Policy Iteration Is Not Strongly Polynomial for Deterministic Markov Decision Processes: The Price of Algorithmic Anarchy

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.

Learned action policies are increasingly popular in sequential decision-making, but suffer from a lack of safety guarantees. Recent work introduced a pipeline for testing the safety of such policies under initial-state and action-outcome non-determinism. At the pipeline's core, is the problem of deciding whether a state is safe (a safe policy exists from the state) and finding faults, which are state-action pairs that transition from a safe state to an unsafe one. Their most effective algorithm for deciding safety, TarjanSafe, is effective on their benchmarks, but we show that it has exponential worst-case runtime with respect to the state space. A linear-time alternative exists, but it is slower in practice. We close this gap with a new policy-iteration algorithm iPI, that combines the best of both: it matches TarjanSafe's best-case runtime while guaranteeing a polynomial worst-case. Experiments confirm our theory and show that in problems amenable to TarjanSafe iPI has similar performance, whereas in ill-suited problems iPI scales exponentially better.

Finding policies for Markov Decision Processes (MDPs) is a central problem in areas such as Reinforcement Learning and Operations Research. Here, we have to repeatedly choose an action that should be performed by an agent. Depending on the action and the current state of the agent, the agent collects a reward and randomly transitions into a new state. The goal is to maximize the reward in expectation over a finite time horizon of length $H$. We consider a recently introduced variant that generalizes the traditionally additive reward function in the model to a monotone submodular one, which allows for capturing a range of interesting applications. Without the stochastic component, this problem is equivalent to the Submodular Orienteering problem, where the goal is to find an $s$-$t$ walk in a directed graph maximizing a monotone submodular function under a length constraint. We present a novel LP-based algorithm for Submodular Orienteering using ideas from the Sherali-Adams hierarchy and Round-or-Cut. Our guarantees are comparable to the known quasi-polynomial time logarithmic approximation for Submodular Orienteering, but also extend to the setting of Submodular Markov Decision Processes. In the polynomial time regime, we present an $O(n^{\varepsilon})$-approximation (and $O(H^{\varepsilon})$ for Submodular MDPs) for every $\varepsilon >0$, where $n$ is the number of vertices, which was unknown even for Submodular Orienteering. Prior to our work, the best known approximation guarantee for Submodular MDPs had an approximation ratio linear in $H$. Beyond these algorithmic results, our methods reveal a trade-off between the approximation guarantee and the number of previously visited vertices on which an agent conditions its decision.