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math.OC2024
Automatic Differentiation of Optimization Algorithms with Time-Varying Updates
Sheheryar Mehmood, Peter Ochs
Numerous Optimization Algorithms have a time-varying update rule thanks to, for instance, a changing step size, momentum parameter or, Hessian approximation. In this paper, we appl…
math.OC2020
Differentiating the Value Function by using Convex Duality
Sheheryar Mehmood, Peter Ochs
We consider the differentiation of the value function for parametric optimization problems. Such problems are ubiquitous in Machine Learning applications such as structured support…
math.OC2019★ 2 cited
Automatic Differentiation of Some First-Order Methods in Parametric Optimization
Sheheryar Mehmood, Peter Ochs
We aim at computing the derivative of the solution to a parametric optimization problem with respect to the involved parameters. For a class broader than that of strongly convex fu…