The aim of this paper is to introduce a methodology based on the particle swarm optimization (PSO) algorithm to train the Multi-Criteria Decision Aid (MCDA) method PROAFTN. PSO is an efficient evolutionary optimization algorithm using the social behavior of living organisms to explore the search space. It is a relatively new population-based metaheuristic that can be used to find approximate solutions to difficult optimization problems. Furthermore, it is easy to code and robust to control parameters. To apply PROAFTN, the values of several parameters need to be determined prior to classification, such as boundaries of intervals and weights. In this study, the proposed technique is named PSOPRO, which utilizes PSO to elicit the PROAFTN parameters from examples during the learning process. To test the effectiveness of the methodology and the quality of the obtained models, PSOPRO is evaluated on 12 public-domain datasets and compared with the previous work applied on PROAFTN. The computational results demonstrate that PSOPRO is very competitive with respect to the most common classification algorithms. Crown Copyright (C) 2011 Published by Elsevier B.V. All rights reserved.