Robust POMDPs extend classical POMDPs to handle model uncertainty. Specifically, robust POMDPs exhibit so-called uncertainty sets on the transition and observation models, effectively defining ranges of probabilities. Policies for robust POMDPs must be (1) memory-based to account for partial observability and (2) robust against model uncertainty to account for the worst-case instances from the uncertainty sets. To compute such robust memory-based policies, we propose the pessimistic iterative planning (PIP) framework, which alternates between two main steps: (1) selecting a pessimistic (non-robust) POMDP via worst-case probability instances from the uncertainty sets; and (2) computing a finite-state controller (FSC) for this pessimistic POMDP. We evaluate the performance of this FSC on the original robust POMDP and use this evaluation in step (1) to select the next pessimistic POMDP. Within PIP, we propose the rFSCNet algorithm. In each iteration, rFSCNet finds an FSC through a recurrent neural network by using supervision policies optimized for the pessimistic POMDP. The empirical evaluation in four benchmark environments showcases improved robustness against several baseline methods and competitive performance compared to a state-of-the-art robust POMDP solver.

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