An integrated MSP-MDP model is shown to admit a nested dynamic reformulation, and its optimal value and solution sets are proven stable under Kantorovich and Fortet-Mourier distribution perturbations.
Weak continuity of risk functionals with applications to stochastic programming.SIAM Journal on Optimization, 27(1):91–109, 2017
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Stability Analysis of an Integrated Multistage Stochastic Programming and Markov Decision Process Problem
An integrated MSP-MDP model is shown to admit a nested dynamic reformulation, and its optimal value and solution sets are proven stable under Kantorovich and Fortet-Mourier distribution perturbations.