Benoît Legat

Mathieu Besançon, Joaquim Dias Garcia, Benoît Legat et al.

We introduce DiffOpt.jl, a Julia library to differentiate through the solution of optimization problems with respect to arbitrary parameters present in the objective and/or constraints. The library builds upon MathOptInterface, thus leveraging the rich ecosystem of solvers and composing well with modeling languages like JuMP. DiffOpt offers both forward and reverse differentiation modes, enabling multiple use cases from hyperparameter optimization to backpropagation and sensitivity analysis, bridging constrained optimization with end-to-end differentiable programming. DiffOpt is built on two known rules for differentiating quadratic programming and conic programming standard forms. However, thanks ability to differentiate through model transformation, the user is not limited to these forms and can differentiate with respect to the parameters of any model that can be reformulated into these standard forms. This notably includes programs mixing affine conic constraints and convex quadratic constraints or objective function.

Andrew W. Rosemberg, Joaquim Dias Garcia, François Pacaud et al.

Differentiating through constrained optimization problems is increasingly central to learning, control, and large-scale decision-making systems, yet practical integration remains challenging due to solver specialization and interface mismatches. This paper presents a general and streamlined framework-an updated DiffOpt.jl-that unifies modeling and differentiation within the Julia optimization stack. The framework computes forward - and reverse-mode solution and objective sensitivities for smooth, potentially nonconvex programs by differentiating the KKT system under standard regularity assumptions. A first-class, JuMP-native parameter-centric API allows users to declare named parameters and obtain derivatives directly with respect to them - even when a parameter appears in multiple constraints and objectives - eliminating brittle bookkeeping from coefficient-level interfaces. We illustrate these capabilities on convex and nonconvex models, including economic dispatch, mean-variance portfolio selection with conic risk constraints, and nonlinear robot inverse kinematics. Two companion studies further demonstrate impact at scale: gradient-based iterative methods for strategic bidding in energy markets and Sobolev-style training of end-to-end optimization proxies using solver-accurate sensitivities. Together, these results demonstrate that differentiable optimization can be deployed as a routine tool for experimentation, learning, calibration, and design-without deviating from standard JuMP modeling practices and while retaining access to a broad ecosystem of solvers.

Cláudio Gomes, Raphaël M. Jungers, Benoît Legat et al.

We propose an algorithm to restrict the switching signals of a constrained switched system in order to guarantee its stability, while at the same time attempting to keep the largest possible set of allowed switching signals. Our work is motivated by applications to (co-)simulation, where numerical stability is a hard constraint, but should be attained by restricting as little as possible the allowed behaviours of the simulators. We apply our results to certify the stability of an adaptive co-simulation orchestration algorithm, which selects the optimal switching signal at run-time, as a function of (varying) performance and accuracy requirements.