Proxy multi-signature is an extension of the basic proxy signature primitive, and permits two or more entities to delegate their signing capabilities to the same other entity. Combining proxy multi-signature with identity based cryptography, in this paper, We construct a concrete identity based proxy multi-signature scheme by using bilinear pairings. Analysis shows that the scheme is capable of resisting forgery attack and can satisfy all the required security properties of a proxy signature. Furthermore, the new scheme is very simple and efficient computationally. It has the property that the size of a proxy multi-signature is independent of the number of the original signers.