The problem of diagnosis strategy for multi-value attribute system is considered. Based on the property that Rollout algorithm can improve the base heuristic algorithm, Rollout algorithm is used to improve the information entropy based diagnosis strategy for multi-value attribute system. Then, a new diagnosis strategy for multi-value attribute system is proposed. The theory and experiments demonstrate that, the method is much better than information entropy algorithm and its computing time is acceptable, which can be used to design the optimal diagnosis strategy for complicated multi-value systems.