In Gurobi and JuMP 0.21, it is well documented here on how you would access a variable with a callback:
using JuMP, Gurobi, Test
model = direct_model(Gurobi.Optimizer())
@variable(model, 0 <= x <= 2.5, Int)
@variable(model, 0 <= y <= 2.5, Int)
@objective(model, Max, y)
cb_calls = Cint[]
function my_callback_function(cb_data, cb_where::Cint)
# You can reference variables outside the function as normal
push!(cb_calls, cb_where)
# You can select where the callback is run
if cb_where != GRB_CB_MIPSOL && cb_where != GRB_CB_MIPNODE
return
end
# You can query a callback attribute using GRBcbget
if cb_where == GRB_CB_MIPNODE
resultP = Ref{Cint}()
GRBcbget(cb_data, cb_where, GRB_CB_MIPNODE_STATUS, resultP)
if resultP[] != GRB_OPTIMAL
return # Solution is something other than optimal.
end
end
# Before querying `callback_value`, you must call:
Gurobi.load_callback_variable_primal(cb_data, cb_where)
x_val = callback_value(cb_data, x)
y_val = callback_value(cb_data, y)
# You can submit solver-independent MathOptInterface attributes such as
# lazy constraints, user-cuts, and heuristic solutions.
if y_val - x_val > 1 + 1e-6
con = @build_constraint(y - x <= 1)
MOI.submit(model, MOI.LazyConstraint(cb_data), con)
elseif y_val + x_val > 3 + 1e-6
con = @build_constraint(y + x <= 3)
MOI.submit(model, MOI.LazyConstraint(cb_data), con)
end
if rand() < 0.1
# You can terminate the callback as follows:
GRBterminate(backend(model))
end
return
end
# You _must_ set this parameter if using lazy constraints.
MOI.set(model, MOI.RawParameter("LazyConstraints"), 1)
MOI.set(model, Gurobi.CallbackFunction(), my_callback_function)
optimize!(model)
@test termination_status(model) == MOI.OPTIMAL
@test primal_status(model) == MOI.FEASIBLE_POINT
@test value(x) == 1
@test value(y) == 2
i.e., you would use x_val = callback_value(cb_data, x). However, how should you do when you have an array of variables with specific indexes not starting at 1, i.e. my variables are not in a vector but declared thanks to:
@variable(m, x[i=1:n, j=i+1:n], Bin)
Should I access x with double for loops on its two dimensions and call multiple times callback_value? If so, the indexes for j will not be the same, won't they?
