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To unravel the properties of the proposed multi-stage Bayesian expectation optimization (BEO) problem, we establish the consistency of optimal value functions and solutions. Two kinds of algorithms are designed for the numerical solution of single-stage and multi-stage BEO problems, respectively. A queuing system and a multi-stage inventory problem are adopted to numerically demonstrate the advantages and practicality of the new framework and corresponding solution methods, compared with the usual formulations and solution methods for stochastic optimization problems.<\/jats:p>","DOI":"10.1007\/s10898-024-01410-3","type":"journal-article","created":{"date-parts":[[2024,6,7]],"date-time":"2024-06-07T01:01:43Z","timestamp":1717722103000},"page":"401-428","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["A Bayesian approach to data-driven multi-stage stochastic optimization"],"prefix":"10.1007","volume":"90","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9015-9247","authenticated-orcid":false,"given":"Zhiping","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Wentao","family":"Ma","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2024,6,7]]},"reference":[{"issue":"4","key":"1410_CR1","first-page":"403","volume":"19","author":"E Allevi","year":"2008","unstructured":"Allevi, E., Bertocchi, M.I., Innorta, M., et al.: A stochastic optimization model for a gas sale company. 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