some bug patches + torch no_grad forward pass #157
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cvxpylayers/torch/cvxpylayer.py
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| As, bs, cs, cone_dicts, **solver_args) | ||
| ) | ||
| else: | ||
| xs, _, _ = diffcp.cone_program.solve_only_batch( |
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Can you open a PR on diffcp to re-export this function from __init__.py so we don't need to access it from the cone_program namespace?
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Yup - will do now!
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Just opened the PR
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| xs, _, _ = diffcp.cone_program.solve_only_batch( | |
| xs, _, _ = diffcp.solve_only_batch( |
Let's use the soon-to-be-newly exported name
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Alright; once I have time to fix the diffcp release pipeline and we pull that off, I'll merge this and do the CVXPYlayers release. |
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Just wanted to say thanks, this PR is very helpful. I am interested in CVXPYLayers for batch computation, but computing the gradients heavily slows things down. |
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Only the first half of the notebook (Background) + the Huber reformulation appendix is ready for review.
The implementation half is almost ready: I just need to
- Update the code to match the learning section explanation.
- Update some notation in the function docstrings.
- (Most importantly) Fix the differentiation error for the robust smoother. I fixed it in a JAX implementation by putting the problem in epigraph form, but that doesn’t seem to be working here. I also made those changes in this PyTorch implementation a bit late into the day, so I might’ve made a small typo.
With respect to the write-up, I completely understand if we need to cut a good chunk of it. I wrote a lot of it for my own understanding, and I was also enjoying the process.
In the write-up, the one bit I feel less sure about from a mathematical standpoint is the auto-tuning (learning) problem section. Specifically, the bit about extended-value extensions. I definitely will appreciate a sanity check here.
Thank you for looking through this example! Well, the first half that is. I’m planning on returning to the code this weekend. Targeting total example completion by end of the coming week.
Oh, I also included the html file in this commit just to make it easier to review the write-up. Obviously we’ll discard before merge.
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Almost finished with the code fixes/updates for this learned_state_estimation.ipynb example. Aiming to make another push (ideally) by EOD 08/13. However, it's also likely this push will be EOD 08/14.
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Sounds great! I've started reading this PR...
cvxpylayers/torch/cvxpylayer.py
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| As, bs, cs, cone_dicts, **solver_args) | ||
| ) | ||
| else: | ||
| xs, _, _ = diffcp.cone_program.solve_only_batch( |
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| xs, _, _ = diffcp.cone_program.solve_only_batch( | |
| xs, _, _ = diffcp.solve_only_batch( |
Let's use the soon-to-be-newly exported name
cvxpylayers/torch/test_cvxpylayer.py
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| A_th.t() @ A_th + | ||
| torch.eye(n).double())[0] | ||
| b): return torch.linalg.solve( | ||
| A.t() @ A + torch.eye(n).double(), |
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| A.t() @ A + torch.eye(n).double(), | |
| A.t() @ A + torch.eye(n, dtype=torch.float64), |
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Thanks, Parth! I'll make these changes locally and push them up with the updated example right now.
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(Regarding most recent commit, minus the requested changes.) This new push includes a good number of updates to the code, including some basic tuning instantiation at the bottom of the Implementation section. (which has with it some new graphs!) Current todos just include finishing up the cross-validation function and related data objects as well as the appendix write-up on creating the selector matrix. I’m hoping that using the cross-validation function with the robust smoother will yield more interesting tuning results than what I’m currently seeing. I’m definitely open to any suggestions on tweaking the learning function to make the robust smoother tuning more effective. Finally, as a note, the differentiating through the robust problem error I was experiencing was resolved by switching conda environments. I’ll look into this more before we officially merge this example to cvxpylayers/examples. I have some obligations on tomorrow (Aug 15) which will prevent me from working on this example, but I'll be back to these final todos on Friday. (And non-example related: I'll also work on creating some bigger problems to test the new Also let me just say - I'm totally open to any and all comments/criticisms! I really want this example to match the style/quality that is expected of cvxpylayer examples. |
Ah, my bad on the wording of my last comment - that was very sloppy. I should've said "I'll create some bigger problems to test the new Thanks for checking those CVXPYlayers changes so quickly! |
Continuing the work that @PTNobel and I started in the diffcp repository to address cvxpy/cvxpy#2485.
Specifically, used the new
diffcpsolve_only_batchcall chain in the torch CvxpyLayer when gradients are not desired for reverse autodiff. This functionality can be accessed byCvxpyLayerto not require a gradient.layer(param1, param2, ...)call insidewith torch.no_grad()For examples, see the last two tests in torch/test_cvxpylayer.py.
Additionally, I patched two errors in the test file. Note that the tests
test_basic_gptest_lmltest_simple_batch_socpfailed prior to the
CvxpyLayeradditions that I made. The gp failure appears to be due to difference in solutions obtained bycvxpylayersand purecvxpy. The second two failed tests are due to small(ish) Jacobian mismatches.The next steps (I think) to complete issue cvxpy/cvxpy#2485 are
diffcpwith thesolve_onlyfunctionality (I used my local copy to make thesecvxpylayerchanges.)However, please let me know if there are more suggestions and/or edits I need to make to this PR. Thanks!