I found that CPLEX 12.9 or later versions allow us to build a model with multiple objectives (not summing up the objectives by giving weights) and wanted to export the model to an LP file of CPLEX multi-objective form. However, I couldn’t find a way to add extra objectives in the JuMP environment.
Is there a way to do this? Or is this function in progress?
Thanks for your comments!
JuMP doesn’t support multi objective optimization.
There’s an open issue for it: https://github.com/jump-dev/JuMP.jl/issues/2099
Alright, thanks for your prompt answer!