Direct load control DLC is one of the important means for demand response in the electricity market. Combined with the features of direct load control strategy, this paper takes electricity benefit increase, systems peak load reduction as well as dissatisfaction reduction as objective functions, to establish multiple-objective optimization decision models. It also develops a fuzzy dynamic programming approach to solve optimal control strategies. The method is more coincident with the factual data and reduce the systems peak load further, thereby provides better decision-making for power sector. Moreover, it evaluates the feasibility making using of typical summer daily load.