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Energy efficiency in mobile devices remains a critical issue in the design of wireless communication system. In order to provide a high quality of service (QoS), the IEEE 802.16e-2005 standard supports three unique power saving classes (PSCs) which aim to reduce the power consumption of mobile devices based on the different types of traffic. Our goal is to design an optimal sleep mode selection scheme so as to maximize the energy efficiency in a mobile WiMAX system while providing a certain QoS guarantee. In this paper, we propose a theoretical framework based on the semi-Markov decision process along with a performance evaluation on the sleep mode operation. Based on this model, we formulate a stochastic optimization problem and solve it through our novel policy optimization algorithm, which is capable of finding the optimal policy for the selection of different PSCs. The numerical and simulation results demonstrate the validity of our proposed scheme under different QoS requirements such as the packet delay and energy consumption level. We believe that our scheme has achieved a high energy efficiency and is best fit to the IEEE 802.16e mobile system.