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Callbacks for linear programming solvers #911

@mckib2

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@mckib2

SciPy is now using the HiGHS solvers by default and planning to deprecate its legacy simplex and interior point solvers. A feature of the old solvers that would be missed is the ability to run a user-provided callback each iteration to inspect the current solution. Is it currently possible or might it be possible to provide such a callback function to the HiGHS solvers?

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