Originally posted by: HugoBraga

Hi,

I'm trying to solve a linear programming whose variables are continuous. Some constraints are added through the lazy constraint callback. When I try to solve the problem, none of the lazy constraints are added (actually, none of the callbacks are called) and the returned objective value is zero. When I restrict the variables to be integer, the lazy constraints are correctly added and I got the right objective value. 

Regards,

Hugo Braga.

This is by design.  Lazy constraint callbacks are control callbacks and are used to "control the branch & cut search during the optimization of MIP problems."

Originally posted by: EhsanN

Lazy cut callbacks are invoked only if you solve a MIP, not a LP. The workaround is to add a dummy integer variable to the model.

If you want to add lazy constraints to an LP (typically because there are a large number of them, and you expect most will not be binding), you can do so at the time you build the model, without using a callback. In the Java API, the methods you want are IloCplex.addLazyConstraint() and IloCplex.addLazyConstraints().

Originally posted by: HugoBraga

Hi,
first of all thank you guys. I added the dummy integer variable, and now the callback is being called. The lazy constraint callback was called only two times before the solver finishes with no solution available, although there are other lazy constraints to be added. Besides, although the solver finishes without solution, there are solutions that respect constraints added both after the first and the second lazy constraint call. Do you have any idea what is the problem?

Regards,

Hugo.