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The current debate about a possible change of paradigm from a single universe to a multiverse scenario could have deep implications on our view of cosmology and of science in general. These implications therefore deserve to be analyzed from a fundamental conceptual level. We briefly review the different multiverse ideas, both historically and within contemporary physics. We then discuss several positions within philosophy of science with regard to scientific progress, and apply these to the multiverse debate. Finally, we construct some key concepts for a physical multiverse scenario and discuss the challenges this scenario has to deal with in order to provide a solid, testable theory.