GSoC’20 - Differentiating conic programs

Solving and differentiating convex conic programs w.r.t. problem data, improving solver interface, and benchmarking with diffcp

Hi all! This blog is one of a series marking my progress in Differentiable Optimization Problems. You may enjoy reading my first blog. In this post, I will briefly describe how we enabled DiffOpt.jl to differentiate a conic program with an SOCP constraint and improved the interface by adding more tests.

The project - progress

Milestones completed:

1. Testing solver for quadratic programs contquadratic.jl - PR#19
2. Find projections (and derivatives) on dual cones. Differentiate a simple conic program with an SOCP constraint Issue#24 - PR#26
3. Add several MOI tests to improve solver interface - PR#28

What’s next?

For the next two weeks, we’ll focus on

1. Differentating conic programs with SDP constraints
2. Benchmark differentiation of conic programs with diffcp

Staying in touch

If you’re interested in knowing more about the project, join the #opt-diff-gsoc channel on julia slack.