Hierarchical (or lexicographic) multi-objective linear programming is when you have more than one linear objective, and you optimize them in order.
Gurobi's documentation states that it supports this.
How can I do this in Julia, using any of the packages for linear programming (Gurobi.jl, MathProgBase, JuMP, etc.)? Do any of them offer a way to do this?
From the documentation I think that JuMP does not support hierarchical multi-objective linear programming.... Will it be supported in the near future?