Abstract: The control problem of bilinear systems with multiple objectives is studied. First, the multi-objective control problem is converted into a single objective optimal control problem using the utility function technology. The utility function is a nonlinear function of multiple quadratic performance indices, and therefore it is non-separable in the sense of dynamic programming. Then, to overcome this difficulty, a two-level optimal control algorithm is proposed. At the lower level, the formulated auxiliary Lagrangian problem is of a parametric bilinear-quadratic structure and it is solved by dynamic programming. Finally, the weighting vector in the auxiliary Lagrangian problem is adjusted by the upper level iteratively. This two-level process repeats until an optimal condition is satisfied.