Adding lazy cuts using callback in LP

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  • Jaromił Najman

    Hi,

    Adding lazy cuts during the solution of a linear program does not make sense, because there are no intermediate solutions to be cut off. There is no B&B tree present and no subproblems have to be solved. For linear programs the procedure you describe should be:

    1. Solve LP to optimality
    2. Get optimal solution and analyze it
    3. Add new cut to LP and re-optimize

    This has the advantage that Gurobi can re-use information from a previous solve and warm-start subsequent optimization processes improving the performance.

    Best regards,
    Jaromił

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  • Yingqiu Zhang

    Hi,

    Thanks for the answer! As for the aforementioned procedure, can I still use the callback feature? Or I can only reoptimize it and add cut iteratively?

     

    Best,

    Yingqiu

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  • Jaromił Najman

    Hi Yingqiu

    Please excuse the late response.

    Lazy and user cuts are not available for LPs. Thus you have to re-optimize and add cuts iteratively when working with LPs.

    Best regards,
    Jaromił

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