A self-adaptive differential evolution algorithm incorporate Pareto dominance to solve multi-objective optimization problems is presented. The proposed approach adopts an external elitist archive to retain non-dominated solutions found during the evolutionary process. In order to preserve the diversity of Pareto optimality, a crowding entropy diversity measure tactic is proposed. The crowding entropy strategy is able to measure the crowding degree of the solutions more accurately. The experiments were performed using eighteen benchmark test functions. The experiment results show that, compared with three other multi-objective optimization evolutionary algorithms, the proposed MOSADE is able to find better spread of solutions with better convergence to the Pareto front and preserve the diversity of Pareto optimal solutions more efficiently.