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Objective Sensitivity #282

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andrewrosemberg
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@andrewrosemberg andrewrosemberg commented Feb 22, 2025 •
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Pull Request Summary

Title: Objective Sensitivity

Description: This pull request implements functionality for obtaining the objective sensitivity with respect to parameters and the equivalent for reverse mode in the DiffOpt.jl package.

  • Additions: 335 lines
  • Deletions: 35 lines
  • Changed Files: 7
  • Commits: 11
  • Comments: 1
  • Review Comments: 4
  • State: Open
  • Mergeable: Yes (unstable)

Usage Example

# Always a good practice to clear previously set sensitivities
DiffOpt.empty_input_sensitivities!(model)

MOI.set(model, DiffOpt.ForwardConstraintSet(), ParameterRef(p), Parameter(3.0))
MOI.set(model, DiffOpt.ForwardConstraintSet(), ParameterRef(p_c), Parameter(3.0))
DiffOpt.forward_differentiate!(model)

MOI.get(model, DiffOpt.ForwardObjectiveSensitivity())

In the backward mode, we can calculate the parameter perturbation with respect to the objective perturbation:

# Always a good practice to clear previously set sensitivities
DiffOpt.empty_input_sensitivities!(model)

MOI.set(
    model,
    DiffOpt.ReverseObjectiveSensitivity(),
    0.1,
)

DiffOpt.reverse_differentiate!(model)

MOI.get(model, DiffOpt.ReverseConstraintSet(), ParameterRef(p))

TODOS:

  • Rebase
  • Add error for when the user is requesting it for other backends not yet implemented.
  • Create issues about implementing for other formulations

andrewrosemberg
andrewrosemberg commented Feb 22, 2025
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codecov bot commented Feb 22, 2025 •
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Codecov Report

❌ Patch coverage is 88.88889% with 8 lines in your changes missing coverage. Please review.
✅ Project coverage is 89.18%. Comparing base (93f058d) to head (a15f6f6).
⚠️ Report is 3 commits behind head on master.

Files with missing lines Patch % Lines
src/NonLinearProgram/NonLinearProgram.jl 83.33% 6 Missing ⚠️
src/diff_opt.jl 85.71% 1 Missing ⚠️
src/moi_wrapper.jl 88.88% 1 Missing ⚠️
Additional details and impacted files 
@@            Coverage Diff             @@
##           master     #282      +/-   ##
==========================================
+ Coverage   89.08%   89.18%   +0.10%     
==========================================
  Files          15       15              
  Lines        1969     2006      +37     
==========================================
+ Hits         1754     1789      +35     
- Misses        215      217       +2

☔ View full report in Codecov by Sentry.
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@andrewrosemberg andrewrosemberg changed the title Implement dual of parameter anywhere [WIP] Objective Sensitivity Feb 25, 2025
@andrewrosemberg andrewrosemberg changed the title [WIP] Objective Sensitivity Objective Sensitivity Feb 27, 2025
andrewrosemberg
andrewrosemberg commented Feb 27, 2025
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src/diff_opt.jl
@@ -199,6 +215,21 @@ struct ForwardConstraintDual <: MOI.AbstractConstraintAttribute end

MOI.is_set_by_optimize(::ForwardConstraintDual) = true
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codecov thinks this line is untested, but it is used internally in the tests.

andrewrosemberg
andrewrosemberg commented Feb 27, 2025
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src/diff_opt.jl
"""
struct ForwardObjectiveSensitivity <: MOI.AbstractModelAttribute end

MOI.is_set_by_optimize(::ForwardObjectiveSensitivity) = true
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dito codecov mistake

frapac
frapac reviewed Mar 11, 2025
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this PR looks good to me, overall!

test/nlp_program.jl
MOI.set(model, DiffOpt.ReverseVariablePrimal(), x, 1.0)

# Compute derivatives
@test_throws ErrorException DiffOpt.reverse_differentiate!(model)
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nice!

@klamike klamike mentioned this pull request Mar 25, 2025
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@klamike klamike mentioned this pull request Jun 10, 2025
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@andrewrosemberg andrewrosemberg mentioned this pull request Aug 20, 2025
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@andrewrosemberg
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closing in favor of #303

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@joaquimg joaquimg Awaiting requested review from joaquimg

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@andrewrosemberg @frapac