DiffOpt.jl

DiffOpt.jl is a package for differentiating convex optimization programs with respect to the program parameters. DiffOpt currently supports linear, quadratic, and conic programs.

License

DiffOpt.jl is licensed under the MIT License.

Installation

Install DiffOpt using Pkg.add:

import Pkg
Pkg.add("DiffOpt")

Documentation

The documentation for DiffOpt.jl includes a detailed description of the theory behind the package, along with examples, tutorials, and an API reference.

Use with JuMP

DiffOpt-JuMP API with Parameters

Here is an example with a Parametric Linear Program:

using JuMP, DiffOpt, HiGHS

model = DiffOpt.quadratic_diff_model(HiGHS.Optimizer)
set_silent(model)

p_val = 4.0
pc_val = 2.0
@variable(model, x)
@variable(model, p in Parameter(p_val))
@variable(model, pc in Parameter(pc_val))
@constraint(model, cons, pc * x >= 3 * p)
@objective(model, Min, 2x)
optimize!(model)
@show value(x) == 3 * p_val / pc_val

# the function is
# x(p, pc) = 3p / pc
# hence,
# dx/dp = 3 / pc
# dx/dpc = -3p / pc^2

# First, try forward mode AD

# differentiate w.r.t. p
direction_p = 3.0
DiffOpt.set_forward_parameter(model, p, direction_p)
DiffOpt.forward_differentiate!(model)
@show DiffOpt.get_forward_variable(model, x) == direction_p * 3 / pc_val

# update p and pc
p_val = 2.0
pc_val = 6.0
set_parameter_value(p, p_val)
set_parameter_value(pc, pc_val)
# re-optimize
optimize!(model)
# check solution
@show value(x) ≈ 3 * p_val / pc_val

# stop differentiating with respect to p
DiffOpt.empty_input_sensitivities!(model)
# differentiate w.r.t. pc
direction_pc = 10.0
DiffOpt.set_forward_parameter(model, pc, direction_pc)
DiffOpt.forward_differentiate!(model)
@show abs(DiffOpt.get_forward_variable(model, x) -
    -direction_pc * 3 * p_val / pc_val^2) < 1e-5

# always a good practice to clear previously set sensitivities
DiffOpt.empty_input_sensitivities!(model)
# Now, reverse model AD
direction_x = 10.0
DiffOpt.set_reverse_variable(model, x, direction_x)
DiffOpt.reverse_differentiate!(model)
@show DiffOpt.get_reverse_parameter(model, p) == direction_x * 3 / pc_val
@show DiffOpt.get_reverse_parameter(model, pc) == -direction_x * 3 * p_val / pc_val^2

Available models:

• DiffOpt.quadratic_diff_model: Quadratic Programs (QP) and Linear Programs (LP)
• DiffOpt.conic_diff_model: Conic Programs (CP) and Linear Programs (LP)
• DiffOpt.nonlinear_diff_model: Nonlinear Programs (NLP), Quadratic Program (QP) and Linear Programs (LP)
• DiffOpt.diff_model: Nonlinear Programs (NLP), Conic Programs (CP), Quadratic Programs (QP) and Linear Programs (LP)

Citing DiffOpt.jl

If you find DiffOpt.jl useful in your work, we kindly request that you cite the following paper:

@article{besancon2023diffopt,
    title={Flexible Differentiable Optimization via Model Transformations},
    author={Besançon, Mathieu and Dias Garcia, Joaquim and Legat, Beno{\^\i}t and Sharma, Akshay},
    journal={INFORMS Journal on Computing},
    year={2023},
    volume={36},
    number={2},
    pages={456--478},
    doi={10.1287/ijoc.2022.0283},
    publisher={INFORMS}
}

A preprint of this paper is freely available.

GSOC2020

DiffOpt began as a NumFOCUS sponsored Google Summer of Code (2020) project