👔 Hierarchical Optimization with HiGHS
In the last post, we used Gurobi’s hierarchical optimization features to compute the Pareto front for primary and secondary objectives in an assignment problem. This relied on Gurobi’s setObjectiveN method and its internal code for managing hierarchical problems. Some practitioners may need to do this without access to a commercial license. This post adapts the previous example to use HiGHS and its native Python interface, highspy. It’s also useful to see what the procedure is in order to understand it better. This isn’t exactly what I’d call hard, but it is easy to mess up.1 ...