Hi Shimrit,
Please take a look at this page:
http://www.gurobi.com/documentation/6.5/refman/py_model_cblazy.html
This is the Python documentation of our lazy constraints and it should give an idea of what needs to be done, when working with lazy constraints.
I guess the important part is this sentence here: "Your callback should be prepared to cut off solutions that violate any of your lazy constraints, including those that have already been added. Node solutions will usually respect previously added lazy constraints, but not always."
Are you adding the lazy constraints every time they are violated? This can sometimes mean that you have to add one lazy constraint more than once.
Best regards,
Sonja
----
Dr. Sonja Mars
Gurobi Optimization - Technical Support