Linear Programming Representations and Strongly Polynomial Algorithms for Robust Markov Decision Processes

Abstract: 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 needed to evaluate a policy. For a fixed discount factor, we use this analysis to improve the known complexity bounds for $\ell_1$ and $\ell_\infty$ RMDPs and establish new strongly polynomial bounds for general interval, weighted $\ell_1$, and Wasserstein RMDPs, as well as turn-based stochastic games with these uncertainty sets.