The Analytic Hierarchy Process (AHP) multicriteria method can be cognitively demanding for large-scale decision problems due to the requirement for the decision maker to make pairwise evaluations of all alternatives. To address this issue, this paper presents an interactive method that uses online learning to provide scalability for AHP. The proposed method involves a machine learning algorithm that learns the decision maker’s preferences through evaluations of small subsets of solutions, and guides the search for the optimal solution. The methodology was tested on four optimization problems with different surfaces to validate the results. We conducted a one factor at a time experimentation of each hyperparameter implemented, such as the number of alternatives to query the decision maker, the learner method, and the strategies for solution selection and recommendation. The results demonstrate that the model is able to learn the utility function that characterizes the decision maker in approximately 15 iterations with only a few comparisons, resulting in significant time and cognitive effort savings. The initial subset of solutions can be chosen randomly or from a cluster. The subsequent ones are recommended during the iterative process, with the best selection strategy depending on the problem type. Recommendation based solely on the smallest Euclidean or Cosine distances reveals better results on linear problems. The proposed methodology can also easily incorporate new parameters and multicriteria methods based on pairwise comparisons.