The Scalarization Approach to Multiobjective Markov Control Problems: Why Does It Work?

This paper concerns discrete-time multiobjective Markov control processes on Borel spaces and unbounded costs. Under mild assumptions, it is shown that the usual “scalarization approach” to obtain Pareto policies for the multiobjective control problem is in fact equivalent to solving the dual of a certain multiobjective infinite-dimensional linear program. The latter program is obtained from a multiobjective measure problem which is also used to prove the existence of strong Pareto policies, that is, Pareto policies whose cost vector is the closest to the control problem’s virtual minimum.