In recent, much attention has been paid to the educational serious games that provide both fun and learning effects. However, most educational games have been targeted at the infants and children, and it is still hard to use such games in higher education. On the contrary, this paper aims to develop an educational game for teaching mathematical programming to the undergraduates. It is well known that most puzzle games can be transformed into associated optimization problem and vice versa, and this paper proposes a simple educational game based on the subset sum problem. This game enables the users to play the puzzle and construct their own mathematical programming model for solving it. Moreover, the users are provided with appropriate instructions for modeling and their models are evaluated by using the data automatically generated. It is expected that the educational game in this paper will be helpful for teaching basic programming models to the students in industrial engineering or management science.