In day to day life goods produced at a number of places are consumed at different locations and then the problem faced by producer or dealer is to transfer goods from numerous places of origin to various places of consumption such that cost of transportation, time required, damages to the product etc. are optimum. This is called classical transportation problem. In this study we have studied transportation problem solve by Markov Decision Process. Introduction to the operations research is made along with over view of optimization techniques of single objective transportation problem. For literature review in the subject of multi objective fractional as well as linear multi objective transportation problems. In basic concepts of Markov Decision Process are given for further usage in the thesis work. We have stated algorithms for solving different types of multi objective programming problems. In entire work we have used basically linear membership functions, hyperbolic membership function and exponential membership function. These membership functions are Markov Decision Process. In case of linear membership function weighted arithmetic mean, weighted quadratic mean, geometric mean is used to find compromise solution. Almost everywhere we have found that the compromise solutions are fairly close to optimal solution when the problem is solved as single objective function. We have solution procedure for multi objective linear transportation is given using Markov Decision Process. Introduction to fractional programming is made and solutions of multi objective linear fractional programming problems are discussed. We have solutions of multi objective linear fractional transportation problem. In this topic fractional objective functions are approximated as linear functions using Taylor’s theorem and then applied method to solve the multi objective linear transportation problem discussed earlier. We focus on solution to fractional transportation problem with Markov Process coefficients. To multi objective fractional transportation problem with goal programming approach. We deal with general integer programming problem along with fractional transportation problems. The main result of this thesis is a characterization of increasing Marko processes satisfying certain conditions. At the end bibliography and research papers published by authors are given. Keywords: Markov Process, Transportation, Queen analyses Server system.