Dear all,

I aim to use CPLEX to solve an optimization problem where the objective value is the maximum difference of two other objective values.

Is it possible to model and solve such problem? In more detail, I have a linear optimization of the following form:

P:

max obj

subject to some constraints.

and I have two copies P1, P2 of the same problem.

and I want to solve the following problem.

max (max obj1 - max obj2)

subject to :

set of constraints subject to P1

set of constraints subject to P2

some constraints to link between P1, P2

Is is possible to model this problem as another linear programming problem? or Is it possible to model and solve it as a multi-objective LP problem that can be solved with the current version of CPLEX.

Thanks,

M.

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Minh Vu

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