This paper aims to develop a fuzzy dynamic programming approach for multiobjective multistage decision making problems. Fuzzy dynamic programming usually convert the problems into corresponding single objective problems by an aggregate of hybrid objective values that expresses the performance of the particular stage decision. Weightassessment is an important problem arising from the evaluation of multiple objectives. Therefore, a fuzzy iteration model is first developed to simultaneously provide the objective weights and the evaluation of alternatives with multiple objectives. Then a fuzzy dynamic programming is derived by applying the fuzzy iteration model to classic dynamic programming to evaluate the decisions at each stage in the dynamic process of decision makings, where the objective weights are initially elicited from the information implicit in alternatives and can be interactively adjusted to reflect the changes of decision situations by using a non-structured decision making analysis method if necessary. Finally, the fuzzy dynamic programming is validated through a problem of water resource allocation.