I have a function not supported out of the box by autodiff, and looking for ways to specify its derivative manually. Specifically, in my case it is a fourier transform from NFFT.jl, so it is possible to differentiate efficiently. Surprisingly, I could not find anything related to custom differentiable functions in the docs. Any suggestions?
Take a look at the section on user-defined functions in the JuMP docs:
It includes an example where the derivatives are supplied manually.