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Multiple-objective optimization (MOO) aims to simultaneously optimize multiple conflicting objectives and has found important applications in machine learning, such as simultaneously minimizing classification and fairness losses. At an optimum, further optimizing one objective will necessarily increase at least another objective, and decision-makers need to comprehensively explore multiple optima to pin-point one final solution. We address the efficiency of exploring the Pareto front that contains all optima. First, stochastic multi-gradient descent (SMGD) takes time to converge to the Pareto front with large neural networks and datasets. Instead, we explore the Pareto front as a manifold from a few initial optima, based on a predictor-corrector method. Second, for each exploration step, the predictor iteratively solves a large-scale linear system that scales quadratically in the number of model parameters, and requires one backpropagation to evaluate a second-order Hessian-vector product per iteration of the solver. We propose a Gauss-Newton approximation that scales linearly, and that requires only first-order inner-product per iteration. T hird, we explore different linear system solvers, including the MINRES and conjugate gradient methods for approximately solving the linear systems. The innovations make predictor-corrector efficient for large networks and datasets. Experiments on a fair misinformation detection task show that 1) the predictor-corrector method can find Pareto fronts better than or similar to SMGD with less time, and 2) the proposed first-order method does not harm the quality of the Pareto front identified by the second-order method, while further reducing running time.