Way to start with an initial guess on variables?

[wangzizhao]

Thanks a lot for this fantastic package!

I wonder if there is a way to start the optimization with an initial guess on variables? I see there is a warm_starts argument for diffcp used by this package. However, how to transform my initial guess to the format diffcp accepts is not straightforward, as my optimization problem has been transformed to a convex cone program.

Any suggestions will be greatly appreciated!

[akshayka]

Great question. We have an open issue to add warm-start support, but have not yet gotten around to it. (https://github.com/cvxgrp/cvxpylayers/issues/35)

We'll keep this issue open until we do add it.