Cut generation not working lazy constraints - lagrangian relaxation

[odow]

This is one reason that JuMP 0.19 will no longer support solver-independent callbacks – they aren’t solver independent. See:

Cutting plane algorithm performance varies with Gurobi and CPLEX

Callbacks are tied in very deeply to how a MIP solver works, and they’re just not the same across solvers. (This took some experience to discover.) In JuMP 0.19 we will no longer be providing solver-independent callbacks for this reason; they create a false expectation that you can abstract away the solver when you implement the callbacks. The replacement will be solver-specific callbacks that expose the same interface as the low-level API.