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Heuristic Solution Generation in CPLEX
At every node, CPLEX gives you the opportunity to attempt to convert a fractional solution into an integer solution with the HeuristicCallback. In addition, CPLEX periodically uses its own heuristics, as described in the manual, to convert fractional solutions to heuristic ones. If you use a HeuristicCallback, the diagram below shows were it will be called.
Interestingly, the Heuristic callback can be called multiple times at a node, once for each round of cuts added. If your heuristic is computationally expensive, be sure to keep this in mind.
Warning
Observe that any solution generated by a HeuristicCallback will not be checked against the lazy constraints. The programmer is responsible for ensuring feasibility.