The interplay between optimization and machine learning is one of the most important developments in modern computational science. Optimization formulations and methods are proving to be vital in designing algorithms to extract essential knowledge from huge volumes of data. Machine learning, however, is not simply a consumer of optimization technology but a rapidly evolving field that is itself generating new optimization ideas. Optimization approaches have enjoyed prominence in machine learning because of their wide applicability and attractive theoretical properties. The increasing complexity, size, and variety of today's machine learning models call for the reassessment of existing assumptions.
This course is designed for graduate students majoring in mathematics as well as mathematically inclined graduate engineering students. At the end of this course, the student will:
capture the state of the art of the interaction between optimization and machine learning.
understand the various optimization methods that underlie machine learning methods that have become so popular today in real-world applications.
use the computational tools available to solving optimization problems on computers once a mathematical formulation has been found.