Differentiable convex optimization layers

Can convex optimization solvers be used in differentiable programs?

Our implementation significantly lowers the barrier to using convex optimization problems in differentiable programs

We present applications in linear machine learning models and in stochastic control, and we show that our layer is competitive (in execution time) compared to specialized differentiable solvers from past work

Is a convex optimization layer competitive?

Our implementation significantly lowers the barrier to using convex optimization problems in differentiable programs

We present applications in linear machine learning models and in stochastic control, and we show that our layer is competitive (in execution time) compared to specialized differentiable solvers from past work

In NeurIPS 2019

Categories

Distributed convex optimization
Discrete convex optimization
Distributed convex optimization for electric vehicle aggregators
Distributed convex optimization with many non-linear constraints
Differentiable convex optimization problem
Convex optimisation finance
Convex optimization financial
Define extreme point of a convex set
Double convex vs plano convex
Convex linear optimization
Convex optimization for linear matrix inequalities
Convex optimization stephen boyd lieven vandenberghe
Non-convex linear optimization
Convex optimization minimization algorithm
Convex-concave minimax optimization
Algorithms for convex optimization nisheeth k. vishnoi
Optimization convex piecewise
Piecewise convex optimization problem
What is convex vs concave
Convex optimization signal processing