报告题目：Adaptive Distributionally Robust Optimal Control with Bayesian Ambiguity Sets

报 告 人：陈志平 教授（西安交通大学）

报告时间：2026年4月27日（星期一）10:00—10:40

报告地点：6776永利集团114（小报告厅）      

校内联系人：张立卫 教授         联系方式：84708351-8320

报告摘要：In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal control (DROC) models are subsequently proposed to tackle this source of uncertainty. While such models are effective in some practical applications, most existing DROC models are offline and can be overly conservative when data are scarce. Moreover, they cannot be applied to the case when samples are generated episodically. We propose an adaptive DROC model in which the ambiguity set is updated via Bayesian learning from new data. Under some moderate conditions, we derive a tractable risk-averse reformulation, establish consistency of the optimal value function and optimal policy for an infinite-horizon SOC and establish a finite-sample posterior credibility guarantee for the policy value induced by the proposed episodic Bayesian DROC model. We also study the stability and statistical robustness of the proposed model with respect to sample perturbations that often arise in data-driven environments. To solve the episodic Bayesian DROC model, we propose a Bellman-operator cutting-plane (BOCP) algorithm that is computationally efficient and provably convergent. Numerical results on an inventory control problem demonstrate the effectiveness, adaptivity, and robust performance of the proposed model and algorithm.

报告人简介：陈志平，国家天元数学西北中心副主任，西安交通大学二级教授、博士生导师；长期从事随机规划理论及其应用、分布鲁棒优化、强化学习、金融风险度量、保险精算与投资分析等领域的学术研究，在SIAM J. Optim., Math. Oper. Res., Math. Program., Eur. J. Oper. Res., J. Bank. Finance, J. Econ. Dyn. Control, Insur. Math. Econ.等运筹学、经济与金融领域学术期刊发表SCI（SSCI）检索论文120余篇；先后主持国家自然科学基金项目及横向项目20余项，现主持国家重点研发计划重点专项“强化学习的数学理论与随机优化的自学习方法”；现任《OR Spectrum》、《Big Data and Information Analytics》、《西安交通大学学报》等国内外期刊的编委；现任中国运筹学会常务理事，中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事，中国管理科学与工程学会金融计量与风险管理研究会理事，国工业与应用学学会竞赛工作委员会委员等。