Several multi-objective optimization methods in common use were concluded. In two examples of bi-objective optimization for cantilever beam and rocket engine, linear weighted method and gradual easy constraint method and neighborhood cultivation genetic algorithm(NCGA) method were used to obtain Pareto Front. Ideal point method with ��p��-module, the least distance method, ideal point method with max-module and goal programming method were used to obtain non-inferior solutions. The goal point was performed with diverse specific point that corresponded to diverse result in cantilever beam optimization. The optimal solution was respectively found from all non-inferior solutions by dualistic relative comparison and fuzzy related degree method. Examples indicate that multi-objective optimization methods and identification methods of the optimal solution are efficient and reliable applying to the general multi-objective optimization problems.