The thermal inertia properties of construction elements have gained a great deal of importance in building design over the last few years. Many investigations have shown that this is the key factor to improve energy efficiency and obtain optimal comfort conditions in buildings. However, experimental tests are expensive and time consuming and the development of new products requires shorter analysis times. In this sense, the goal of this research is to analyze the thermal behavior of a wall made up of lightweight concrete blocks covered with layers of insulating materials in steady- and transient-state conditions. For this, numerical and experimental studies were done, taking outdoor temperature and relative humidity as a function of time into account. Furthermore, multi-criteria optimization based on the design of the experimental methodology is used to minimize errors in thermal material properties and to understand the main parameters that influence the numerical simulation of thermal inertia. Numerical Finite Element Models (FEM) will take conduction, convection and radiation phenomena in the recesses of lightweight concrete blocks into account, as well as the film conditions established in the UNE-EN ISO 6946 standard. Finally, the numerical ISO-13786 standard and the experimental results are compared in terms of wall thermal transmittance, thermal flux, and temperature evolution, as well as the dynamic thermal inertia parameters, showing a good agreement in some cases, allowing builders, architects, and engineers to develop new construction elements in a short time with the new proposed methodology.