Differentiable convex optimisation problem

[JinraeKim]

I'm looking for functionality that supports differentiable convex optimisation problem.
For example, making convex problem differentiable by Zygote.jl.

I've heard by @ericphanson that there's a progress on Julia ecosystem for this but it seems not to be mature enough.
I wonder if there's a plan to support the functionality compatible with Convex.jl.

Note that there is an implementation of it in Python as cvxpylayers.

Thanks.

[tjdiamandis]

See #383 and DiffOpt.jl.

DiffOpt.jl is your best bet for the functionality, but it may require some reformulation of your problem.

[matbesancon]

I think this can be closed?

[JinraeKim]

I think this can be closed?

Yup, I think so