Large-scale, multi-agent systems are too complex for optimal control strategies to be known at design time and as a result good strategies must be learned at runtime. Learning in such systems, particularly those with multiple objectives, takes a considerable amount of time because of the size of the environment and dependencies between goals. Transfer Learning (TL) has been shown to reduce learning time in single-agent, single-objective applications. It is the process of sharing knowledge between two learning tasks called the source and target. The source is required to have been completed prior to the target task. This work proposes extending TL to multi-agent, multi-objective applications. To achieve this, an on-line version of TL called Parallel Transfer Learning (PTL) is presented. The issues involved in extending this algorithm to a multi-objective form are discussed. The effectiveness of this approach is evaluated in a smart grid scenario. When using PTL in this scenario learning is significantly accelerated. PTL achieves comparable performance to the base line in one third of the time.