DiffOpt.jl differentiating your favorite optimization problems

DiffOpt aims at differentiating optimization problems written in MathOptInterface. Moreover, everything “just works” in JuMP. The current framework is based on existing techniques for differentiating the solution of optimization problems with respect to the input parameters. We will show the current state of the package that supports Quadratic Programs and Conic Programs. Moreover, we will highlight how other packages are used to keep the library generic and efficient.

Joint work with: Mathieu Besançon, Benoît Legat, Akshay Sharma.