Based on actual lubricating oil production data and the base oil performance indexes of an enterprise, two nonlinear blending schemes corresponding to viscosity and freezing point and four linear blending schemes corresponding to acid value, flash point, oxidation stability, and carbon residue are given in this paper. On the premise that the error of each index is less than 5%, a linear weighted multi-objective optimization model based on integer nonlinear programming considering cost and performance is established, and the lubricating oil blending scheme is obtained. The results show that the blending formula is simple in form and convenient in calculation, and that the overall consistency between the calculated value and the measured value is good. At the same time, the relative error of each performance index, except residual carbon, of the scheme with weight value of (0.5, 0.5) is far less than 5%. Although the performance index is slightly inferior to that of the scheme with a weight value of (0, 1), it is far higher than that of the scheme with a weight value of (1, 0). The linear weighted multi-objective optimization model based on integer nonlinear programming proposed in this paper can well-optimize the blending scheme of industrial lubricating oil, and can re-select different weight combinations according to the actual situation, providing good prospects for application.