We consider Markov decision processes (MDPs) where the state transition probability distributions are not uniquely known, but are known to belong to some intervals-so called "controlled Markov set-chains"-with infinite-horizon discounted reward criteria. We present formal methods to improve multiple policies for solving such controlled Markov set-chains. Our multipolicy improvement methods follow the spirit of parallel rollout and policy switching for solving MDPs. In particular, these methods are useful for online control of Markov set-chains and for designing policy iteration (PI) type algorithms. We develop a PI-type algorithm and prove that it converges to an optimal policy.