diffcp diffcp logo

R-CMD-check

diffcp is an R port of the Python diffcp package. It computes the derivative of the optimal solution of a convex cone program with respect to its problem data, treating the program as an implicit function. The derivative is exposed both as a forward operator D(dA, db, dc) and an adjoint DT(dx, dy, ds), and can be evaluated in either a dense (Eigen LDLT) or matrix-free (LSQR) mode.

The implementation is a faithful port of the C++ core (cones, LinearOperator, dprojection, M operator, LSQR) from cvxgrp/diffcp, called from R via RcppEigen. The R-level API mirrors the Python source. Test fixtures are pinned to Python diffcp’s outputs so the two packages agree bit-for-bit on every supported cone type.

What it solves

Given problem data (A, b, c) (and optionally a quadratic objective P), diffcp solves the primal–dual pair

minimize    c'x          minimize    b'y
subject to  Ax + s = b   subject to  A'y + c = 0
            s in K                   y in K*

where K is a Cartesian product of the standard cones (zero, non-negative orthant, second-order, positive semidefinite, exponential, exponential dual). It returns the optimal (x, y, s) together with two callables:

Installation

remotes::install_github("bnaras/diffcp")

diffcp requires a C++17 compiler and the R packages Rcpp, RcppEigen, Matrix, and clarabel. The scs package is an optional alternative forward solver.

Quick example

library(diffcp)

## Tiny LP: minimize c'x s.t. 1'x = 1, x >= 0  with n = 3
A <- Matrix::sparseMatrix(
  i = c(1, 2, 1, 3, 1, 4),
  j = c(1, 1, 2, 2, 3, 3),
  x = c(1, -1, 1, -1, 1, -1),
  dims = c(4, 3))
b <- c(1, 0, 0, 0)
c <- c(1, 2, 3)
cone_dict <- list(z = 1L, l = 3L)

res <- solve_and_derivative(A, b, c, cone_dict, mode = "lsqr")
res$x   # primal optimum
res$y   # dual variable
res$s   # slack

## Apply the derivative at a perturbation in c.
dA <- Matrix::sparseMatrix(i = integer(0), j = integer(0),
                            x = numeric(0), dims = c(4, 3))
db <- numeric(4)
dc <- c(0.001, 0, 0)
res$D(dA, db, dc)   # list(dx, dy, ds)

## Apply the adjoint to dx = c (steepest descent of c'x in (A, b, c)).
res$DT(c, numeric(4), numeric(4))   # list(dA, db, dc)

For larger examples — including PSD and exponential cones — see the package vignette (vignette("diffcp", package = "diffcp")).

Cone support

Cone Tag Forward solve Derivative
Zero (equality) z ✓ ✓
Non-negative orthant l ✓ ✓
Second-order cone q ✓ ✓
Positive semidefinite s ✓ (Clarabel + SCS) ✓
Exponential cone ep ✓ ✓
Exponential dual cone ed ✓ ✓

PSD vectorization follows the SCS convention (lower-triangular column-major, with off-diagonals scaled by sqrt(2)). When solving PSD problems through Clarabel, diffcp automatically permutes the rows of A and the entries of b from SCS order to Clarabel’s upper-triangular order, then permutes the dual y and slack s back on return.

Quadratic objectives (P) are supported in solve_only(P = P) for the forward solve via Clarabel or SCS native QP. The dense and LSQR modes of solve_and_derivative do not support quadratic objectives; the upstream Python package handles QP only via its lpgd modes, which this R port does not yet provide.

Differences from Python diffcp

The R port is a direct line-for-line port of the C++ numerical core (cpp/src/{linop,cones,deriv,lsqr}.cpp) called via RcppEigen, plus an R-level orchestration layer mirroring cone_program.py and cones.py. Two implementation choices and four feature deferrals:

Implementation choices

Deferred features

For each, this section explains what the feature is, who needs it, and what is lost by deferring it.

lpgd / lpgd_left / lpgd_right derivative modes

What it is. Lagrangian Proximal Gradient Descent: a finite- difference replacement for the analytical adjoint. Instead of solving M^T r = dz via LSQR or LDLT, lpgd perturbs the problem by tau, re-solves, and forms the difference quotient. Both the forward and the adjoint derivatives are implemented this way.

Who needs it. Two niches: (1) QP derivatives — the only mode in upstream diffcp that handles a non-NULL quadratic-objective P through solve_and_derivative(); (2) degenerate-derivative cases — problems where the analytical Jacobian is ill-defined (e.g., active- set transitions) and the smoothed lpgd answer is preferable.

What is lost without it. Through the diffcp R interface alone, solve_and_derivative(P = P) errors and points the user to lpgd. However, the loss disappears at the CVXR layer: CVXR canonicalizes QPs into auxiliary-variable conic problems via cone_matrix_stuffing before they reach the solver, so a user calling psolve(prob, requires_grad = TRUE) on a quadratic problem gets correct gradients via the standard dense / lsqr path. lpgd is only needed if you call diffcp directly with P != NULL and want gradients.

Batch APIs (solve_and_derivative_batch, solve_only_batch)

What it is. Thin wrappers in upstream that take lists of (A, b, c, cone_dict) and solve them in parallel via a ThreadPool. Each problem solves independently — there is no batch numerical kernel, just a process-pool scheduler. Returns batch-applied D_batch / DT_batch callables for forward / adjoint derivatives across the list.

Who needs it. cvxpylayers and similar PyTorch-side libraries that train neural networks with a CVXPY problem as a layer: each training example produces one cone program, and gradient descent needs every solve and every adjoint to run in parallel across a mini-batch.

What is lost without it. Nothing for single-problem use. R users who want batch parallelism today can wrap solve_and_derivative() in parallel::mclapply() themselves; the only thing missing is a canonical solve_and_derivative_batch() entry point matching the Python signature.

lsmr mode

What it is. An iterative least-squares solver, mathematically similar to LSQR but with different stability properties on ill-conditioned systems. Upstream offers it as a third choice alongside dense and lsqr.

Who needs it. Niche. In practice lsmr and lsqr give indistinguishable results on the M-operator system that diffcp solves; the user-facing mode choice is between the dense LDLT path (small N) and any iterative path (large N).

What is lost without it. Nothing of substance. The R port supports mode = "lsqr" (matrix-free CG-style iterative solve) and mode = "dense" (Eigen LDLT). Adding lsmr would be a roughly 200- line port from SciPy plus tests, with no problem class on which it would be a strictly better answer.

ECOS solver branch

What it is. ECOS (Embedded Conic Solver) is an interior-point method for LP / SOCP / ECP. Upstream diffcp_conif.py has a solve_method = "ECOS" branch (~90 lines) that calls Python ecos as the forward solver instead of SCS or Clarabel. The branch reformats SCS-style (A, b, c) into ECOS-style separated (G, h, A_eq, b_eq) matrices, permutes exponential-cone rows to match ECOS’s convention, and remaps the solution back to SCS form so the standard M operator and dprojection (which assume SCS ordering) can run on the result.

Who needs it. Effectively no one in 2026. Three reasons: 1. It is purely a forward-solver alternative — no new derivative capability, no new cone support (ECOS does not solve PSD), no QP. Anything ECOS solves, Clarabel solves with equal or better convergence. 2. Upstream is unmaintained. embotech/ecos has not seen a release since 2019; the Python ecos package is in maintenance mode. Clarabel (also Stanford-group) is the explicit successor. 3. No problems where it is the right answer. Clarabel and SCS together cover every problem the ECOS branch can handle.

What is lost without it. Reproducibility of pre-2020 scripts that hard-code solve_method = "ECOS". That’s the entire surface area.

Citation

If you use diffcp in academic work, please cite both the R package and the original paper. The full citations (with up-to-date version numbers and BibTeX) can always be obtained in R via:

citation("diffcp")

For convenience:

License

Apache License 2.0, matching the upstream Python diffcp license.

mirror server hosted at Truenetwork, Russian Federation.