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In recent years, large language models (LLMs) have made significant progress in knowledge-intensive applications. However, when adapting them to specific domains, we may encounter a multi-stage continuous learning scenario, especially in cases where domain knowledge evolves rapidly.This issue severely limits traditional fine-tuning approaches for LLMs.To overcome this limitation, we propose a new learning paradigm designed specifically for multi-stage continuous learning. This paradigm includes a preference-based learning bias to identify potential knowledge conflicts, as well as a self-distillation-based data augmentation strategy to expand and enrich the training corpus, thereby improving the integration of knowledge-compatible information.In the experiments, we show that our proposed method achieves a significant improvement in accuracy after 7 stages of fine-tuning compared to previous methods, while also demonstrating excellent performance in preserving general knowledge.We have released our code and dataset at Multi-Stage-Learning.