An algorithm to choose the initial multipliers optimally for quasilinearization solution of optimal control problems with bounded controls and constant multipliers is proposed. It uses diagonal matrices of weighting coefficients in the performance index of an auxiliary minimization problem. This auxiliary performance index comprises the cumulative error in the system constraints and the optimum conditions in the original extremization problem. The auxiliary performance index is quadratically dependent on the multipliers for given state and control functions. The resulting variational problem leads to linear Euler equations. The computational characteristics of the proposed method are demonstrated with two numerical examples.