A simple method for approximating a general Pareto surface

We present a simple iterative procedure for approximating the Pareto surface of a set S and the only assumption is that S is closed and bounded. The algorithm creates a sequence of upper bounds for the Pareto surface and these upper bounds tighten towards the surface as the number of iteration loops increases towards infinity. The approximation method is further developed towards a tool for optimization in general situations and it may also be applied in interactive multiobjective optimization.