Adding lazy cuts using callback in LP

Answered

Yingqiu Zhang

• April 29, 2021 05:28

Is it possible to add lazy cuts using callback feature in a linear program? I am currently solving a stochastic linear program using Benders decomposition. But I observed that Gurobi can only retrieve solutions for MIP. Is it possible to retrieve the current solution of an LP when an optimal solution is found?

Thanks!

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  Jaromił Najman

  Gurobi Staff

  • April 29, 2021 07:33

  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

  • April 29, 2021 18:56

  

  

  

  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

  Gurobi Staff

  • May 19, 2021 13:07
  • Edited

  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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