The vararg version of compareValuesBy is not inlined in the bytecode meaning anonymous classes will be generated for the lambdas. However, if the lambdas themselves don't capture state, singleton instances will be used instead of instantiating the lambdas everytime.
As noted by Paul Woitaschek in the comments, comparing with multiple selectors will instantiate an array for the vararg call everytime. You can't optimize this by extracting the array as it will be copied on every call. What you can do, on the other hand, is extract the logic into a static comparator instance and reuse it:
class Foo(val a: String, val b: Int, val c: Date) : Comparable<Foo> {
override fun compareTo(other: Foo) = comparator.compare(this, other)
companion object {
// using the method reference syntax as an alternative to lambdas
val comparator = compareBy(Foo::a, Foo::b, Foo::c)
}
}