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//! Differentiable Quadratic Programming (OptNet-style).
//!
//! Solves the QP:
//!
//! min ½ x'Qx + c'x
//! s.t. Gx ≤ h
//! Ax = b
//!
//! and computes gradients of the optimal solution x* w.r.t. all problem
//! parameters (Q, c, G, h, A, b) via implicit differentiation of the KKT
//! conditions.
//!
//! # References
//! - Amos & Kolter (2017). "OptNet: Differentiable Optimization as a Layer
//! in Neural Networks." ICML.
use super::implicit_diff;
use super::types::{BackwardMode, DiffQPConfig, DiffQPResult, ImplicitGradient};
use crate::error::{OptimizeError, OptimizeResult};
/// A differentiable QP layer.
///
/// Holds the problem data and supports forward solving and backward
/// (gradient) computation.
#[derive(Debug, Clone)]
pub struct DifferentiableQP {
/// Quadratic cost matrix Q (n×n, symmetric positive semi-definite).
pub q: Vec<Vec<f64>>,
/// Linear cost vector c (n).
pub c: Vec<f64>,
/// Inequality constraint matrix G (m×n): Gx ≤ h.
pub g: Vec<Vec<f64>>,
/// Inequality constraint rhs h (m).
pub h: Vec<f64>,
/// Equality constraint matrix A (p×n): Ax = b.
pub a: Vec<Vec<f64>>,
/// Equality constraint rhs b (p).
pub b: Vec<f64>,
}
impl DifferentiableQP {
/// Create a new differentiable QP.
///
/// # Arguments
/// * `q` – n×n cost matrix (must be symmetric PSD).
/// * `c` – n-dimensional linear cost.
/// * `g` – m×n inequality constraint matrix.
/// * `h` – m-dimensional inequality rhs.
/// * `a` – p×n equality constraint matrix.
/// * `b` – p-dimensional equality rhs.
pub fn new(
q: Vec<Vec<f64>>,
c: Vec<f64>,
g: Vec<Vec<f64>>,
h: Vec<f64>,
a: Vec<Vec<f64>>,
b: Vec<f64>,
) -> OptimizeResult<Self> {
let n = c.len();
if q.len() != n {
return Err(OptimizeError::InvalidInput(format!(
"Q has {} rows but c has length {}",
q.len(),
n
)));
}
for (i, row) in q.iter().enumerate() {
if row.len() != n {
return Err(OptimizeError::InvalidInput(format!(
"Q row {} has length {} but expected {}",
i,
row.len(),
n
)));
}
}
for (i, row) in g.iter().enumerate() {
if row.len() != n {
return Err(OptimizeError::InvalidInput(format!(
"G row {} has length {} but expected {}",
i,
row.len(),
n
)));
}
}
if g.len() != h.len() {
return Err(OptimizeError::InvalidInput(format!(
"G has {} rows but h has length {}",
g.len(),
h.len()
)));
}
for (i, row) in a.iter().enumerate() {
if row.len() != n {
return Err(OptimizeError::InvalidInput(format!(
"A row {} has length {} but expected {}",
i,
row.len(),
n
)));
}
}
if a.len() != b.len() {
return Err(OptimizeError::InvalidInput(format!(
"A has {} rows but b has length {}",
a.len(),
b.len()
)));
}
Ok(Self { q, c, g, h, a, b })
}
/// Number of primal variables.
pub fn n(&self) -> usize {
self.c.len()
}
/// Number of inequality constraints.
pub fn m(&self) -> usize {
self.h.len()
}
/// Number of equality constraints.
pub fn p(&self) -> usize {
self.b.len()
}
/// Solve the QP (forward pass).
///
/// Uses a primal-dual interior-point method with Mehrotra predictor-
/// corrector steps.
pub fn forward(&self, config: &DiffQPConfig) -> OptimizeResult<DiffQPResult> {
let n = self.n();
let m = self.m();
let p = self.p();
// ── Build regularised Q ────────────────────────────────────────
let mut q_reg = self.q.clone();
for i in 0..n {
q_reg[i][i] += config.regularization;
}
// ── Initialisation ─────────────────────────────────────────────
let mut x = vec![0.0; n];
let mut lam = vec![1.0; m]; // inequality duals > 0
let mut nu = vec![0.0; p]; // equality duals
let mut s = vec![1.0; m]; // slacks s = h - Gx > 0
// Compute initial slacks
for i in 0..m {
let mut gx_i = 0.0;
for j in 0..n {
gx_i += self.g[i][j] * x[j];
}
s[i] = self.h[i] - gx_i;
if s[i] <= 0.0 {
s[i] = 1.0; // ensure positivity
}
}
let mut converged = false;
let mut iterations = 0;
for iter in 0..config.max_iterations {
iterations = iter + 1;
// ── Compute residuals ──────────────────────────────────────
// r_stat = Qx + c + G'λ + A'ν (stationarity)
let mut r_stat = vec![0.0; n];
for i in 0..n {
let mut qx_i = 0.0;
for j in 0..n {
qx_i += q_reg[i][j] * x[j];
}
r_stat[i] = qx_i + self.c[i];
}
for k in 0..m {
for i in 0..n {
r_stat[i] += self.g[k][i] * lam[k];
}
}
for k in 0..p {
for i in 0..n {
r_stat[i] += self.a[k][i] * nu[k];
}
}
// r_eq = Ax - b (primal equality)
let mut r_eq = vec![0.0; p];
for i in 0..p {
for j in 0..n {
r_eq[i] += self.a[i][j] * x[j];
}
r_eq[i] -= self.b[i];
}
// r_ineq = s + Gx - h (slack definition)
let mut r_ineq = vec![0.0; m];
for i in 0..m {
let mut gx_i = 0.0;
for j in 0..n {
gx_i += self.g[i][j] * x[j];
}
r_ineq[i] = s[i] + gx_i - self.h[i];
}
// r_comp = diag(λ) s (complementarity, want → 0)
let mu: f64 = if m > 0 {
lam.iter()
.zip(s.iter())
.map(|(&li, &si)| li * si)
.sum::<f64>()
/ m as f64
} else {
0.0
};
// Check convergence
let res_stat: f64 = r_stat.iter().map(|v| v.abs()).fold(0.0, f64::max);
let res_eq: f64 = r_eq.iter().map(|v| v.abs()).fold(0.0, f64::max);
let res_ineq: f64 = r_ineq.iter().map(|v| v.abs()).fold(0.0, f64::max);
let max_res = res_stat.max(res_eq).max(res_ineq).max(mu);
if max_res < config.tolerance {
converged = true;
break;
}
// ── Build and solve the KKT system for Newton direction ────
// We solve the reduced system by eliminating s.
// Variables: (dx, dlam, dnu)
let dim = n + m + p;
let mut kkt = vec![vec![0.0; dim]; dim];
let mut rhs = vec![0.0; dim];
// Block row 0 (stationarity): Q dx + G' dlam + A' dnu = -r_stat
for i in 0..n {
for j in 0..n {
kkt[i][j] = q_reg[i][j];
}
for k in 0..m {
kkt[i][n + k] = self.g[k][i];
}
for k in 0..p {
kkt[i][n + m + k] = self.a[k][i];
}
rhs[i] = -r_stat[i];
}
// Block row 1 (complementarity + slack elimination):
// diag(s) dlam + diag(λ) ds = -diag(λ)s + σμe
// ds = -r_ineq - G dx (from slack row)
// → diag(s) dlam + diag(λ)(-r_ineq - G dx) = -diag(λ)s + σμe
// → -diag(λ)G dx + diag(s) dlam = -diag(λ)s + σμe + diag(λ) r_ineq
let sigma = 0.1_f64; // centering parameter
for i in 0..m {
let li = lam[i];
let si = s[i];
for j in 0..n {
kkt[n + i][j] = -li * self.g[i][j];
}
kkt[n + i][n + i] = si;
rhs[n + i] = -li * si + sigma * mu + li * r_ineq[i];
}
// Block row 2 (equality): A dx = -r_eq
for i in 0..p {
for j in 0..n {
kkt[n + m + i][j] = self.a[i][j];
}
rhs[n + m + i] = -r_eq[i];
}
let dir = match implicit_diff::solve_implicit_system(&kkt, &rhs) {
Ok(d) => d,
Err(_) => break, // singular system, stop
};
let dx = &dir[..n];
let dlam = &dir[n..n + m];
let dnu = &dir[n + m..];
// Recover ds
let mut ds = vec![0.0; m];
for i in 0..m {
let mut gx_i = 0.0;
for j in 0..n {
gx_i += self.g[i][j] * dx[j];
}
ds[i] = -r_ineq[i] - gx_i;
}
// ── Step size (fraction-to-boundary) ───────────────────────
let tau = 0.995;
let mut alpha_p = 1.0_f64;
let mut alpha_d = 1.0_f64;
for i in 0..m {
if ds[i] < 0.0 {
let ratio = -tau * s[i] / ds[i];
if ratio < alpha_p {
alpha_p = ratio;
}
}
if dlam[i] < 0.0 {
let ratio = -tau * lam[i] / dlam[i];
if ratio < alpha_d {
alpha_d = ratio;
}
}
}
alpha_p = alpha_p.min(1.0).max(1e-12);
alpha_d = alpha_d.min(1.0).max(1e-12);
// ── Update ─────────────────────────────────────────────────
for i in 0..n {
x[i] += alpha_p * dx[i];
}
for i in 0..m {
s[i] += alpha_p * ds[i];
lam[i] += alpha_d * dlam[i];
// Safety: keep positive
if s[i] < 1e-14 {
s[i] = 1e-14;
}
if lam[i] < 1e-14 {
lam[i] = 1e-14;
}
}
for i in 0..p {
nu[i] += alpha_d * dnu[i];
}
}
// ── Compute objective ──────────────────────────────────────────
let mut obj = 0.0;
for i in 0..n {
obj += self.c[i] * x[i];
for j in 0..n {
obj += 0.5 * self.q[i][j] * x[i] * x[j];
}
}
Ok(DiffQPResult {
optimal_x: x,
optimal_lambda: lam,
optimal_nu: nu,
objective: obj,
converged,
iterations,
})
}
/// Backward pass: compute gradients of loss w.r.t. QP parameters.
///
/// Given the upstream gradient dl/dx*, returns the implicit gradients
/// dl/d{Q, c, G, h, A, b}.
pub fn backward(
&self,
result: &DiffQPResult,
dl_dx: &[f64],
config: &DiffQPConfig,
) -> OptimizeResult<ImplicitGradient> {
let n = self.n();
if dl_dx.len() != n {
return Err(OptimizeError::InvalidInput(format!(
"dl_dx length {} != n {}",
dl_dx.len(),
n
)));
}
// Add regularization to Q for the backward pass as well
let mut q_reg = self.q.clone();
for i in 0..n {
q_reg[i][i] += config.regularization;
}
match config.backward_mode {
BackwardMode::FullDifferentiation => implicit_diff::compute_full_implicit_gradient(
&q_reg,
&self.g,
&self.h,
&self.a,
&result.optimal_x,
&result.optimal_lambda,
&result.optimal_nu,
dl_dx,
),
BackwardMode::ActiveSetOnly => {
implicit_diff::compute_active_set_implicit_gradient(
&q_reg,
&self.g,
&self.h,
&self.a,
&result.optimal_x,
&result.optimal_lambda,
&result.optimal_nu,
dl_dx,
config.tolerance * 100.0, // slightly relaxed for active set
)
}
_ => Err(OptimizeError::NotImplementedError(
"Unknown backward mode".to_string(),
)),
}
}
/// Solve multiple QPs with the same structure but different parameters.
///
/// This is a convenience method; each QP is solved independently.
pub fn batched_forward(
params_list: &[DifferentiableQP],
config: &DiffQPConfig,
) -> OptimizeResult<Vec<DiffQPResult>> {
params_list.iter().map(|qp| qp.forward(config)).collect()
}
}
#[cfg(test)]
mod tests {
use super::*;
/// Simple 2-variable unconstrained QP:
/// min x^2 + y^2 + x + 2y
/// → optimal at x = -0.5, y = -1.0
#[test]
fn test_qp_forward_unconstrained() {
let qp = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![1.0, 2.0],
vec![],
vec![],
vec![],
vec![],
)
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward solve failed");
assert!(result.converged, "QP should converge");
assert!(
(result.optimal_x[0] - (-0.5)).abs() < 1e-4,
"x[0] = {} (expected -0.5)",
result.optimal_x[0]
);
assert!(
(result.optimal_x[1] - (-1.0)).abs() < 1e-4,
"x[1] = {} (expected -1.0)",
result.optimal_x[1]
);
}
/// 2-variable QP with one inequality constraint:
/// min x^2 + y^2
/// s.t. x + y >= 1 → -x - y <= -1
/// optimal: x = 0.5, y = 0.5
#[test]
fn test_qp_forward_with_inequality() {
let qp = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![0.0, 0.0],
vec![vec![-1.0, -1.0]], // -x - y <= -1
vec![-1.0],
vec![],
vec![],
)
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward solve failed");
assert!(result.converged);
assert!(
(result.optimal_x[0] - 0.5).abs() < 1e-3,
"x[0] = {} (expected 0.5)",
result.optimal_x[0]
);
assert!(
(result.optimal_x[1] - 0.5).abs() < 1e-3,
"x[1] = {} (expected 0.5)",
result.optimal_x[1]
);
}
/// For an unconstrained QP: min ½ x'Qx + c'x
/// x* = -Q⁻¹ c, and dl/dc = dx*/dc · dl/dx = -Q⁻¹ · dl/dx.
/// When dl/dx = I (unit upstream), dl/dc = -Q⁻¹.
/// For Q = 2I, dl/dc_i with dl/dx = e_i should give -0.5 * e_i.
#[test]
fn test_backward_gradient_dl_dc() {
let qp = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![1.0, 2.0],
vec![],
vec![],
vec![],
vec![],
)
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward solve failed");
// dl/dx = [1, 0] (gradient of loss w.r.t. x)
let dl_dx = vec![1.0, 0.0];
let grad = qp
.backward(&result, &dl_dx, &config)
.expect("Backward failed");
// For unconstrained: dl/dc = -Q^{-1} dl/dx = -0.5 * [1, 0]
// But the implicit differentiation through KKT gives dl/dc = dx
// where dx solves Q dx = -dl/dx, so dx = -Q^{-1} dl/dx = [-0.5, 0]
assert!(
(grad.dl_dc[0] - (-0.5)).abs() < 1e-3,
"dl/dc[0] = {} (expected -0.5)",
grad.dl_dc[0]
);
assert!(
grad.dl_dc[1].abs() < 1e-3,
"dl/dc[1] = {} (expected 0)",
grad.dl_dc[1]
);
}
/// Finite-difference check for dl/dc.
#[test]
fn test_backward_finite_difference_c() {
let eps = 1e-5;
let config = DiffQPConfig::default();
let q = vec![vec![4.0, 1.0], vec![1.0, 3.0]];
let c_base = vec![1.0, -1.0];
let g = vec![vec![-1.0, 0.0], vec![0.0, -1.0]]; // x >= 0
let h = vec![0.0, 0.0];
let qp0 = DifferentiableQP::new(
q.clone(),
c_base.clone(),
g.clone(),
h.clone(),
vec![],
vec![],
)
.expect("QP creation failed");
let res0 = qp0.forward(&config).expect("Forward failed");
let obj0 = res0.objective;
// dl/dx = x* (so loss = 0.5 * ||x*||^2)
let dl_dx = res0.optimal_x.clone();
let grad = qp0
.backward(&res0, &dl_dx, &config)
.expect("Backward failed");
// Finite difference for c[0]
let mut c_plus = c_base.clone();
c_plus[0] += eps;
let qp_plus =
DifferentiableQP::new(q.clone(), c_plus, g.clone(), h.clone(), vec![], vec![])
.expect("QP+ creation failed");
let res_plus = qp_plus.forward(&config).expect("Forward+ failed");
let mut c_minus = c_base.clone();
c_minus[0] -= eps;
let qp_minus =
DifferentiableQP::new(q.clone(), c_minus, g.clone(), h.clone(), vec![], vec![])
.expect("QP- creation failed");
let res_minus = qp_minus.forward(&config).expect("Forward- failed");
// loss = 0.5 * ||x*||^2
let loss_plus: f64 = res_plus.optimal_x.iter().map(|v| 0.5 * v * v).sum();
let loss_minus: f64 = res_minus.optimal_x.iter().map(|v| 0.5 * v * v).sum();
let fd_grad = (loss_plus - loss_minus) / (2.0 * eps);
assert!(
(grad.dl_dc[0] - fd_grad).abs() < 1e-3,
"dl/dc[0] analytical={} vs fd={}",
grad.dl_dc[0],
fd_grad
);
}
/// Finite-difference check for dl/dh (inequality rhs).
#[test]
fn test_backward_finite_difference_h() {
let eps = 1e-5;
let config = DiffQPConfig::default();
let q = vec![vec![2.0, 0.0], vec![0.0, 2.0]];
let c = vec![0.0, 0.0];
let g = vec![vec![-1.0, -1.0]]; // -x-y <= h[0]
let h_base = vec![-1.0]; // x+y >= 1
let qp0 = DifferentiableQP::new(
q.clone(),
c.clone(),
g.clone(),
h_base.clone(),
vec![],
vec![],
)
.expect("QP creation failed");
let res0 = qp0.forward(&config).expect("Forward failed");
let dl_dx = res0.optimal_x.clone();
let grad = qp0
.backward(&res0, &dl_dx, &config)
.expect("Backward failed");
// Perturb h[0]
let mut h_plus = h_base.clone();
h_plus[0] += eps;
let qp_plus =
DifferentiableQP::new(q.clone(), c.clone(), g.clone(), h_plus, vec![], vec![])
.expect("QP+ creation failed");
let res_plus = qp_plus.forward(&config).expect("Forward+ failed");
let mut h_minus = h_base.clone();
h_minus[0] -= eps;
let qp_minus =
DifferentiableQP::new(q.clone(), c.clone(), g.clone(), h_minus, vec![], vec![])
.expect("QP- creation failed");
let res_minus = qp_minus.forward(&config).expect("Forward- failed");
let loss_plus: f64 = res_plus.optimal_x.iter().map(|v| 0.5 * v * v).sum();
let loss_minus: f64 = res_minus.optimal_x.iter().map(|v| 0.5 * v * v).sum();
let fd_grad = (loss_plus - loss_minus) / (2.0 * eps);
// Allow somewhat loose tolerance since IP method + implicit diff can have some error
assert!(
(grad.dl_dh[0] - fd_grad).abs() < 0.1,
"dl/dh[0] analytical={} vs fd={}",
grad.dl_dh[0],
fd_grad
);
}
#[test]
fn test_qp_with_equality_constraint() {
// min x^2 + y^2 s.t. x + y = 1
// optimal: x = 0.5, y = 0.5
let qp = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![0.0, 0.0],
vec![],
vec![],
vec![vec![1.0, 1.0]],
vec![1.0],
)
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward failed");
assert!(result.converged);
assert!(
(result.optimal_x[0] - 0.5).abs() < 1e-3,
"x[0] = {}",
result.optimal_x[0]
);
assert!(
(result.optimal_x[1] - 0.5).abs() < 1e-3,
"x[1] = {}",
result.optimal_x[1]
);
}
#[test]
fn test_batched_forward_consistency() {
let qp1 = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![1.0, 0.0],
vec![],
vec![],
vec![],
vec![],
)
.expect("QP1 creation failed");
let qp2 = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![0.0, 1.0],
vec![],
vec![],
vec![],
vec![],
)
.expect("QP2 creation failed");
let config = DiffQPConfig::default();
let batch_results = DifferentiableQP::batched_forward(&[qp1.clone(), qp2.clone()], &config)
.expect("Batch failed");
let r1 = qp1.forward(&config).expect("Single 1 failed");
let r2 = qp2.forward(&config).expect("Single 2 failed");
for i in 0..2 {
assert!(
(batch_results[0].optimal_x[i] - r1.optimal_x[i]).abs() < 1e-10,
"Batch[0].x[{}] differs",
i
);
assert!(
(batch_results[1].optimal_x[i] - r2.optimal_x[i]).abs() < 1e-10,
"Batch[1].x[{}] differs",
i
);
}
}
#[test]
fn test_qp_empty_constraints() {
let qp = DifferentiableQP::new(vec![vec![2.0]], vec![4.0], vec![], vec![], vec![], vec![])
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward failed");
assert!(result.converged);
// min x^2 + 4x → x* = -2
assert!(
(result.optimal_x[0] - (-2.0)).abs() < 1e-3,
"x = {}",
result.optimal_x[0]
);
}
#[test]
fn test_qp_dimension_validation() {
// Q is 2x2 but c is length 3 → error
let result = DifferentiableQP::new(
vec![vec![1.0, 0.0], vec![0.0, 1.0]],
vec![1.0, 2.0, 3.0],
vec![],
vec![],
vec![],
vec![],
);
assert!(result.is_err());
}
#[test]
fn test_qp_degenerate_active_constraints() {
// Two active constraints at the same point
// min x^2 + y^2 s.t. x >= 1, y >= 1, x+y >= 2
// At optimal (1,1) all three constraints are active
let qp = DifferentiableQP::new(
vec![vec![2.0, 0.0], vec![0.0, 2.0]],
vec![0.0, 0.0],
vec![
vec![-1.0, 0.0], // -x <= -1
vec![0.0, -1.0], // -y <= -1
vec![-1.0, -1.0], // -x-y <= -2
],
vec![-1.0, -1.0, -2.0],
vec![],
vec![],
)
.expect("QP creation failed");
let config = DiffQPConfig::default();
let result = qp.forward(&config).expect("Forward failed");
assert!(result.converged);
assert!(
(result.optimal_x[0] - 1.0).abs() < 1e-2,
"x[0] = {} (expected 1.0)",
result.optimal_x[0]
);
assert!(
(result.optimal_x[1] - 1.0).abs() < 1e-2,
"x[1] = {} (expected 1.0)",
result.optimal_x[1]
);
}
}