Structured Differentiable Optimization for Efficient Decision-focused Learning in Power Systems

Abstract

Decision-focused learning (DfL) trains forecasting models to align downstream decision consequences, such as power-system operating costs. However, its application to realistic power networks is limited by the need to repeatedly solve and differentiate large optimization problems during training. This paper presents DiffAPQP, a solver-flexible framework and open-source Python package for scalable DfL with affine-parametric quadratic programs. To accelerate the forward pass, DiffAPQP automatically canonicalizes quadratic power-system models written in CVXPY into a differentiation-ready representation and takes advantage of the repetitive solving structure through solver warm-start and solver-data update during training. For the backward pass acceleration, we establish the equivalence between differentiation through the full KKT system and a reduced system obtained by eliminating inactive inequality constraints. For training losses depending solely on the optimal value, we further derive an envelope-theorem-based gradient that avoids solving an adjoint KKT system, resulting in eligible backward time. To our knowledge, this work presents the first solver-based end-to-end DfL demonstration on the IEEE 118-bus system with a 24-hour coupled economic-dispatch and redispatch horizon. Under matched SCS and Clarabel backends on a Linux machine, DiffAPQP achieves $2.27\times$--$3.58\times$ closed-loop and $3.62\times$--$4.38\times$ counterfactual end-to-end DfL training speedups over CvxpyLayers. The best solver configurations increase these speedups to $3.91\times$ (from 38.65 to 9.55 min/epoch) and $6.39\times$ (from 10.73 to 1.68 min/epoch), respectively. Additionally, DiffAPQP reduces peak memory usage by approximately $50\%$, while keeping similar operating costs as CvxpyLayers.