Linear Programming Representations and Strongly Polynomial Algorithms for Robust Markov Decision Processes
We study linear programming (LP) representations and strongly polynomial algorithms for robust Markov decision processes (RMDPs) with rational polyhedral state-action rectangular uncertainty in rewards and transitions. By encoding a finite sequence of robust policy-iteration steps, we construct a single LP whose optimal solutions recover the robust optimal value and all optimal stationary randomized policies. At fixed discount, the LP has polynomial dimension and encoding length and can be constructed in strongly polynomial time. We also develop a general complexity analysis of robust policy iteration that combines the cost of minimizing over uncertainty sets with the number of iterations...
| Authors | Han Zhong, Yinyu Ye |
|---|---|
| Primary category | cs.LG |
| Published | 1 October 2026 |
| Last updated at source | 1 October 2026 |
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