报告人：陈志平 教授（西安交通大学）

时间：2026年3月20日 10:00-

地点：数统学院LD718

摘要：We consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated framework allows one to study a dynamic decision-making process that involves both transition of system states and dynamic change of the stochastic environment affected respectively by potential endogenous uncertainties and exogenous uncertainties. After deriving nested reformulation of the problem, we discuss the continuity, Lipschitz continuity and convexity of the stage-wise optimal value functions. Then we carry out quantitative stability analysis of the model in terms of the optimal value and the set of optimal solutions under the perturbation of the probability distributions of the endogenous uncertainty and the exogenous uncertainty. These results differ from the existing stability results established in terms of the filtration distance or the nested distance.

邀请人：蒋杰