I am looking for any Python code that could help me solving Constrained MDP with infinite-horizon. In short I have a problem with two types of costs: A and B, and I want to solve "class" MDP wrt cost A but putting a constrain on a total cost wrt cost B. I know such problems have to be solved with linear programming method, not the interactive ones like Value Iteration or Policy Iteration.

Have anyone seen something in Python for that? Looks like there is really nothing.

Sincere thanks, Bart


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