Automatic learning of weight settings for multi-objective models

A historical scenario and historical decisions made in the historical scenario are received. The historical decisions represent a set of decision variables of an objective function. A random set of decision variables having different values than the set of decision variables are generated. To determine a weight setting associated with multiple objectives of the objective function, a number of inequalities are built and solved with an assumption that, for an optimization that minimizes the objective function, the objective function having the set of random decision variables has a larger value than the objective function having the set of decision variables. The receiving, the generating and the building steps may be repeated to determine multiple sets of weight settings. The multiple sets of weight settings are searched to select a target weight setting for each of the multiple objectives. The target weight setting may be automatically and continuously learned.