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What is the correct "where" for a callback to add a cutting plane to a linear programme?

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  • Official comment
    Simranjit Kaur
    Gurobi Staff Gurobi Staff
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  • Jaromił Najman
    Gurobi Staff Gurobi Staff

    Hi Alberto,

    Is there a way to implement a cutting plane algorithm for an LP (not MIP) using callbacks?

    No, because it is only possible to add cuts in a \(\texttt{MIPSOL}\) or a \(\texttt{MIPNODE}\) callback, which both are MIP callback codes.

    However, you could introduce a dummy integer variable which you add to your objective function with a correct sign depending on whether you are minimizing or maximizing your objective function. This way, you would still be able to add cuts whenever a solution is found.

    Best regards,
    Jaromił

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  • Alberto Santini
    Gurobi-versary
    Curious
    Conversationalist

    Thanks for your answer, Jaromił, neat trick.

    Best,

    AS

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