differentiableongelmiin

Differentiableongelmiin is a coined term for a class of optimization problems in which the objective, constraints, and feasible set vary smoothly with respect to decision variables and problem parameters. The differentiable structure enables end-to-end gradients to be computed through the entire problem formulation, supporting gradient-based solution methods and sensitivity analysis within differentiable programming workflows.

Mathematically, a differentiableongelmiin problem takes the form: minimize f(x, p) subject to g_i(x, p) ≤ 0 for i = 1..m and h_j(x, p) = 0 for j = 1..r, with x in X and p in P, where f, g_i, h_j are differentiable in x and p. Under regularity conditions, the optimal solution x*(p) can be differentiated with respect to p, via the implicit function theorem or differentiated KKT conditions.

Relation to differentiable programming: The framework treats the solver as a differentiable primitive within a computation graph, enabling gradients to flow from loss signals through the objective and constraints to update both decisions and parameters.

Applications: Used in machine learning models that embed simulators or physics engines, engineering design, control, and economic models, where gradient-based optimization and meta-parameter tuning rely on differentiating through the solver.

Limitations: Practical challenges include nonconvexity, nonsmooth components, high computational cost of Jacobians, and numerical stability. When differentiability is not available, smooth approximations or surrogate models are often employed to preserve differentiable pipelines.