Knowledge about protein subcellular localization provides important information about protein function. This paper improves a label power-set multi-label classification for the accurate prediction of subcellular localization of proteins which simultaneously exist at multiple subcellular locations. Among multi-label classification methods, label power-set method can effectively model the correlation between subcellular locations of proteins performing certain biological function. With constrained optimization, this paper calculates combination weights which are used in the linear combination representation of a multi-label by other multi-labels. Using these weights, the prediction probabilities of multi-labels are combined to give final prediction results. Experimental results on human protein dataset show that the proposed method achieves higher performance than other prediction methods for protein subcellular localization. This shows that the proposed method can successfully enrich the prediction probability of multi-labels by exploiting the overlapping information between multi-labels.