Heuristic Solution Generation in CPLEXAt every node, CPLEX gives you the opportunity to attempt to convert a fractional solution into an integer solution with the HeuristicCallback . In addition, CPLEX periodically uses its own heuristics, as described in the manual, to convert fractional solutions to heuristic ones. If you use a HeuristicCallback , the diagram below shows were it will be called. Gliffy Diagram |
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size | L |
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name | heuristicCallbackCplex |
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align | left |
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version | 2 |
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Interestingly, the Heuristic callback can be called multiple times at a node, once for each round of cuts added. If your heuristic is computationally expensive, be sure to keep this in mind. Warning |
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| Observe that any solution generated by a HeuristicCallback will not be checked against the lazy constraints. The programmer is responsible for ensuring feasibility. |
Implementing HeuristicCallback in CPLEX |