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The tests need jump-dev/DiffOpt.jl#337 and jump-dev/DiffOpt.jl#338 (I have a branch
klamike/DiffOpt.jl#mk/337and338)See the
grad_param!implementation as well inklamike/MadNLP.jl#mk/moi_param: https://github.com/klamike/MadNLP.jl/blob/mk/moi_param/ext/MadNLPMOI/MOI_parametric.jl