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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.
We show how to efficiently compute the derivative (when it exists) of the solution map of log-log convex programs (LLCPs). These are nonconvex, nonsmooth optimization problems with positive variables that become convex when the variables, objective f
Recent advances in deep representation learning on Riemannian manifolds extend classical deep learning operations to better capture the geometry of the manifold. One possible extension is the Frechet mean, the generalization of the Euclidean mean; ho
We introduce a conic embedding condition that gives a hierarchy of cones and cone programs. This condition is satisfied by a large number of convex cones including the cone of copositive matrices, the cone of completely positive matrices, and all sym
How does one compile derivatives of tensor programs, such that the resulting code is purely functional (hence easier to optimize and parallelize) and provably efficient relative to the original program? We show that naively differentiating tensor cod
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural `projection of a well studied l