Multi-criteria Decision Aiding (MCDA) paradigm has been utilized in solving classification problems. In this study, a novel MCDA classification method using case-based grey relational analysis (GRA) is proposed to solve the problem of classifying and diagnosing thyroid nodules. After a set of appropriate criteria are identified and qualified, representative cases are selected as input. Weighted distance based on GRA is defined to express the decision maker's preference. Then a quadratic optimization program is constructed to obtain optimal classification thresholds. This method can overcome the difficulties in the clinical diagnosis of thyroid nodules caused by the decision-maker's (DM) cognitive limitations. An experiment is conducted to demonstrate the procedure.