I am trying to solve some classification problem. It seems many classical approaches follow a similar paradigm. That is, train a model with some training set and than use it to
I saw this paper some time ago, which seems to be what you are looking for.
They are basically modeling classification problems as Markov decision processes and solving using the ACLA algorithm. The paper is much more detailed than what I could write here, but ultimately they are getting results that outperform the multilayer perceptron, so this looks like a pretty efficient method.