I am trying to use gurobi with column generation and multiple objectives at the same time.
I have a main objective and I am using column generation on this objective: this means that I need to have access to dual variables (constraint.PI) in order to generate columns.
However, in the middle of the process, I want to add a second lower rank objective to get additional information and then either remove it or forget about it.
The problem is that you cannot have access to dual variables in a multiple objective context (according to the errors I received) which I think is totally normal.
But I can't remove my second objective to return to a mono-objective context.
Does anyone knows how to solve this problem?
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