I am currently working on solving an ILP model using a branch and bound method which will be implemented by Matlab and in each node I need to determine an upper bound using Lagrangian relaxation method so I need to solve the dual problem using Cplex and the iterative procedure(to update multipliers) will be also implemented by Matlab.
I will be grateful if anyone had experience integrating Cplex with Matlab in a similar way, could help me?