  Partially Observable Markov Decision Processes (POMDPs) provide an efficient
way to model real-world sequential decision making processes. Motivated by the
problem of maintenance and inspection of a group of infrastructure components
with independent dynamics, this paper presents an algorithm to find the optimal
policy for a multi-component budget-constrained POMDP. We first introduce a
budgeted-POMDP model (b-POMDP) which enables us to find the optimal policy for
a POMDP while adhering to budget constraints. Next, we prove that the value
function or maximal collected reward for a b-POMDP is a concave function of the
budget for the finite horizon case. Our second contribution is an algorithm to
calculate the optimal policy for a multi-component budget-constrained POMDP by
finding the optimal budget split among the individual component POMDPs. The
optimal budget split is posed as a welfare maximization problem and the
solution is computed by exploiting the concave nature of the value function. We
illustrate the effectiveness of the proposed algorithm by proposing a
maintenance and inspection policy for a group of real-world infrastructure
components with different deterioration dynamics, inspection and maintenance
costs. We show that the proposed algorithm vastly outperforms the policy
currently used in practice.
