Conventional approaches for Common Weights (CW) generation in Data Envelopment Analysis (DEA) are either non-linear or scale-relevant. To solve this problem, according to the demand of military training performance evaluation, a new method was proposed to generate CW in DEA. The new method took DEA efficient units as the basis of calculation. Firstly, training data were normalized, and then multi-objective programing was employed for CW generation, which can lead to a fairer and more reasonable ranking of performances. The proposed method is not only linear, but also scale-irrelevant. Lastly, a military application illustrates that the proposed method is scientific and effective.