Jul 21, 2024  
2021-2022 Graduate Catalog 
2021-2022 Graduate Catalog [ARCHIVED CATALOG]

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STAT 760 - Optimization for Data Science

Credits: 3

The class presents the theory and algorithms for linear and nonlinear optimization problems with continuous variables. Topics covered include convex analysis, first- and second-order optimality methods, duality, KKT conditions, algorithms for unconstrained optimization, linearly and nonlinearly constrained problems, and convergence rates of algorithms. The theory and algorithms are applied to data science problems arising in machine learning, statistics, and related fields (e.g., maximizing likelihood and penalized likelihood functions, MM algorithms, EM algorithms, model selection, Sparse PCA). Students are expected to be comfortable with rigorous mathematical arguments.

Prerequisite: STAT 511 or STAT 771, and prior knowledge of linear algebra and matrix theory (e.g., MATH 551), and some programming knowledge (e.g., STAT 726).

Typically Offered
Spring-Even Years

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