Benders Cuts in Branch and Bound Tree

Hello,

I am solving a two stage stochastic model in which the first stage has integer variables. I am using the Benders cuts and adding them to the MIP nodes of the branch and bound tree.

This is the callback code I am using. Function GetPIs get the MIPSOL and returns the vector E and scalar e to generate the benders cuts, and callback adds the cut by cbCut().

The issue is that the callback does not work. I mean, I have put a print in the callback to see the value of generated E and e, but they never show up in the log. Did I write the callback code correctly?

Thank you in advance for the help.

Farzane

def GetPIs(X_values):
    PIs = {}
    for scen in SP:
        vars = SP[scen].getVars()
        for x in Xkeys:
            vars[x].UB = X_values[x]
            vars[x].LB = X_values[x]
        SP[scen].update()
        SP[scen].optimize()

        if SP[scen].status == 2:
            constrs = SP[scen].getConstrs()
            PIs[scen] = {c: constrs[c].Pi for c in range(len(constrs))}

    pir = {scen: Probs[scen] * sum(PIs[scen][row] * rVectors[scen][row] for row in rVectors[scen].keys())
        for scen in Probs.keys()}
    e = sum(pir.values())
    E = {scen: {x: 0 for x in Xkeys} for scen in Probs.keys()}
    for scen in Probs.keys():
        for key in TMatrices[scen].keys():
            #print(key)
            E[scen][key[1]] += PIs[scen][key[0]] * TMatrices[scen][key]
    E = {x: sum(E[scen][x] * Probs[scen] for scen in Probs.keys()) for x in Xkeys}
    return E, e  


def mycallback(model, where): 
    if where == gp.GRB.Callback.MIPSOL:
        X = model.cbGetNodeRel(model._vars)
        # Get solutions in subproblems, calculate e and E
        E, e = GetPIs(X)
        print(E, e)
        # Add a cut based on the solution # For example, adding a simple cut: 
        model.cbCut(model._vars[-1] + sum(model._vars[x] * E[x] for x in Xkeys) >= e)

        
master = gp.read('Models/Master.mps', env=env)
master._vars = master.getVars()
master.optimize(mycallback)

Benders Cuts in Branch and Bound Tree

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