Add incumbent callback for moment curve formulation

Author: joehuchette

src/jump.jl

@@ -23,6 +23,13 @@ function initPWL!(m::JuMP.Model)
                     moment_curve_branch_callback(m, d)
                 end
                 CPLEX.setbranchcallback!(m.internalModel, branchcallback)
+                function incumbentcallback(d::MathProgBase.MathProgCallbackData)
+                    state = MathProgBase.cbgetstate(d)
+                    @assert state == :MIPIncumbent
+                    m.colVal = copy(d.sol)
+                    moment_curve_incumbent_callback(m, d)
+                end
+                CPLEX.setincumbentcallback!(m.internalModel, incumbentcallback)
             end
             JuMP.solve(m; ignore_solve_hook=true, kwargs...)
         end)
@@ -249,6 +256,11 @@ function sos2_moment_curve_formulation!(m::JuMP.Model, λ)
 end
 
 function moment_curve_branch_callback(m, cb)
+    # if CPLEX was gonna branch anyway, just use their branching decision
+    if !isempty(cb.nodes)
+        unsafe_store!(cb.userinteraction_p, Cint(0))
+        return nothing
+    end
     xval = MathProgBase.cbgetlpsolution(cb)
     TOL = 1e-4
     branch_id = 0
@@ -262,14 +274,24 @@ function moment_curve_branch_callback(m, cb)
     end
     if branch_id > 0
         L, U = CPLEX.cbgetnodelb(cb), CPLEX.cbgetnodeub(cb)
-            l, u = L[branch_id], U[branch_id]
-            uᶠ, lᶜ = floor(xval[branch_id]), ceil(xval[branch_id])
+        l, u = L[branch_id], U[branch_id]
+        uᶠ, lᶜ = floor(xval[branch_id]), ceil(xval[branch_id])
+        CPLEX.addbranch(cb, JuMP.@LinearConstraint((uᶠ-l )*(y[2]-l ^2) ≤ (uᶠ^2-l ^2)*(y[1]-l )))
+        CPLEX.addbranch(cb, JuMP.@LinearConstraint((u -lᶜ)*(y[2]-lᶜ^2) ≤ (u ^2-lᶜ^2)*(y[1]-lᶜ)))
+    else
+        CPLEX.nobranches(cb)
+    end
+    nothing
+end
 
-            CPLEX.addbranch(cb, JuMP.@LinearConstraint((uᶠ-l )*(y[2]-l ^2) ≤ (uᶠ^2-l ^2)*(y[1]-l )))
-            CPLEX.addbranch(cb, JuMP.@LinearConstraint((u -lᶜ)*(y[2]-lᶜ^2) ≤ (u ^2-lᶜ^2)*(y[1]-lᶜ)))
-        else
-            CPLEX.nobranches(cb)
+function moment_curve_incumbent_callback(m, cb)
+    xval = MathProgBase.cbgetmipsolution(cb)
+    for i in m.ext[:PWL].branchvars
+        if !isapprox(xval[i]^2, xval[i+1], rtol=1e-4)
+            CPLEX.rejectincumbent(cb)
+            return nothing
         end
     end
-    nothing
+    CPLEX.acceptincumbent(cb)
+    return nothing
 end