Multiobjective Optimization Support
erdembanak opened this issue · comments
In Gurobi and CPLEX, it is possible to use multiple objectives: https://www.gurobi.com/documentation/current/refman/multiple_objectives.html
They extend LP format and do it similarly:
https://www.ibm.com/docs/en/icos/22.1.1?topic=representation-multiobjective-optimization-in-lp-file-format
https://www.gurobi.com/documentation/current/refman/lp_format.html#format:LP
Gurobi also extends MPS:
https://www.gurobi.com/documentation/current/refman/mps_format.html#format:MPS
A good starting point would be supporting writing LP (and MPS maybe) based on the format used by CPLEX and Gurobi.
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