A Strong Duality Result for Constrained POMDPs with Multiple Cooperative Agents

Abstract: The work studies the problem of decentralized constrained POMDPs in a team-setting where multiple nonstrategic agents have asymmetric information. Using an extension of Sion's Minimax theorem for functions with positive infinity and results on weak-convergence of measures, strong duality is established for the setting of infinite-horizon expected total discounted costs when the observations lie in a countable space, the actions are chosen from a finite space, the constraint costs are bounded, and the objective cost is bounded from below.