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Merged
dance858 merged 2 commits into from
Jan 19, 2026
Merged

Implement diag_vec Jacobian for NLP solving #133

dance858 merged 2 commits into from
Jan 19, 2026

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@Transurgeon Transurgeon commented Jan 19, 2026

  • Add _jacobian() and _hess_vec() methods to diag_vec atom for NLP support
  • Fix diagonal variable value propagation in CvxAttr2Constr reduction
  • Add tests for diagonal variables in NLP problems

The diag_vec Jacobian maps input vector positions to diagonal matrix positions using the formula i*(n+1) for Fortran-order flattening.

@Transurgeon @claude
Implement diag_vec Jacobian for NLP solving
be019a8 
- Add _jacobian() and _hess_vec() methods to diag_vec atom for NLP support
- Fix diagonal variable value propagation in CvxAttr2Constr reduction
- Add tests for diagonal variables in NLP problems

The diag_vec Jacobian maps input vector positions to diagonal matrix
positions using the formula i*(n+1) for Fortran-order flattening.

Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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github-actions bot commented Jan 19, 2026 •
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Benchmarks that have stayed the same:

   before           after         ratio
 [07bd2721]       [abedd814]
      12.8±0s          13.2±0s     1.03  finance.CVaRBenchmark.time_compile_problem
      2.82±0s          2.88±0s     1.02  quantum_hilbert_matrix.QuantumHilbertMatrix.time_compile_problem
      287±0ms          292±0ms     1.02  matrix_stuffing.ParamSmallMatrixStuffing.time_compile_problem
      145±0ms          147±0ms     1.01  high_dim_convex_plasticity.ConvexPlasticity.time_compile_problem
      237±0ms          239±0ms     1.01  simple_QP_benchmarks.SimpleQPBenchmark.time_compile_problem
      11.4±0s          11.5±0s     1.01  simple_LP_benchmarks.SimpleLPBenchmark.time_compile_problem
      1.45±0s          1.46±0s     1.01  matrix_stuffing.ParamConeMatrixStuffing.time_compile_problem
      4.31±0s          4.34±0s     1.01  huber_regression.HuberRegression.time_compile_problem
      821±0ms          826±0ms     1.01  simple_QP_benchmarks.LeastSquares.time_compile_problem
      4.89±0s          4.91±0s     1.01  svm_l1_regularization.SVMWithL1Regularization.time_compile_problem
      314±0ms          315±0ms     1.00  gini_portfolio.Yitzhaki.time_compile_problem
      231±0ms          232±0ms     1.00  gini_portfolio.Murray.time_compile_problem
      4.97±0s          4.97±0s     1.00  optimal_advertising.OptimalAdvertising.time_compile_problem
      1.60±0s          1.59±0s     1.00  tv_inpainting.TvInpainting.time_compile_problem
      1.86±0s          1.85±0s     1.00  simple_QP_benchmarks.UnconstrainedQP.time_compile_problem
     13.8±0ms         13.8±0ms     1.00  simple_LP_benchmarks.SimpleFullyParametrizedLPBenchmark.time_compile_problem
     39.3±0ms         39.1±0ms     1.00  matrix_stuffing.SmallMatrixStuffing.time_compile_problem
      670±0ms          666±0ms     0.99  matrix_stuffing.ConeMatrixStuffingBench.time_compile_problem
      22.4±0s          22.3±0s     0.99  sdp_segfault_1132_benchmark.SDPSegfault1132Benchmark.time_compile_problem
      511±0ms          507±0ms     0.99  semidefinite_programming.SemidefiniteProgramming.time_compile_problem
      1.11±0s          1.10±0s     0.99  gini_portfolio.Cajas.time_compile_problem
      284±0ms          280±0ms     0.99  slow_pruning_1668_benchmark.SlowPruningBenchmark.time_compile_problem
     14.4±0ms         14.2±0ms     0.98  simple_QP_benchmarks.ParametrizedQPBenchmark.time_compile_problem
      1.04±0s          1.03±0s     0.98  finance.FactorCovarianceModel.time_compile_problem
      904±0ms          886±0ms     0.98  simple_LP_benchmarks.SimpleScalarParametrizedLPBenchmark.time_compile_problem

@Transurgeon @claude
Handle sparse value initialization for diag variables in NLP
d2c1945 
When a diag variable has its value stored as a sparse matrix (e.g., after
solving), np.diag() fails on it. This adds a check for sparse values and
uses .diagonal() to extract the diagonal elements correctly.

Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
@dance858
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dance858 commented Jan 19, 2026

Awesome! DNLP takes care of its favorite customer @maxschaller

@dance858 dance858 merged commit 6af3241 into master Jan 19, 2026
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@Transurgeon @dance858