In multi-objective problems, it is key to find compromising solutions that balance different objectives. The linear scalarization function is often utilized to translate the multi-objective nature of a problem into a standard, single-objective problem. Generally, it is noted that such as linear combination can only find solutions in convex areas of the Pareto front, therefore making the method inapplicable in situations where the shape of the front is not known beforehand, as is often the case. We propose a non-linear scalarization function, called the Chebyshev scalarization function, as a basis for action selection strategies in multi-objective reinforcement learning. The Chebyshev scalarization method overcomes the flaws of the linear scalarization function as it can (i) discover Pareto optimal solutions regardless of the shape of the front, i.e. convex as well as non-convex , (ii) obtain a better spread amongst the set of Pareto optimal solutions and (iii) is not particularly dependent on the actual weights used.