A multi-functional optimization algorithm for dynamical systems is proposed in this paper. The problem is formulated as a receding horizon control problem, and the current, control is updated by using the gradient, estimation of functionals. In order to achieve the Pareto optimality, the input is improved along the Pareto descent direction, which is given by solving the linear programming problem. As a practical example, the application on the engine simulator is conducted, and the optimization problem, whose torque and emission of NOx are chosen as the objective functionals, is considered. (C) 2016, IFAC (International Federation of Automatic Control) Hosting by Elsevier Ltd. All rights reserved.