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math.OC2025
Stability Analysis of an Integrated Multistage Stochastic Programming and Markov Decision Process Problem
Zhiyao Yang, Zhiping Chen, Huifu Xu
In this paper, we consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated fram…
math.OC2024
A Bayesian Composite Risk Approach for Stochastic Optimal Control and Markov Decision Processes
Wentao Ma, Zhiping Chen, Huifu Xu
Inspired by Shapiro et al.~\cite{shapiro2023episodic}, we consider a stochastic optimal control (SOC) and Markov decision process (MDP) where the risks arising from epistemic and a…