Per scipy.optimize.linprog documentation:

Callback functions are not currently supported by the HiGHS methods.

This is not good for my use case, where the final “attemped” solution is valuable even if the problem itself is infeasible.

For now I can resort to one of the legacy methods (“simplex”, “revised simplex”, “interior-point”) to get the final attempted output. Problem is the legacy ones will soon be deprecated.

Does anyone know if there is any plan to add the callback functionality for the “HiGHS” method, or is it that this method in theory doesn’t have an “interim” stage at all?