The equipment system in practice has a variety of operating modes. In fault isolation and localization of multi-mode systems, faults cannot be detected and isolated in a single operating mode, and the cost and the efficiency for detecting and isolating faults are also different in different operating modes. In order to minimize the failure isolation cost of multi-operating mode systems, a diagnosis strategy optimization method for multi-operation modes based on the double rollout algorithm is proposed. Firstly, the first round of the rollout algorithm is adopted to construct the diagnosis strategy under the specific operating mode based on available tests, and the fuzzy set is obtained, based on which the second round of the rollout algorithm is used to select the optimal operating mode. The corresponding fuzzy set is obtained. Repeat these steps until the diagnostic strategy meets isolation requirements. The result of the example shows that the solution obtained by the proposed method is closer to the optimal solution than the existing algorithms, and the expected test cost is lower.