An roll-pitch-yaw integrated autopilot for missiles is designed for compensation of dynamics coupling. The proposed autopilot is based on the classical control technique. The gains of the proposed autopilot are optimized by using co-evolutionary augmented Lagrangian method(CEALM). Several cost functions are compared in order to find feasible control gains. For a case that a bank angle of missiles is unknown, multiple models are used in the autopilot optimization. In nonlinear simulations as well as linear simulations, the proposed autopilot provided good performances.