I am computing the solution to a dynamic non-linear optimization problem, that I set up usign the pyomo library. I use a ConcreteModel, with an objective function and several constraints, all time-indexed. My objective function takes the form of a ScalarObjective (I am solving a dynamic general equilibrium problem in which I seek to maximize total welfare). I would like to compute the gradient of the objective, evaluated at the optimum, with respect to one of the model's variables at a given period t. My problem is a discrete-time problem.
I have tried many different options, asking AI chatbots for help (both You Chat and ChatGPT), but every solution I'm given is incorrect -- on this topic the AI chatbots seem to know very little. I feel that some method in the library pyomo.dae could be of help, but I haven't found a solution yet. Could anyone help me, please?
You can do this using Pyomo's differentiate function. Here is a toy example:
import pyomo.environ as pyo
from pyomo.core.expr.calculus.derivatives import differentiate
m = pyo.ConcreteModel()
m.x = pyo.Var()
m.con = pyo.Constraint(expr=m.x<=10)
m.obj = pyo.Objective(expr=m.x**2)
pyo.SolverFactory('ipopt').solve(m)
print(pyo.value(m.x))
# -1.2528349584581178e-10
# Evaluate the derivative at current value of m.x
ddx = differentiate(m.obj, wrt=m.x)
print(ddx)
# -2.5056699169162357e-10
# Return derivative expression
ddx2 = differentiate(m.obj, wrt=m.x, mode='sympy')
print(ddx2)
# 2.0*x
You can read more about this function here: https://github.com/Pyomo/pyomo/blob/main/pyomo/core/expr/calculus/derivatives.py#L31