support for lazy constraint modeling

[kaarthiksundar]

Does StructJuMP support modeling lazy or user cuts for the parent problem?

[blegat]

Could you be more specific ?

[kaarthiksundar]

More specifically, can we do this using StructJuMP?

using StructJuMP

numScen = 2
m = StructuredModel(num_scenarios=numScen)
@variable(m, x[1:2])
@constraint(m, x[1] + x[2] <= 100)
@objective(m, Min, x[1] + x[2])
addcutcallback(m, usercutgenerator)
addlazycallback(m, lazycutgenerator)

for i in 1:numScen
    bl = StructuredModel(parent=m, id=i)
    @variable(bl, y[1:2])
    @constraint(bl, x[1] + y[1] + y[2] ≥  0)
    @constraint(bl, x[2] + y[1] + y[2] ≤ 50)
    @objective(bl, Min, y[1] + y[2] + y[1])
end

[kibaekkim]

@kaarthiksundar I believe you could use those functions in StructJuMP model. But, the question would be whether there is a solver to handle the callback functions. Please mind that StructJuMP is a modeling package, not a solver. This is same in JuMP, where you can use the callback functions. But, only a few solvers can address the functions.

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