Tutorial

Necessary imports

using DifferentiableFrankWolfe: DiffFW, simplex_projection
using ForwardDiff: ForwardDiff
using FrankWolfe: UnitSimplexOracle
using Test: @test
using Zygote: Zygote

Constructing the wrapper

f(x, θ) = 0.5 * sum(abs2, x - θ)  # minimizing the squared distance...
f_grad1(x, θ) = x - θ
lmo = UnitSimplexOracle(1.0)  # ... to the probability simplex
dfw = DiffFW(f, f_grad1, lmo);  # ... is equivalent to a simplex projection

Calling the wrapper

θ = rand(10)

10-element Vector{Float64}:
 0.6578123431801371
 0.3907719059508654
 0.5934450116312675
 0.9343851207101307
 0.8576057999204917
 0.9193946160936756
 0.8638362569305599
 0.1544875245128342
 0.9472804385600486
 0.19035067149221407

frank_wolfe_kwargs = (max_iteration=100, epsilon=1e-4)
y = dfw(θ; frank_wolfe_kwargs)

10-element SparseArrays.SparseVector{Float64, Int64} with 5 stored entries:
  [4]  =  0.229882
  [5]  =  0.153064
  [6]  =  0.214965
  [7]  =  0.15934
  [9]  =  0.242749

y_true = simplex_projection(θ)
@test Vector(y) ≈ Vector(y_true) atol = 1e-3

Test Passed

Differentiating the wrapper

J1 = Zygote.jacobian(_θ -> dfw(_θ; frank_wolfe_kwargs), θ)[1]
J1_true = Zygote.jacobian(simplex_projection, θ)[1]
@test J1 ≈ J1_true atol = 1e-3

Test Passed

J2 = ForwardDiff.jacobian(_θ -> dfw(_θ; frank_wolfe_kwargs), θ)
J2_true = ForwardDiff.jacobian(simplex_projection, θ)
@test J2 ≈ J2_true atol = 1e-3

Test Passed

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