Differentiating Minimal-Norm Solutions to Parametric Optimization Problems
Differentiating through parametric optimization problems is central to bilevel programming and meta-learning, often accomplished using approximate implicit differentiation. The implicit function theorem requires inverting a partial Jacobian of the optimality condition, which fails when there are many solutions. Nonetheless, in such cases it is possible to relax invertibility to a strictly weaker uniform range condition, under which it is shown that the minimal-norm solution mapping admits generalized derivatives by using a limiting Tikhonov regularization argument and conservative set-valued field theory. With additional control on the eigenvalues of the generalized Hessians, a pseudoinverse formula is justified. This is established for a class of smooth convex objectives and extended to nonsmooth composite problems. These assumptions are verified for Least-Squares, Huber regression and LASSO. The resulting extension of nonsmooth implicit differentiation to ill-posed settings is examined experimentally on data poisoning and data hypercleaning problems.