To improve the learning of Mathematical Programming, two active methodologies have been combined: Learning through service and Learning based on problems; methodologies that are the framework for the development of mathematical problem-solving competence in university students. The experience consisted of solving a real business problem, identified by the students. A quasi-experimental methodological design was used with groups of students who worked cooperatively. Three phases are distinguished in the educational intervention: planning, execution and evaluation. The results show that the students perceive the experience favorably and that they consider that it has contributed to relate theory to practice, to the development of their communication skills and to solve and decide in real situations. It is concluded that the combination of the two proposed methodologies combined with cooperative learning techniques is adequate for the development of competencies and the comprehensive training of students.