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Sometimes a solver option file is not found by GAMS because the file extension is wrong, even if it appears the extension is .opt. The solver option file must be a text file and must have the .opt extension. When saving text files under Windows certain programs may in fact add a .txt extension to the options file so that the option file is (solver).opt.txt instead of (solver).txt.
To check if you really have an option file with .opt extension,
open up a command line window and move to the appropriate directory.
» dir, which will list the full file name with the full extension. If the
option file does have the .opt.txt extension, move the file so
that it has the correct extension:
» move (solver).opt.txt (solver).opt
You should now have a correct solver option file extension. To avoid this you can list complete file name extensions for all files so that you can immediately tell if a file has an improper extension. Go to Settings > Control Panel > Folder Options. Click on the View tab. Make sure the 'Hide file extensions for known file types' is not selected.
Current versions of the GAMS IDE include an Option editor: Utilities → Option Editor