After running a model for a long time I see:
4137 1636 cutoff 512716.0000 514293.0971 903786 0.31%
Gomory fractional cuts applied: 7
Fixing integer variables, and solving final LP...
OK, no problem, just give me the best solution you found so far… But the GAMS listing file says:
**** SOLVER STATUS 4 Terminated By Solver
That is of course very bad.
This is probably more a problem with the GAMS link than with Cplex per se. The link should not run the final LP in case the MIP was running out of memory. This final LP is just there to calculate duals which are in most cases not used anyway. Without running the final LP indeed the best solution will be returned if Cplex runs out of memory.
Another issue with this final LP is discussed here: http://yetanothermathprogrammingconsultant.blogspot.com/2010/04/gamscplex-final-solve-can-be-expensive.html.