For the problem that how to compute the objective weight based on personal preference during multi-objective optimization process, a method which decides the objective weights by solving a constrained optimization problem is proposed. Firstly, by using this method, the objective weight computation problem is transformed into a synthetical fitness optimization problem according to the statistics theory. Then the personal preference is transformed into the constrain condition of the synthetical fitness optimization problem. Finally, the gradient projection method is used to solve the constrained synthetical fitness optimization problem to get optimum objective weights. The proposed method is used to compute the objective weight of economical efficiency and safety during the electric locomotive repair strategy decision process, and the test result shows that the proposed method can get the optimum objective weight under the constraint of personal preference.