GAMS World Forum

I was wondering if there is a way to add a heuristic to CPLEX Bender's decomposition under GAMS and how to do it?
I am using CPLEX Bender's decomposition: https://www.gams.com/latest/docs/S_CPLE ... rsstrategy
Also, can BCH facility work with Bender's decomposition under CPLEX , BCH facility: https://www.gams.com/latest/docs/UG_Sol ... CHFacility?
Or is there any way to accelerate CPLEX Bender's decomposition?
Any help would be appreciated!

BCH works for Cplex' branch-and-cut, not for Benders. Moreover, Cplex does not provide callbacks to add user cuts or post heuristic solution as stated here https://www.ibm.com/developerworks/comm ... 67fe9028e6. It is not so difficult to build your own Benders algorithm in GAMS. If your additions will make a big difference then the overhead you get by implementing this in GAMS will be tolerable. Erwin Kalvelagen http://yetanothermathprogrammingconsult ... gspot.com/ has a paper on how to implement Benders for MIP in GAMS: http://amsterdamoptimization.com/pdf/benders.pdf.

-Michael