The problem is solved through column generation, and the subproblem is an MILP. I think that it is a better idea not to solve this MILP until 0.01% mipgap is observed at every iteration. Hence, I wrote a callback for Gurobi to terminate solving this MILP at several different levels of mipgap depending on the reduced costs.
I also want to add in the same callback to terminate solving MILP if the best incumbent solution is not changed, say, for the last 50 iterations, but this didnt work.
Has anybody observed a similar problem? If yes, how can it be solved?
Please sign in to leave a comment.