Partially Observable Markov Decision Processes (POMDPs) model sequential decision-making problems under uncertainty and partial observability. Unfortunately, some problems cannot be modeled with state-dependent reward functions, e.g., problems whose objective explicitly implies reducing the uncertainty on the state. To that end, we introducePOMDPs, an extension of POMDPs where the reward function depends on the belief state. We show that, under the common assumption that is convex, the value function is also convex, what makes it possible to (1) approximate arbitrarily well with a piecewise linear and convex (PWLC) function, and (2) use state-of-the-art exact or approximate solving algorithms with limited changes.