Originally posted by: SystemAdmin

Hi,
In my cut callback for a MIP that I solve, I access the decision variables through CPXgetcallbacknodex. I then have to cycle through all the variables (even when presolve is turned on) to find which ones have nonzero values. I do not find a function in the callable library reference which enables one to grab only the columns that have nonzero value, so I was wondering if anyone knew of some trick or efficient way to grab only the non-zero variables. I work with n^2 decision variables and typically between only n and 3n of them are nonzero so there's quite a waste in continually cycling through to grab the nonzeros.

Thanks for any recommendations.
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: SystemAdmin

If you are using simplex for your LP relaxations, and if the number of variables is larger than the number of constraints, then it could be useful to query the LP basis with a call to CPXgetbhead(). This will give you the array of basic variables, which is of size 'rows'. Each non-negative entry in this array corresponds to a structural variable (in contrast to negative entries, which correspond to slack variables of rows). Of course, you still have to check the x value of these basic variables because it can be integral even if the variable is basic. But this allows you to skip over all non-basic variables for which you know the value is integral.
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: SystemAdmin

Thank you - excellent recommendation and I will give it a try. Anything like this should be an improvement over my current method.
#CPLEXOptimizers
#DecisionOptimization