That would not help me because I need to have references for my generated constraints and variables, and I can of course not use a new name at each iteration of my algorithm.
I think I can handle my specific algorithm by increasing the dimension of the “constraint array” on demand using the trick mentioned here. However, there does not seem to be a similar way to increase the size of the “variables array” dynamically. While I don’t need it for my current application, this seems to be a severe limitation of JuMP when compared to solvers classical APIs.