Multiobjective Optimization Support

[erdembanak]

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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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