> Can I use lazy constraints in my GAMS model?
Sorry, the answer is “no”. Lazy constraints are supported by the Cplex and Gurobi solvers. Other modeling systems (AMPL, AIMMS) support lazy constraints, but GAMS does not. There have been some attempts to implement this in GAMS but they were not useable in practice (using scalar models as intermediary). This was more for testing I think.
Here is a discussion on lazy constraints: http://orinanobworld.blogspot.com/2012/08/user-cuts-versus-lazy-constraints.html