This study suggests an interactive algorithm for solving multiobjective decision making problems. This interactive algorithm is developed using decision maker (DM)``s local proxy preference. In this thesis, the marginal rate of substitution(MRS) concept is used to generagte Pareto optimal solutions, best direction and step-size. After assessing DM``s MRS using the trade-off, this algorithm generates the Pareto optimal solutions and the best direction using the Weighting method, and the proxy preference structure of DM is constructed with these MRS information. Then, the algorithm can find the best step-size by optimizing the specified proxy preference function of DM in the generated Pareto optimal solution. Therefore, at each iteration this algorithm directs toward the preferable solution, and finally best compromise solution can be obtained.