbeproducingworkofgoodquality,attheappropriateand expectedstagesoftheirdegreeprogram,andshowingtheproductsoftheirstudyand researchtothefacultyforevaluation. Communication:Studentsmustregularlycommunicatewithandrespondinatimely mannertocommunicationsfromtheirdepartment(e.g.,graduateprogram administrator),directorofgraduatestudies,advisor(s),committeemembers,andother facultymembersasappropriate.Thisisareciprocalresponsibilitywiththefaculty. Graduatestudentsshouldthereforeexpectregularandtimelycommunicationfromthe faculty(DGS,seminarleaders,advisor(s),dissertationcommitteemembers)inorderto maintainsatisfactoryacademicprogress.

Failuretoperformaccordingtotheseguidelinesmayresultin,forexample,deferred reenrollmentordenialofreenrollmentduringtheSpringTermrevieworterminationatmid year.

1. PhDRequirements
ThePhDdegreehasthefollowingmainrequirements: Inthefirstyearofgraduatestudy,studentsmusttakeatleastfourofthesixcore courses. Corecourses: ORF522 LinearOptimization ORF524 StatisticalTheoryandMethods
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ORF526ProbabilityTheory ORF523 NonlinearOptimization ORF525 GeneralizedRegressionModels(currentlyofferedinalternateyears) ORF527 StochasticCalculus ResearchdissertationandFinalPublicOralExam(FPO) Inaddition,studentstakeanumberofadditionalclasses.Atleasttwooftheseclasses(not includingSeminars)passedwithgradeB+orhigherarerequiredtopasstheGeneralexam. Somerelevantclassesare: ORF504FinancialEconometrics ORF505ModernRegressionandTimeSeries ORF518AppliedStochasticAnalysisandMethods(seeAPC518) ORF531ComputationalFinanceinC++ ORF534InvestmentScience ORF535FinancialRiskManagement ORF538PDEMethodinFinancialMathematics ORF542ControlledMarkovProcesses ORF547DynamicProgramming ORF548LargeScaleOptimization ORF549StochasticProgramming ORF551RamdomMeasuresandLevyProcesses ORF554MarkovProcesses ORF565EmpiricalProcessandAsymptoticStatistics ORF557,558StochasticAnalysisSeminar ORF575FinancialEngineeringSeminar Pertinentcoursesinotherdepartments: COS511FoundationofMachineLearning COS524CombinatorialOptimizationandAlgorithms COS527ProbabilisticAlgorithms COS528DataStructuresandGraphAlgorithms COS557Analysis&VisualizationofLargeScaleGenomicDataSets ECO517EconometricTheoryI
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Qualifyingexams:Septemberofsecondyearinthechosen4coreclasses(agradeofA orbetterintheclassexemptsastudentfromthatqualifyingexam); Initialdirectedresearch:ORF509,510(tobetakenbythetimeof Generals); Generalexam(typicallyAprilofsecondyear);

ECO518EconometricTheoryII ECO525FinancialEconomicsI ECO526FinancialEconomicsII ELE525RandomProcessesinInformationSystems ELE531CommunicationNetworks MAE569OptimalControlandEstimationI MAE570OptimalControlandEstimationII APC550IntroductiontoDifferentialEquations APC503AnalyticalTechniquesinDifferentialEquations APC505NumericalMethodsinComputationalScience APC583Wavelets:ApplicationsofWaveletsinMathematicsandOtherFields MAT314IntroductiontoRealAnalysis WWS509GeneralizedLinearModels 1.1 Research&ThesisAdvisor Thecoreclassesaretheretoestablishasolidfoundationinthefoundationaltoolsrequiredfor researchinthedisciplinescoveredbythedepartment.Thefundingprovidedbytheuniversity inyourfirstyearprovidesfreedomandtimeforstudentstoacclimatetothenewenvironment ofgraduateschool(andpossiblyalsoanewcountry),andtomakeawisechoiceofresearch directionandadvisor.Somemayknowearlyonthedirectiontheywishtopursue,butformany, itisworthexploringanumberofclassestaughtbyavarietyofprofessorsbeforedeciding. Duringthesummerattheendofthefirstyear,supportfromthedepartmentmaybeavailable forstudentstobeginexploratoryresearchwithaprofessor. ThedirectedclassesORF509and510shouldbetakenwithafacultyadvisorwithagrade receivedbythetimeoftheGeneralexams(usuallyinAprilofthesecondyear).Forsome,these classesmaybetakenSpringofthefirstyearandFallofthesecondyearrespectively.Forothers, itwillbeinFall&Springofthesecondyear,aftercompletionoftheQualifyingExam requirements. Thedepartmentissmallandthereisplentyofopportunitytomeetandtalkwithfacultyabout researchinterests.Pleasebeproactiveindoingsoasyoudiscoveryourareasofinterest.There isnoadvantageinrushingtoselectanadvisor,butitisenormouslybeneficialinthelongrunto takethetimetowaittillbothyouandthefacultymemberarereadyandconvincedtomakethe longtermcommitmenttoworkingtogether.Atvarioustimes,somefacultymightsimplybetoo busytotakeonnewstudents:donottakeitpersonallyifafacultymemberisunabletotake youonasanadvisee,thereareplentyofexcellentresearchopportunitiesavailabletoyou. 1.2 Ph.D.QualifyingandGeneralExaminations TherequirementsforthePhDdegreeincludepassingthequalifyingexamrequirements,the generalexamination,apresentationofanacceptablethesis,andpassingthefinaloral examination(thesisdefense).
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QualifyingExaminationProcedure EachstudentmustsatisfyQualifyingrequirementsintheareasof4ofthe6coreclasses. QualifyingexamsintheseareaswillbeofferedinSeptemberofthestudentssecondyear. IfastudentsgradeinacorecoursetakeninthefirstyearisAorbetter,thestudentisexempt fromtakingthequalifyingexaminthatarea.Beforetheexam,thestudentmusthaveacquired demonstratedcompetenceinrealanalysisatthelevelofMATH314.Thewrittenexamsfor eachclassare4hoursinlengthofferedon3days:oneonbothoptimizationclasses,onedayon stochastics,andonedayonstatistics.Theexamswillbegivenonthreeseparatedaysin Septemberofthesecondyear.Thedateswillbeannouncedinadvance. TheOptimizationexamswillbebasedonORF522andORF523.TheStochasticsexamswillbe basedonORF526andORF527.ThestatisticsexamswillbebasedonORF524andORF525. EachexamwillbepreparedbyacommitteeoffacultymembersappointedbytheDepartment Chair.Inadditiontotestingthestudentsmasteryofthesubjectmatter,eachexamwill endeavortotestthestudentsabilitytocombinedisparatetopicsinnovelwaysinordertosolve complexproblems. Informationonthequalifyingexam:Theseexamsareoftheopenbook,opennotesvariety. Theresultsofthequalifyingexamaredeterminedbyavoteofthefaculty.Foreachstudent, therearetwopossibleoutcomes: A.Studentpassestheexam, B.StudentfailstheexamandmusttransferoutofthePhDprogram.Thereisnooptionto retaketheexam. IncaseB,weanticipatethatthestudentwillbeabletocontinueinoneofthemasters programs,providedthatthefacultyvotestoacceptsuchacontinuationofthestudents education.IfthestudentisdeemedunpreparedforcontinuinggraduateeducationinORFE,he orshewillberequiredtowithdrawimmediately. GeneralExaminationProcedure Typically,ORFEstudentstakethegeneralexamattheendoftheirsecondyear.Bythattime, thestudentshavemetthequalifyingexaminationrequirements,havetakenandpassedORF 509andORF510,andhaveshownadequateprogressonresearchandanacceptablelevelof understandingofhisorherareaofspecialization. Thegeneralexamconsistsoftwoparts,onewrittenandoneoral,bothcoveringthestudents primaryareaofspecialization.ThewrittenpartrequirestakingandpassingwithaB+orhigher, twoapprovedadvancedcoursesbeyondthe4coreclassescountedfortheQualifyingExam. Thesetwocoursesmustbepreapprovedbythestudentsadvisorand/ortheDGS.
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Foreachstudent,anexaminingcommitteeisappointedbytheDepartmentChair.The committeeistoconsistofthestudentsadvisorplusatleasttwoORFEfaculty.Thecommittee willadministertheoralexam,evaluatethestudentsperformanceinresearchandoverall knowledgeofhis/herfield,andmakearecommendationtothedepartmentfaculty.A departmentalfacultyvotedeterminesthefinaloutcome.Theoralexammaybeupto3hoursin length. Informationontheoralexam:Beforetheexam,thestudentisrequiredtosubmita comprehensivewrittenreportontheresearchdoneinORF509510,dueoneweekbeforethe examisscheduled.Thisreportservesasthebasisforaresearchpresentationbythestudentas thefirsthouroftheoralexamination.Examiningfacultymayaskquestionsonthismaterial, andonanymaterialdeemedappropriateforacomprehensiveexamination. Thepossibleoutcomesofthegeneralexamareasfollows: A.StudentpassestheexamandisadmittedtoPhDcandidacy, B.Studentfailstheexam,butheorsheisgiventheoptiontoretaketheexamatafuturedate, or C.StudentfailstheexamandmustwithdrawfromthePhDprogram. Asmentionedearlier,theORFEfacultydeterminetheoutcomebasedontherecommendation oftheexaminingcommittee.IncaseC,thestudentisusuallygiventheMAdegreeandmust terminateunlessthefacultyrecommendsotherwise. 1.3 ResearchAdvisingCommitteeforPh.D.Candidates UponpassingtheGeneralexamination,therecommendationforreadmissionforthenext academicyearshallbemadebythestudentsthesisadvisorandapprovedbythedepartment faculty. Ifrequestedbyeitherthestudentsthesisadvisor,orthestudent,ortheDirectorofGraduate Studies,anexaminationcommitteeshallbeappointedbythedepartmentChairtoexaminethe progressofthestudent.Thecommitteewouldbecomposedofthestudent'sadvisorplustwo otheradvisoryfacultymembers.Thestudentwillpresentaseminartothiscommittee describingtheproposedareaofresearch,thebackgroundworkcompletedinpreparingforthe researcheffort,theintendedavenuesofinvestigation,specificproblemswiththeworkthe studentfeelsarelikelytocausethemostdifficulty,andtheaspectsoftheworkthatwillrequire themostguidance.Thepurposeofthisinterchangeistoprovidethestudentandtheadvisor someassistanceinassuringthattheresearchproceedsinafruitfuldirection.

Ifthethesisadvisorplanstorecommendagainstthereadmissionofthestudent,an examinationcommitteemustbeformedtodeterminetheprogressofthestudentsworkand therecommendationmustbemadebythecommitteeandapprovedbythedepartment faculty. 1.4 DissertationandPostGeneralsCourses Usuallycompletionofasuitabledissertationtakestwotothreeyearsbeyondthegeneral examination.Duringthoseyearsthestudentisencouragedtoselectanareaoutsidehis/her specialtyandtobroadenhis/herbaseofknowledgebyenrollingincoursesinthatarea.Itis alsoexpectedthatadditionalcourseswillbetakenrelatedtothestudent'sspecialtyarea.Upon completionandacceptanceofthedissertationbythedepartment,thecandidatewillbe admittedtothefinalpublicoral(FPO)examination.

2.

MSEDegreeRequirements

Theprogramrequires,asaminimum,10coursesintwoyearsplusamaster'sthesis.In particular,ORF509and510mustbetaken(andcanbeincludedintherequired10courses). Thefollowingisarecommendedstudyplan.Makealterationsasyoudeemappropriate, subjecttotheapprovalofyouradvisoranddependingonyourbackgroundandinterests.With thepermissionoftheDirectorofGraduateStudies,studentsmaydoamastersthesisunderthe directionofanadviseroutsideofthedepartment. SampleStudyPlanforMSE: Firstyear

Fall Spring ORF505 ORF509 ORF522 ORF523 ORF526 ORF527 Elective ORF534

Secondyear
Fall Spring ORF510 ORF547 Elective Elective

ORF509/510Requirements: ORF509andORF510aredirectedresearch.Underthedirectionofafacultymember,MSE studentscarryoutresearchandwriteareport,withtheresultspresentedinanafinaloral exam.

3. OtherRegulations
3.1 AcademicRegulations/Fraud TheGraduateSchoolisbecomingincreasinglyconcernedaboutacademicfraud.Pleasetake timetoreadinformationonGeneralRequirementsfortheAcknowledgmentofSourcesin AcademicWorkandDefinitionsofAcademicViolationsUndertheJurisdictionoftheFaculty StudentCommitteeonDisciplinecontainedinRights,RulesandResponsibilities.Upon enteringPrincetonyoualsoreceivedinformationconcerningthisimportantsubject.This informationisfurnishedtomakeyouawareofyourresponsibilitiesregardingUniversity requirementsonacknowledgmentofsourcesandacademicfraud.Thedepartmentjoinswith theGraduateSchoolintakingastrictstanceinthisarea. 3.2 ChangesinCourseStatus Anychanges(gradingoptions,droppingoraddingcoursesetc.)thatyoumayneedtomaketo yourregisteredcourses,mustbefilledoutonaCourseChangeForm.Youmaychangeyour statusinacoursenolaterthantwoweekspriortothelastdayoftheregularlyscheduledclass ofthesemester. 3.3 AuditingCourses 1. CoursesselectedbypreGeneralsandMastersstudentsmustbetakenforalettergrade andcannotbeaudited. 2. Postgeneralsstudentsmaysignupforcoursesasaudit. 3 Postgeneralsstudentsmaytakecoursesonapass/fail(P/F)basiswiththeapprovalof theiradvisorandthecourseinstructor. Generally,coursestakenonaP/Fbasisshouldbeoutsideofthestudent'sprimaryareaof interest. 3.4 AssistantsinInstruction(AIs) BeforeaninternationalstudentcanbeappointedasanAI,theyneed: i. topassthetestofEnglishasaSecondLanguage(ESL)administeredbytheGraduate School,and ii. tocompleteanyrequiredESLcourses.(AllstudentsarerequiredtoattendAI Trainingofferedpriortoterm).
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3.5 Parttimeemployment ThefollowingemploymentpolicyisquotedfromthePrincetonUniversityGraduateSchool: TheGraduateSchoolconsidersemploymentbeyondamaximumfulltimeassistantshipof20 hoursperweekincompatiblewithfulltimegraduatestudy. TheGraduateSchoolreviewsstudents'oncampusemploymentrecords.Accordingly,the GraduateSchoolcanandwilldisallowparttimeemployment,excludingallserviceawards,if thatemploymentdoesnotcomplywithfederalimmigrationandemploymentregulations, and/orfellowshippolicies.Thefollowingpolicieswillbeapplicable: UndernocircumstancecanaU.S.studentorpermanentresidentworkmorethan20hoursper weekfromallsources(AI,ARand/orhourlyemployment).AnyworkbeyondafullAIand/orAR appointmentmayjeopardizethefulltimestudentstatusofthisandothergraduatestudents (withserioustaximplications),andwillthereforebecloselyscrutinized. Undernocircumstancescananinternationalstudentonavisa,withafullAIand/orAR appointment,workevenonehourmorethroughhourlyemploymentorotherwise.Thisnot onlyjeopardizesthefulltimestudentstatusofthisandothergraduatestudentsasnoted above,butitalsoviolatesthetermsofthevisastatus. Internationalstudentsmaynotacceptoffcampusemploymentwithoutauthorizationfrom eithertheImmigrationandNaturalizationServiceortheJ1programsponsor.International studentsshouldcontacttheInternationalGraduateStudentAdvisor(OfficeofGeneral Counsel),forfurtherinformationonemploymenteligibility. Historically,inadditiontobeingemployedasARsandAIsbytheDepartment,graduate studentshaveintermittentlybeeninvolvedinemploymentelsewhere.Itistheconcernofthe Departmentthat,attimes,thislattertypeofemploymentisneithermanageablenornecessary and,infact,isincompatiblewithfulltimegraduatestudy.Therefore,theDepartmentfeelsitis importanttoensuretheawarenessoftheaboveemploymentpolicy.Includedinthispolicyis consultingprojects.AllemploymentotherthananARorAIissubjecttoreviewbytheDirector ofGraduateStudies. StudentsmustseekapprovalofparttimeemploymentopportunitiesbyfilingaRequestfor ParttimeEmploymentFormforreviewbytheDepartmentalDirectorofGraduateStudies. 3.6 LeaveofAbsence WrittenapprovalofadvisorandDGSarerequired. 3.7 Holiday,Vacation,andTravel Alltimeawayfromcampus(exceptweekends)mustbeapprovedinwritingbyyouradvisorand ifanAssistantinInstruction,approvalfromtheDGSandcourseinstructor.Anemailrequesting timeawayfromcampuswithyourleaveandreturndateincludingreasonforabsenceis
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appropriate.Inthecaseoffirstyearstudentsthatmaynotyethaveanadvisor,youmust submityourrequesttomeviaemailthroughKimLupinacciintheGraduateOffice. Graduatestudyisunderstoodtobeafulltimecommitmentonthepartofstudents.An academicyear,isdefinedasSeptember1toAugust31.Graduatestudentdegreecandidates maytakeupto(butnomorethan)fourweeksofvacation,includinganydaystakenduring regularUniversityholidaysandscheduledrecesses(e.g.,theFallandSpringtermbreaksand intertermbreak).Readingandexamperiodsareconsideredtermtimenotrecess.Thespecific periodstakenasvacationmustnotconflictwiththestudentsacademicresponsibilities, coursework,researchprogress,orteaching. Ifastudentreceivesfinancialsupportforgraduatestudyforonlypartoftheyear(e.g.,regular termtime,September1toJune30),thentheamountofvacationshouldbeproratedaccordingly. Ifastudentreceivessummersupportandhastakentheallowedvacationduringregularterm time,September1toJune30,thenheorsheshouldnottakeadditionalvacationtimeduringthe summermonthsofJulyandAugust. Pleasevisittheregistrar'swebsiteforthePrincetonUniversityAcademicCalendar: http://registrar.princeton.edu

4. MiscellaneousInformation
Watchyouremailsandmarkyourcalendarsforthefollowingdepartmentalevents. Yourpresenceattheseeventswillbeappreciated. o GraduateWelcomeReception(September) o HolidayParty(lastweekofclassesinDecember) StudentAffairsOfficeisroom120,ext84018. Emailishowdepartmentcorrespondenceistransmitted.PLEASEcheckitregularly. Stipendchecksareputinyourmailboxonthelastworkingdayofthemonth. Mailboxesarelocatedonthesecondfloor,Room221.PLEASECHECKYOURMAILBOX DAILY. Telephonesarelocatedineveryroom.Localcallsarefree.Incaseofanemergencyand youwanttomakealongdistancecall,pleasecontacttheDepartmentManager,Connie Brown.

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GraduateStudentKitchen.Locatedinroom223.Itisavailabletobothgraduatestudents andfacultyintheORFEdepartment.Remembertocleanupafteryouruse.Vending machinesarelocatedatthebottomofthestairsintheAtrium GraduateLounge.Theopenarealocatedonthesecondfloorprovidesameetingspace forgraduatestudentsandfaculty.Thisisacommonareasharedbyall.Pleasecleanthe areaafterusing. Bulletinboards.Thegraduateinformationboardislocatedinthefacultyandgraduate openworkspaceareaonthesecondfloor.Therearealsotwoseminarnoticeboardsat theendofeachhallwayonthefirstandsecondfloors.Informationoncurrent fellowships,scholarships,grants,callforpapers,etc.towhichstudentsmayapplyare postedontheboards. OthersourcesofusefulinformationcanbefoundattheGraduateSchoolwebsite.

5. ImportantContacts
Chair,ProfessorRobertVanderbei,Ext.2345 DirectorofGraduateStudies,ProfessorPatrickCheridito,Ext.8281 DepartmentManager,ConnieBrown,Ext.5422 GraduateProgramAdministrator,KimberlyLupinacci,Ext.4018 McCoshHealthCenterEmergency,Ext.3139 PublicSafetyEmergency911 Welcometothedepartment,and Wewishyousuccessasyoupursueyourgraduatedegree

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