A linear programming approach to constrained nonstationary infinite-horizon Markov decision processes

Constrained Markov decision processes (MDPs) are MDPs optimizing an objective function while satisfying additional constraints. We study a class of infinite-horizon constrained MDPs with nonstationary problem data, finite state space, and discounted cost criterion. This problem can equivalently be formulated as a countably infinite linear program (CILP), i.e., a linear program (LP) with a countably infinite number of variables and constraints. Unlike finite LPs, CILPs can fail to satisfy useful theoretical properties such as duality, and to date there does not exist a general solution method for such problems. Specifically, the characterization of extreme points as basic feasible solutions in finite LPs does not extend to general CILPs. In this paper, we provide duality results and a complete characterization of extreme points of the CILP formulation of constrained nonstationary MDPs with finite state space, and illustrate the characterization for special cases. As a corollary, we obtain the existence of a K-randomized optimal policy, where K is the number of constraints.