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A preference-based non-dominated sorting genetic algorithm (PNSGA) is introduced to optimize multi-objective problems. PNSGA adopts the technique of the decision maker, which can combine Pareto dominance with partial preference information. And the preferable relationship is defined based on Pareto dominance and goal function. The algorithm is utilized to optimize a novel multi-objective model of the dynamic economic dispatch in power system. Experimental results demonstrate the good validity of the proposed algorithm.