jump-dev / jump-dev/DiffOpt.jl

Differentiation of conic programs with nonlinear parametric expressions

Open
#331 1 comment 0 reactions 0 assignees View on GitHub
Dominant language
Julia
Stars
145
Forks
21
PR merge metrics
No merged PRs in 30d

Description

DiffOpt does not support differentiating a conic program if the problem's data depends nonlinearly from the parameters (e.g. if `A(theta) x <= b(theta)` with `A(.)` and `b(.)` given by nonlinear expressions).

Here is a simple MWE:
```julia
using JuMP
using Clarabel
using DiffOpt

model = DiffOpt.diff_model(Clarabel.Optimizer)
@variable(model, x >= 0)
@variable(model, θ ∈ MOI.Parameter(1.0))
@objective(model, Min, x)
@constraint(model, sin(θ) * x >= 1.0)
JuMP.optimize!(model)

```

If we replace Clarabel by Ipopt, the code works like a charm. But Clarabel works much better than Ipopt if the problem is conic.

We can use the chain-rule to differentiate the problem w.r.t. `A` instead of `theta`. However, I think it would be more intuitive to support nonlinear expressions depending on the parameters in DiffOpt. What do you think?

Contributor guide

No contributing guide indexed for this repository

Assessment

This issue has not been assessed yet.

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.