Reference

DiffOpt.AbstractLazyScalarFunctionType
abstract type AbstractLazyScalarFunction <: MOI.AbstractScalarFunction end

Subtype of MOI.AbstractScalarFunction that is not a standard MOI scalar function but can be converted to one using standard_form.

The function can also be inspected lazily using JuMP.coefficient or quad_sym_half.

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DiffOpt.ForwardConstraintFunctionType
ForwardConstraintFunction <: MOI.AbstractConstraintAttribute

A MOI.AbstractConstraintAttribute to set input data to forward differentiation, that is, problem input data.

For instance, if the scalar constraint of index ci contains θ * (x + 2y) <= 5θ, for the purpose of computing the derivative with respect to θ, the following should be set:

MOI.set(model, DiffOpt.ForwardConstraintFunction(), ci, 1.0 * x + 2.0 * y - 5.0)

Note that we use -5 as the ForwardConstraintFunction sets the tangent of the ConstraintFunction so we consider the expression θ * (x + 2y - 5).

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DiffOpt.ForwardObjectiveFunctionType
ForwardObjectiveFunction <: MOI.AbstractModelAttribute

A MOI.AbstractModelAttribute to set input data to forward differentiation, that is, problem input data. The possible values are any MOI.AbstractScalarFunction. A MOI.ScalarQuadraticFunction can only be used in linearly constrained quadratic models.

For instance, if the objective contains θ * (x + 2y), for the purpose of computing the derivative with respect to θ, the following should be set:

MOI.set(model, DiffOpt.ForwardObjectiveFunction(), 1.0 * x + 2.0 * y)

where x and y are the relevant MOI.VariableIndex.

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DiffOpt.ForwardVariablePrimalType
ForwardVariablePrimal <: MOI.AbstractVariableAttribute

A MOI.AbstractVariableAttribute to get output data from forward differentiation, that is, problem solution.

For instance, to get the tangent of the variable of index vi corresponding to the tangents given to ForwardObjectiveFunction and ForwardConstraintFunction, do the following:

MOI.get(model, DiffOpt.ForwardVariablePrimal(), vi)
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DiffOpt.IndexMappedFunctionType
IndexMappedFunction{F<:MOI.AbstractFunction} <: AbstractLazyScalarFunction

Lazily represents the function MOI.Utilities.map_indices(index_map, DiffOpt.standard_form(func)).

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DiffOpt.MOItoJuMPType
MOItoJuMP{F<:MOI.AbstractScalarFunction} <: JuMP.AbstractJuMPScalar

Lazily represents the function JuMP.jump_function(model, DiffOpt.standard_form(func)).

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DiffOpt.MatrixScalarQuadraticFunctionType
struct MatrixScalarQuadraticFunction{T, VT, MT} <: MOI.AbstractScalarFunction
    affine::VectorScalarAffineFunction{T,VT}
    terms::MT
end

Represents the function x' * terms * x / 2 + affine as an MOI.AbstractScalarFunction where x[i] = MOI.VariableIndex(i). Use standard_form to convert it to a MOI.ScalarQuadraticFunction{T}.

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DiffOpt.MatrixVectorAffineFunctionType
MatrixVectorAffineFunction{T, VT} <: MOI.AbstractVectorFunction

Represents the function terms * x + constant as an MOI.AbstractVectorFunction where x[i] = MOI.VariableIndex(i). Use standard_form to convert it to a MOI.VectorAffineFunction{T}.

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DiffOpt.ModelConstructorType
ModelConstructor <: MOI.AbstractOptimizerAttribute

Determines which subtype of DiffOpt.AbstractModel to use for differentiation. When set to nothing, the first one out of model.model_constructors that support the problem is used.

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DiffOpt.ProductOfSetsType
ProductOfSets{T} <: MOI.Utilities.OrderedProductOfSets{T}

The MOI.Utilities.@product_of_sets macro requires to know the list of sets at compile time. In DiffOpt however, the list depends on what the user is going to use as set as DiffOpt supports any set as long as it implements the required function of MathOptSetDistances. For this type, the list of sets can be given a run-time.

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DiffOpt.ReverseConstraintFunctionType
ReverseConstraintFunction

An MOI.AbstractConstraintAttribute to get output data to reverse differentiation, that is, problem input data.

For instance, if the following returns x + 2y + 5, it means that the tangent has coordinate 1 for the coefficient of x, coordinate 2 for the coefficient of y and 5 for the function constant. If the constraint is of the form func == constant or func <= constant, the tangent for the constant on the right-hand side is -5.

MOI.get(model, DiffOpt.ReverseConstraintFunction(), ci)
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DiffOpt.ReverseObjectiveFunctionType
ReverseObjectiveFunction <: MOI.AbstractModelAttribute

A MOI.AbstractModelAttribute to get output data to reverse differentiation, that is, problem input data.

For instance, to get the tangent of the objective function corresponding to the tangent given to ReverseVariablePrimal, do the following:

func = MOI.get(model, DiffOpt.ReverseObjectiveFunction())

Then, to get the sensitivity of the linear term with variable x, do

JuMP.coefficient(func, x)

To get the sensitivity with respect to the quadratic term with variables x and y, do either

JuMP.coefficient(func, x, y)

or

DiffOpt.quad_sym_half(func, x, y)
Warning

These two lines are not equivalent in case x == y, see quad_sym_half for the details on the difference between these two functions.

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DiffOpt.ReverseVariablePrimalType
ReverseVariablePrimal <: MOI.AbstractVariableAttribute

A MOI.AbstractVariableAttribute to set input data to reverse differentiation, that is, problem solution.

For instance, to set the tangent of the variable of index vi, do the following:

MOI.set(model, DiffOpt.ReverseVariablePrimal(), x)
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DiffOpt.VectorScalarAffineFunctionType
VectorScalarAffineFunction{T, VT} <: MOI.AbstractScalarFunction

Represents the function x ⋅ terms + constant as an MOI.AbstractScalarFunction where x[i] = MOI.VariableIndex(i). Use standard_form to convert it to a MOI.ScalarAffineFunction{T}.

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DiffOpt.DπMethod
Dπ(v::Vector{Float64}, model, cones::ProductOfSets)

Given a model, its cones, find the gradient of the projection of the vectors v of length equal to the number of rows in the conic form onto the cartesian product of the cones corresponding to these rows. For more info, refer to https://github.com/matbesancon/MathOptSetDistances.jl

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DiffOpt.diff_optimizerMethod
diff_optimizer(optimizer_constructor)::Optimizer

Creates a DiffOpt.Optimizer, which is an MOI layer with an internal optimizer and other utility methods. Results (primal, dual and slack values) are obtained by querying the internal optimizer instantiated using the optimizer_constructor. These values are required for find jacobians with respect to problem data.

One define a differentiable model by using any solver of choice. Example:

julia> import DiffOpt, HiGHS

julia> model = DiffOpt.diff_optimizer(HiGHS.Optimizer)
julia> x = model.add_variable(model)
julia> model.add_constraint(model, ...)
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DiffOpt.map_rowsMethod
map_rows(f::Function, model, cones::ProductOfSets, map_mode::Union{Nested{T}, Flattened{T}})

Given a model, its cones and map_mode of type Nested (resp. Flattened), return a Vector{T} of length equal to the number of cones (resp. rows) in the conic form where the value for the index (resp. rows) corresponding to each cone is equal to f(ci, r) where ci is the corresponding constraint index in model and r is a UnitRange of the corresponding rows in the conic form.

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DiffOpt.quad_sym_halfFunction
quad_sym_half(func, vi1::MOI.VariableIndex, vi2::MOI.VariableIndex)

Return Q[i,j] = Q[j,i] where the quadratic terms of func is represented by x' Q x / 2 for a symmetric matrix Q where x[i] = vi1 and x[j] = vi2. Note that while this is equal to JuMP.coefficient(func, vi1, vi2) if vi1 != vi2, in the case vi1 == vi2, it is rather equal to 2JuMP.coefficient(func, vi1, vi2).

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DiffOpt.standard_formFunction
standard_form(func::AbstractLazyScalarFunction)

Converts func to a standard MOI scalar function.

standard_form(func::MOItoJuMP)

Converts func to a standard JuMP scalar function.

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DiffOpt.πMethod
π(v::Vector{Float64}, model::MOI.ModelLike, cones::ProductOfSets)

Given a model, its cones, find the projection of the vectors v of length equal to the number of rows in the conic form onto the cartesian product of the cones corresponding to these rows. For more info, refer to https://github.com/matbesancon/MathOptSetDistances.jl

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DiffOpt.QuadraticProgram.ModelType
DiffOpt.QuadraticProgram.Model <: DiffOpt.AbstractModel

Model to differentiate quadratic programs.

For the reverse differentiation, it differentiates the optimal solution z and return product of jacobian matrices (dz / dQ, dz / dq, etc) with the backward pass vector dl / dz

The method computes the product of

  1. jacobian of problem solution z* with respect to problem parameters set with the DiffOpt.ReverseVariablePrimal
  2. a backward pass vector dl / dz, where l can be a loss function

Note that this method does not returns the actual jacobians.

For more info refer eqn(7) and eqn(8) of https://arxiv.org/pdf/1703.00443.pdf

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DiffOpt.ConicProgram.ModelType
Diffopt.ConicProgram.Model <: DiffOpt.AbstractModel

Model to differentiate conic programs.

The forward differentiation computes the product of the derivative (Jacobian) at the conic program parameters A, b, c to the perturbations dA, db, dc.

The reverse differentiation computes the product of the transpose of the derivative (Jacobian) at the conic program parameters A, b, c to the perturbations dx, dy, ds.

For theoretical background, refer Section 3 of Differentiating Through a Cone Program, https://arxiv.org/abs/1904.09043

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