The folding of a protein is studied as it grows residue by residue from the N-terminus and enters an environment that stabilizes the folded state. This mode of folding of a growing chain is different from refolding where the full chain folds from a disordered initial configuration to the native state. We propose a sequential dynamic optimization method that computes the evolution of optimum folding pathways as amino acid residues are added to the peptide chain one by one. The dynamic optimization formulation is deterministic and uses Newton's equations of motion and a Go-type potential that establishes the native contacts and excluded volume effects. The method predicts the optimal energy-minimizing path among all the alternative feasible pathways. As two examples, the folding of the chicken villin headpiece, a 36-residue protein, and chymotrypsin inhibitor 2 (CI2), a 64-residue protein, are studied. Results on the villin headpiece show significant differences from the refolding of the same chain studied previously. Results on CI2 mostly agree with the results of refolding experiments and computational work.