Large language models (LLMs) have emerged as powerful techniques for various NLP tasks, such as mathematical reasoning and plan generation. In this paper, we study automatic modeling and programming for complex operation research (OR) problems, so as to alleviate the heavy dependence on domain experts and benefit a spectrum of industry sectors. We present the first LLM-based solution, namely Chain-of-Experts (CoE), a novel multi-agent cooperative framework to enhance reasoning capabilities. Specifically, each agent is assigned a specific role and endowed with domain knowledge related to OR. We also introduce a conductor to orchestrate these agents via forward thought construction and backward reflection mechanism. Furthermore, we release a benchmark dataset (ComplexOR) of complex OR problems to facilitate OR research and community development. Experimental results show that CoE significantly outperforms the state-of-the-art LLM-based approaches both on LPWP and ComplexOR.