Callback support for HiGHS

[rlloretb]

Following our previous discussion on HiGHS repo, can callback be supported for HiGHs as well? I can help with testing.

[metab0t]

Yes. I read the documentation of HiGHS callback recently. If I understand correctly, the capability of HiGHS callback is quite limited, we can only query some information or interrupt optimization.

Can you tell me more about your usage of callback of HiGHS and expectation of the functionality?

[rlloretb]

My interest is in adding user cuts at the root node to tighten the relaxation. I am asking HiGHs devs if it is actually implemented. It is not clear from the documentation if cuts are possible with the current callback entry points.

[metab0t]

It seems that user cut and lazy constraint haven't been implemented in HiGHS currently.

I will leave this issue open and get back to this once HiGHS implements these features.

[rlloretb]

Great. I asked them and the devs put it as feature request.

https://github.com/ERGO-Code/HiGHS/issues/1837

[staadecker]

Fyi, I've gotten a similar request for Gurobi from my team.

[metab0t]

Fyi, I've gotten a similar request for Gurobi from my team.

https://metab0t.github.io/PyOptInterface/callback.html

Callback is supported for Gurobi