With the rapid development of renewable energy, traditional power generation such as combined cycle set needs to start-up or change load quickly to balance the variability brought by renewable resources. In the combined cycle set, the start-up of steam turbine has a great influence on the whole set, and it's necessary to ensure safety, shorten the start-up time and reduce pollutant emissions. These optimization objectives are interrelated and have complex contradiction, which is the difficulty for multi-objective optimization. Costs function consisting of start-up costs, fatigue life damage costs, pollutant emissions costs and revenue gained from electricity is proposed to balance the contradiction more objectively. Finite Exhaustive Method combining thermal-structural finite element calculation and multi-objective optimization is proposed for multi-objective start-up process optimization, and its results are compared with those of minimum start-up time and minimum fatigue life damage optimization. It can automatically search for a unique global optimal solution for engineering practice, rather than solution sets obtained by Pareto Optimality, which is beneficial for application in different combined cycle steam turbines and start-up process. Multi-objective optimization scheduling shortens start-up time from 105 to 93 minutes, reduces maximum stress from 493MPa to 440MPa, and reduces costs function by 66.6%. The comparison with the multi-objective optimization results of the Response Surface Method proves the reliability and validity of this method. The practical inspection results prove that the optimal scheduling is safe and effective.