How to add var during search?

[marcovc]

Hi!

I'm trying to add variables during search using a Gurobi persistent model. Here's a simplified example:

...
m.lazy_constraints = ConstraintList()
m.lazy_variables = VarList(domain=Binary)
solver = SolverFactory('gurobi_persistent')
solver.set_instance(m)

from gurobipy import GRB
def callback(cb_m, cb_opt, cb_where):
    if cb_where == GRB.Callback.MIPSOL:
        b = m.lazy_variables.add()
        cb_opt.add_var(b)
        ctr = m.lazy_constraints.add(b == 1)
        cb_opt.cbLazy(ctr)

solver.set_callback(intsol_callback)
results = solver.solve(tee=True)

This is failing with gurobipy.GurobiError: Variable not in model referring to my lazy variable. Do I need to call some function to make it aware of the just added variable?

Thanks Marco

[michaelbynum]

@marcovc I suggest checking Gurobi's documentation to see how column generation is supported in Gurobi.

[marcovc]

Thanks. I can achieve what I am after in gurobi with code very similar to the above. The only difference (other than syntax) is that I have to call model.update() between adding lazy vars and constraints. But I couldn't find the counterpart to that method in pyomo. Is there one?

[marcovc]

There is this method https://github.com/Pyomo/pyomo/blob/41e4b3afb23ffaa77b64a4459bdd3e3f77a481d6/pyomo/solvers/plugins/solvers/gurobi_direct.py#L836 which seems to do what I need. But since it is private, I suppose I shouldn't be calling it explicitely. Right?

[marcovc]

Calling it explicitely cause the program to segfault on the cbLazy() function call.

[marcovc]

It seems adding variables from a callback is not possible with gurobi. I believe I did it in the past, it must have been with cplex...

Thanks!

[mrmundt]

Hello, @marcovc. The GitHub Issues are intended for bug reports and enhancement/feature requests. For help or use questions, we refer you to review our documentation for ways to get help. If this is still an issue for you, please post your question on one of the preferred forums and we can engage with you there.