Due to various advantages in storage and implementation, simple strategies are usually preferred than complex strategies when the performances are close. Strategy optimization for controlled Markov process with descriptive complexity constraint provides a general framework for many such problems. In this paper, we first show by examples that the descriptive complexity and the performance of a strategy could be independent, and use the F-matrix in the No-Free-Lunch Theorem to show the risk that approximating complex strategies may lead to simple strategies that are unboundedly worse in cardinal performance than the original complex strategies. We then develop a method that handles the descriptive complexity constraint directly, which describes simple strategies exactly and only approximates complex strategies during the optimization. The ordinal performance difference between the resulting strategies of this selective approximation method and the global optimum is quantified. Numerical examples on an engine maintenance problem show how this method improves the solution quality. We hope this work sheds some insights to solving general strategy optimization for controlled Markov process with descriptive complexity constraint.
