The LP/POMDP marriage: Optimization with imperfect information

Abstract

Anewtechniqueforsolvinglarge-scaleallocationproblemswithpartiallyobservable states and constrained action and observation resources is introduced. The technique uses a master linear program (LP) to determine allocations among a set of control policies, and uses partially observable Markov decision processes (POMDPs) to determine improving policies using dual prices from the master LP. An application is made to a military problem where aircraft attack targets in a sequence of stages, with information acquired in one stage being used to plan attacks in the next. c 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 607{619, 2000