A new approach to fuzzy optimization based on the generalization of Bellman-Zadeh's (BZ) concept is proposed in this article. It consists of a parametric generalization of intersection of fuzzy sets and a generalized defuzzification method. This approach allows the solving of a fuzzy mathematical programming (FMP) problem without transformation to a crisp one. It takes into account all possible fuzzy decisions and allows the degree of conjunction of criteria and constraints to vary. BZ method can be considered a special case of the approach proposed here. A simple algorithm for noniterative solving FMP problem is proposed whereas well-known Zimmermann's approach uses numerical methods. an illustrative example is presented. © 1994 John Wiley & Sons, Inc.