In this paper, we consider the signal processing algorithm on each subcarrier for the downlink of Multi-User Multiple-Input Multiple-Output Orthogonal Frequency Division Multiplexing (MU-MIMO OFDM) system. A novel transmit scheme is proposed for the cancellation of Inter-User Interference (IUI) at the Base Station (BS). The improved performance of each user is obtained by optimizing the transmit scheme on each subcarrier, where the Particle Swarm Optimization (PSO) algorithm is employed to solve the constrained nonlinear optimization problem. Compared with the conventional Zero Forcing Dirty Paper Coding (ZF-DPC) having only single receive antenna at each Mobile Station (MS), the proposed scheme also applies the principle of DPC to cancel the IUI, but the MS users can be equipped with multiple receive antennas producing their increased receive SNR's. With the Channel State Information (CSI) being known at the BS and the MS, the eigenvalues for all the user channels are calculated first and then the user with the maximum eigenvalue is selected as the 1-st user. The remaining users are ordered and sequentially processed, where the transmit weights are generated from the previously selected users by the Particle Swarm Optimization (PSO) algorithm which ensures the transmit gain for each user as large as possible. The computational complexity analysis, BER performance and achievable sum-rate analysis of system verify the effectiveness of the proposed scheme.