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I would like to know if there is any way to implement a Lazy constraint in the Pyomo package. (As far as I know, the only way to implement such a constraint is by using the Gurobi solver as described here). Now, I am interested in using Lazy constraints, if possible, in the presence of other open-source solvers like HIGHS or SCIP.

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So far, in my experience on lazy constraints only commerical solver support lazy constraints features like CPLEX and GUROBI. I don't think any open source solvers support this.

And writing lazy constraints in pyomo will be tricky in my opinion, you have to write wrapper to call solver methods will be one solution or modifying pyomo library.

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  • $\begingroup$ Thanks for your answer. As far as I know, SCIP has fundamental callbacks to control how a constraint can be added into the model that is very similar to the lazy one. Regarding HIGHS, I am unsure. $\endgroup$
    – A.Omidi
    Commented May 25 at 11:32

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