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Differentiable Convex Optimization Layers

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Oct 28 2019 Akshay Agrawal

CVXPY is now differentiable. Try our PyTorch and TensorFlow layers using our package, cvxpylayers: https://github.com/cvxgrp/cvxpylayers (& see our NeurIPS paper for details http://web.stanford.edu/~boyd/papers/pdf/diff_cvxpy.pdf)
3 replies, 610 likes


Oct 28 2019 Brandon Amos

Stoked to share a milestone project for all of us! #NeurIPS2019 paper with @akshaykagrawal, @ShaneBarratt, S. Boyd, S. Diamond, @zicokolter: Differentiable Convex Optimization Layers Paper: http://web.stanford.edu/~boyd/papers/pdf/diff_cvxpy.pdf Blog Post: https://locuslab.github.io/2019-10-28-cvxpylayers/ Repo: https://github.com/cvxgrp/cvxpylayers
5 replies, 289 likes


Oct 28 2019 Jonathan Larkin

This seems like a big deal. One could embed a portfolio optimization as a layer inside a larger PyTorch nn model. Need to think about this...
1 replies, 20 likes


Oct 28 2019 Krishna Murthy

This is really cool work!
0 replies, 6 likes


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