We consider a Markov decision chain X = {X _n, n = 0, 1, ...} with finite state space = {1, 2, ...,N} and a finite set = {1, 2, ...,K _i} of possible decisions (actions) in state i ∈ . Supposing that in state i ∈ action k ∈ is selected, then state j is reached in the next transition with a given probability p _ij ^k and one-stage transition reward r _ij will be accrued to such transition.