I'm solving a mixed-integer semidefinite programming (SDP) problem using lazy constraints in the callback for the SDP constraint. That is, when Gurobi found a feasible solution, I add a lazy constraint that cut off the solution if the matrix composed this feasible solution is not positive semidefinite (PSD). However, when I check the optimal solution, the matrix composed is not PSD. It seems that lazy constraints are not active.
Please sign in to leave a comment.