Inclusion criteria:

          -  Provide signed written informed consent, which includes compliance with the
             requirements and restrictions listed in the consent form.

          -  Male or female, 18 years or older (at the time consent is obtained).

          -  Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1.

          -  Subjects must: have histologically or cytologically confirmed diagnosis of Multiple
             myeloma (MM), as defined by IMWG, 2014 and has undergone stem cell transplant or is
             considered transplant ineligible, and has been treated with at least 3 prior lines of
             prior anti-myeloma treatments including an immunomodulatory imide drug (IMiD) (eg.
             lenalidomide or pomalidomide), a proteasome inhibitor (eg. bortezomib, ixazomib or
             carfilzomib) and an anti-CD38 antibody alone or in combination. Line of therapy are
             defined by consensus panel of the International Myeloma Workshop, Has measurable
             disease defined as one the following: a) Serum M-protein >=0.5 grams per deciliter
             (g/dL) (>=5 grams per liter [g/L]). b) Urine M-protein ≥200 mg/24h. c) Serum Free
             light chain (FLC) assay: Involved FLC level ≥10 milligrams per deciliter (mg/dL) (≥100
             milligrams per liter [mg/L]) and an abnormal serum free light chain ratio (<0.26 or
             >1.65).

          -  Subjects with a history of autologous stem cell transplant are eligible for study
             participation provided the following eligibility criteria are met: a) transplant was >
             100 days prior to study enrolment. b) no active infection(s). c) subject meets the
             remainder of the eligibility criteria.

          -  Adequate organ system functions as defined by the laboratory assessments.

          -  All prior treatment-related toxicities (defined by National Cancer Institute-Common
             Toxicity Criteria for Adverse Events [NCI-CTCAE], version 4.03, 2010) must be <= Grade
             1 at the time of enrolment except for alopecia and Grade 2 neuropathy.

          -  A female subject is eligible to participate if she is not pregnant or breastfeeding,
             and at least one of the following conditions applies: is not a woman of childbearing
             potential (WOCBP) OR is a WOCBP and using a contraceptive method that is highly
             effective (with a failure rate of <1% per year), preferably with low user dependency,
             during the intervention period and for at least 120 days after the last dose of study
             intervention and agrees not to donate eggs (ova, oocytes) for the purpose of
             reproduction during this period. The investigator should evaluate the effectiveness of
             the contraceptive method in relationship to the first dose of study intervention. A
             WOCBP must have a negative highly sensitive serum pregnancy test (as required by local
             regulations) within 72 hours before the first dose of study intervention. The
             investigator is responsible for review of medical history, menstrual history, and
             recent sexual activity to decrease the risk for inclusion of a woman with an early
             undetected pregnancy.

          -  Male subjects are eligible to participate if they agree to the following during the
             intervention period and for at least 140 days after the last dose of study
             intervention. Male subjects should refrain from donating sperm, plus, either be
             abstinent from heterosexual intercourse as their preferred and usual lifestyle
             (abstinent on a long term and persistent basis) and agree to remain abstinent OR Must
             agree to use a male condom and female partner to use an additional highly effective
             contraceptive method with a failure rate of <1% per year when having sexual
             intercourse with a woman of childbearing potential who is not currently pregnant.

        Exclusion criteria:

        A subject will NOT be eligible for inclusion in this study if any of the following criteria
        apply:

          -  Systemic anti-myeloma therapy or an investigational drug <=14 days or five half-lives,
             whichever is shorter, preceding the first dose of study drug

          -  Plasmapheresis within 7 days prior to the first dose of study drug

          -  Prior treatment with a monoclonal antibody within 30 days of receiving the first dose
             of study drugs

          -  Has received prior therapy with an anti-PD-1, anti-Programmed cell death Ligand 1
             (PD-L1), or anti-Programmed cell death Ligand 2 (PD-L2) agent or with an agent
             directed to another stimulatory or co-inhibitory T-cell receptor (e.g., cytotoxic
             T-lymphocyte-associated antigen 4 [CTLA-4], OX 40, CD137) and was discontinued from
             that treatment due to a Grade 3 or higher immune related adverse event (irAE)

          -  Current corneal epithelial disease except mild punctate keratopathy

          -  Any major surgery within the last four weeks prior to the first dose of study therapy

          -  Presence of active renal condition (infection, requirement for dialysis or any other
             condition that could affect subject's safety). Subjects with isolated proteinuria
             resulting from MM are eligible, provided they fulfil criteria as per adequate organ
             system function mentioned under inclusion criteria.

          -  Any serious and/or unstable pre-existing medical, psychiatric disorder or other
             conditions (including lab abnormalities) that could interfere with subject's safety,
             obtaining informed consent or compliance to the study procedures.

          -  Has received prior radiotherapy within 2 weeks of start of study therapy. Subjects
             must have recovered from all radiation-related toxicities, not require
             corticosteroids, and not have had radiation pneumonitis. A 1-week washout is permitted
             for palliative radiation (<=2 weeks of radiotherapy) to non-central nervous system
             (CNS) disease.

          -  History of (non-infectious) pneumonitis that required steroids, or current pneumonitis

          -  Current active liver or biliary disease per investigator assessment defined by the
             presence of ascites, encephalopathy, coagulopathy, hypoalbuminemia, esophageal or
             gastric varices, persistent jaundice, or cirrhosis.

          -  Malignancies other than disease under study are excluded, except for any other
             malignancy from which the subject has been disease-free for more than 2 years and, in
             the opinion of the principal investigators and GSK Medical Monitor, will not affect
             the evaluation of the effects of this clinical trial treatment on the currently
             targeted malignancy (RRMM). Subjects with curatively treated non-melanoma skin cancer
             are allowed.

          -  Has known active CNS metastases and/or carcinomatous meningitis. Subjects with
             previously treated brain metastases may participate provided they are radiologically
             stable, i.e., without evidence of progression for at least 4 weeks by repeat imaging
             (note that the repeat imaging should be performed during study screening), clinically
             stable and without requirement of steroid treatment for at least 14 days prior to
             first dose of study therapy

          -  Evidence of cardiovascular risk including any of the following: a) corrected for heart
             rate by Fridericia's formula (QTcF) interval ≥470 msecs. b) Evidence of current
             clinically significant uncontrolled arrhythmias; i. including clinically significant
             ECG abnormalities including 2nd degree (Type II) or 3rd degree atrioventricular (AV)
             block. c) History of myocardial infarction, acute coronary syndromes (including
             unstable angina), coronary angioplasty, or stenting or bypass grafting within six
             months of Screening. d) Class III or IV heart failure as defined by the New York Heart
             Association functional classification system. e) Uncontrolled hypertension. f)
             Presence of cardiac pacemaker (or defibrillator) with a predominantly ventricular
             paced rhythm, limiting ECG/QTcF analysis. g) Abnormal cardiac valve morphology
             (>=Grade 2) documented by echocardiogram (subjects with grade 1 abnormalities [i.e.,
             mild regurgitation/stenosis] can be entered on study). Subjects with moderate valvular
             thickening should not be entered on study.

          -  Known immediate or delayed hypersensitivity reaction or idiosyncrasy to drugs
             chemically related to GSK2857916 or pembrolizumab, or any of the components of the
             study treatment.

          -  Pregnant or lactating female.

          -  Known active infection requiring antibiotic, antiviral, or antifungal treatment.

          -  Known Human Immunodeficiency Virus (HIV) infection.

          -  Presence of hepatitis B surface antigen (HBsAg), or hepatitis B core antibody (HBcAb)
             at screening or within 3 months prior to first dose of study treatment

          -  Positive hepatitis C antibody test result or positive hepatitis C Ribonucleic acid
             (RNA) test result at screening or within 3 months prior to first dose of study
             treatment.

          -  Has received a live-virus vaccination within 30 days of planned start of study
             therapy.

          -  Active autoimmune disease that has required systemic treatment in past 2 years (i.e.
             with use of disease modifying agents, corticosteroids or immunosuppressive drugs).
             Replacement therapy (eg, thyroxine, insulin, or physiologic corticosteroid replacement
             therapy for adrenal or pituitary insufficiency, etc.) is not considered a form of
             systemic treatment.

          -  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy
             (in dosing exceeding 10 mg daily of prednisone equivalent) or any other chronic form
             of immunosuppressive therapy within 7 days prior the first dose of study therapy.

          -  Has known psychiatric or substance abuse disorder that would interfere with the
             subject's ability to cooperate with the requirements of the study.

          -  Has had an allogenic tissue/solid organ transplant