Gradient of expression with JuMP variables

Specific Domains Optimization (Mathematical)
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1

Hi!

I have a complex nonlinear expression built with JuMP variables. And now I want to find gradient of this expression with respect to these variables.

What package will be helpful in this situation?

2

There is no good way to do this in JuMP.

What are you trying to do? You could just write a function and use ForwardDiff.jl?

3

I’m trying to write the code for transforming bilevel optimization problem to one level using KKT conditions. And I need to pass as a constraint a condition that gradient of Lagrangian of lower level problem with respect to decision variables equals to 0.

4

Have you seen

https://github.com/joaquimg/BilevelJuMP.jl

It’s a little hard to do this with JuMPs nonlinear interface. But if the subproblems are convex you could just formulate it as a conic program.