Pain management is a critical international health issue. The Eugene McDermott Center for Pain Management at The University of Texas Southwestern Medical Center conducted a two-stage interdisciplinary pain management program that considers a wide variety of treatments. Prior to treatment (beginning of Stage 1), an evaluation records the patient's pain characteristics, medical history and related health parameters. A treatment regime is then determined. At the midpoint of the program (beginning of Stage 2), an evaluation is conducted to determine if an adjustment in the treatment should be made. A final evaluation is conducted at the end of the program to assess final outcomes. We structure this decision-making process using dynamic programming (DP) to generate adaptive treatment strategies for this two-stage program. An approximate DP solution method is employed in which state transition models are constructed empirically based on data from the pain management program, and the future value function is approximated using state space discretization based on a Latin hypercube design and artificial neural networks. The optimization seeks for treatment plans that minimize treatment dosage and pain levels simultaneously.