The existence of exact penalty function for multiobjective programming is proved under the condition that the linearized cone of constraints is nonempty, and the lower boundedness of penalty factor is obtained by using the Kuhn-Tucker multiplier of quadratic programming subproblem of the primal problem at some points. On this basis, an interactive algorithm is proposed by using the idea of maximum entropy method. Numerical experiments indicate that the algorithm is stable, efficient and easily used.