Hi.
We are developping vOptSolver (https://github.com/vOptSolver), and methods for the lexicographic optimization (for 2 and 3 linear objectives) will be available soon (we are testing and documenting the code now) with vOptGeneric (GitHub - vOptSolver/vOptGeneric.jl: Solver of multiobjective linear optimization problems (MOMIP, MOLP, MOIP, MOCO): generic part).
- modeling: JuMP has been extended to deal with multiple linear objectives
- solving: your favorite MILP solver callable by JuMP (it will be tested with GLPK and CPLEX)
Xavier