The hybrid energy storage system (HESS) in electric vehicle (EV) requires power allocation for optimal performance. Recent researches show that the Markov decision process (MDP) provides promising characteristics for the energy management. However, the power fluctuation, which is rarely considered, can significantly affect the performance of HESS. The paper adopts the bilinear interpolation to smooth the MDP-based strategy. In this way, the power fluctuation can be mitigated, meanwhile the computation cost is not greatly increased. Given the battery and the ultracapacitor, two types of DC/DC converters are employed and the model of the HESS including the battery capacity degradation is introduced. Considering the energy loss and the energy reserve in the HESS, the reward function is built. Utilizing the cumulative reward function, the effect of ultracapacitor pack size on the performance of power allocation is analyzed in detail, the appropriate ultracapacitor size can be obtained further. Simulation results show that MDP strategy with the bilinear interpolation can not only reduce the energy loss by 5–10%, but also prolong the battery cycle life. Finally, the experimental workbench is built. The master-slave strategy is utilized to achieve the power allocation and DC/DC converter control. The proposed strategy is verified by the experimental results.