Papers › Differentiating Through a Cone Program

Differentiating Through a Cone Program

19 Apr 2019arXiv:1904.09043links table onlyarchive 2025-07-28

Akshay Agrawal, Shane Barratt, Stephen Boyd, Enzo Busseti, Walaa M. Moursi

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We consider the problem of efficiently computing the derivative of the solution map of a convex cone program, when it exists. We do this by implicitly differentiating the residual map for its homogeneous self-dual embedding, and solving the linear systems of equations required using an iterative method. This allows us to efficiently compute the derivative operator, and its adjoint, evaluated at a vector. These correspond to computing an approximate new solution, given a perturbation to the cone program coefficients (i.e., perturbation analysis), and to computing the gradient of a function of the solution with respect to the coefficients. Our method scales to large problems, with numbers of coefficients in the millions. We present an open-source Python implementation of our method that solves a cone program and returns the derivative and its adjoint as abstract linear maps; our implementation can be easily integrated into software systems for automatic differentiation.

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get_random_like cvxgrp/diffcp/src/diffcp/utils.py official repository ran Apache-2.0 (permissive) · 0faa50eec5259286 · report
least_squares_eq_scs_data cvxgrp/diffcp/src/diffcp/utils.py official repository ran Apache-2.0 (permissive) · 9f03eeabefb1005d · report
scs_data_from_cvxpy_problem cvxgrp/diffcp/src/diffcp/utils.py official repository ran Apache-2.0 (permissive) · c14cf41cbcd741a2 · report
vec_psd_dim cvxgrp/diffcp/src/diffcp/cones.py official repository ran fingerprinted Apache-2.0 (permissive) · d09b8552898a974f · report
inverse_permute_psd_solution cvxgrp/diffcp/src/diffcp/cone_program.py official repository unverified Apache-2.0 (permissive) · 726f388cba1ca195 · report
parse_cone_dict cvxgrp/diffcp/src/diffcp/cones.py official repository unverified Apache-2.0 (permissive) · 56c085abc747826a · report
permute_psd_rows cvxgrp/diffcp/src/diffcp/cone_program.py official repository unverified Apache-2.0 (permissive) · 9dd0e1cc977a5fe5 · report

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