FisSal2011: Large LP: Add cuts in small batches

src/Cuts/tableau/gmi_dual.jl

@@ -608,7 +608,7 @@ function collect_gmi_FisSal2011(
                     end
 
                     @timeit "Computing cut violations" begin
-                        violations = (pool.lb' - (sol_frac' * pool.lhs))'
+                        violations = pool.lb - pool.lhs' * sol_frac
                     end
 
                     @timeit "Sorting cut violations" begin
@@ -619,23 +619,29 @@ function collect_gmi_FisSal2011(
                         break
                     end
 
-                    @timeit "Add constraint to the model" begin
+                    @timeit "Add constraints to the model" begin
-                        push!(selected_idx, σ[1])
+                        ncuts = min(max(1, sum(violations .> 1e-6) ÷ 10), length(σ))
-                        cut_lhs = pool.lhs[:, σ[1]]
+                        for i in 1:ncuts
-                        cut_lhs_value = 0.0
+                            if violations[σ[i]] <= 1e-6
-                        cut_lb = pool.lb[σ[1]]
+                                break
-                        cut_expr = AffExpr()
+                            end
-                        for offset in 1:nnz(cut_lhs)
+                            cut_lhs = pool.lhs[:, σ[i]]
-                            var_idx = cut_lhs.nzind[offset]
+                            cut_lhs_value = 0.0
-                            add_to_expression!(
+                            cut_lb = pool.lb[σ[i]]
-                                cut_expr,
+                            cut_expr = AffExpr()
-                                vars_s[var_idx],
+                            for offset in 1:nnz(cut_lhs)
-                                cut_lhs.nzval[offset],
+                                var_idx = cut_lhs.nzind[offset]
-                            )
+                                add_to_expression!(
-                            cut_lhs_value += sol_frac[var_idx] * cut_lhs.nzval[offset]
+                                    cut_expr,
+                                    vars_s[var_idx],
+                                    cut_lhs.nzval[offset],
+                                )
+                                cut_lhs_value += sol_frac[var_idx] * cut_lhs.nzval[offset]
+                            end
+                            cut_constr = @constraint(model_s, cut_expr >= cut_lb)
+                            push!(selected_idx, σ[i])
+                            push!(selected_contrs, cut_constr)
                         end
-                        cut_constr = @constraint(model_s, cut_expr >= cut_lb)
-                        push!(selected_contrs, cut_constr)
                     end
                 end