Dear folks,
it seems that CPLEX sometimes does not respect all lazy cuts in the final solution. I know that there is no guarantee that it respects submitted cuts immediately, but it should do in the final solution afaik. Unfortunately, I am not able to produce an MWE for what I observe:
I try to solve an ILP in which I add computationally expensive lazy cuts in a solver-specific callback. Thus, I want to avoid generating an already known cut for a candidate solution. In the callback I do something like:
if cut_already_submitted_for_current_candidate_solution
return #"early-exit"
end
construct_and_submit_cut()
return
because CPLEX frequently suggests one-and-the-same candidate solution. Thus, without the “early-exit” in the if-statement, one-and-the-same cut might be generated and submitted more than once, in which case the solutions are always correct. However, with the “early-exit”, sometimes seemingly not all cuts are respected in the final solution - for some reason I do not know.
As a workaround, I created a copy of my initial model and pass it to my callback function. Whenever I submit a LazyConstraint() to the initial model, I also add it as @constraint() to the copied model. Finally, after solving the branch-and-cut (with “early-exit”) for the initial model, I solve the (compact) copied model and obtain the expected solution.
Note: in case the objective value of my initial model is wrong, it is always lower than it should be (because I solve a minimization problem whose objective value is pushed up by the lazy constraints).
Further note: I also tried to set the option CPX_USECUT_FORCE which did not help.
I tried different versions CPLEX 12.10 - 22.1. Moreover, I use JuMP v1.9.0, CPLEX.jl v0.9.7, MathOptInterface v1.13.1, and Julia 1.8.5.
Do you have any ideas why this strange behavior appears sometimes? Many thanks in advance.