In this paper, we develop an efficient training beam sequence design approach for millimeter wave MISO tracking systems. We impose a discrete state Markov process assumption on the evolution of the angle of departure and introduce the maximum a posteriori criterion to track it in each beam training period. Since it is infeasible to derive an explicit expression for the resultant tracking error probability, we turn to its upper bound, which possesses a closed-form expression and is therefore leveraged as the objective function to optimize the training beam sequence. Considering the complicated objective function and the unit modulus constraints imposed by analog phase shifters, we resort to the particle swarm algorithm to solve the formulated optimization problem. Numerical results validate the superiority of the proposed training beam sequence design approach.