A new technology (technique) that helps construct a mathematical model of a complex engineering system by optimal decision making based on it is given. To construct the model of an engineering system, methods of regressive analysis are used to transform the initial (experimental) data into a vector (multiobjective) mathematical programming problem. To solve it, methods are presented that rely on criteria normalization and principle of guaranteed result. The technique of constructing models of engineering systems, methods of solving the vector mathematical programming problem and optimal decision making are demonstrated by the test examples in Matlab.