Re: [Help-glpk] LP problem with variable coeffcients (parametric LPsimplex)

[Andrew Makhorin]

> Suppose that my cost function depends on a SOS with 4 variables, i.e.
> 4 regions where I decide to linearise my cost function. When I say
> cost function I mean a function describing total cost of production if
> production falls into that region, not unitary cost of production as I
> meant in my original post.

You may look at the following note:
http://winglpk.sourceforge.net/media/glpk-sos2_02.pdf
which explains how to model non-convex piecewise linear functions and
sos2 constraints with binary variables.