This paper introduces a new solution method based on Goal Programming for Multiple Objective Decision Making (MODM) problems. The method, called Interactive Sequential Goal Programming (ISGP), combines and extends the attractive features of both Goal Programming and interactive solution approaches for MODM problems. ISGP is applicable to both linear and non-linear problems. It uses existing single objective optimization techniques and, hence, available computer codes utilizing these techniques can be adapted for use in ISGP. The non-dominance of the "best-compromise" solution is assured. The information required from the decision maker in each iteration is simple. The proposed method is illustrated by solving a nutrition problem.