DS-GA 3001.03: Optimization and Computational Linear Algebra for Data Science
(Fall 2016, NYU CDS)
Afonso S. Bandeira
Lectures: Tue 5.10pm-7pm at 12 Waverly Place, room G08
Afonso's Office Hours: Wed 2.30pm-4.30pm at CDS(60 5th Av.)603 (or by appointment)
Afonso also holds Office Hours for another course on Tue 10.30am-12.30pm (at CIWW1123 in 251 Mercer St.)
Section Leader: Vladimir Kobzar.
Sections: Th 4.45pm-5.45pm at 12 Waverly Place, L120
Vlad's Office hours: Mon 11am-12.30pm at CDS609 or CDS663 (or by appointment)
Vlad also holds Office Hours for another course on Mon 9.30am-11.00am in the same location
Piazza page for this course here.
Syllabus: This course will cover the basics of optimization and computational linear algebra used in Data Science. Contents: Vector spaces and linear transformations: rank, dimension, etc. Linear systems: conditioning, least squares. Singular-value decomposition/principal-component analysis, Rayleigh quotients. Applications: Spectral clustering, dimension reduction, Page Rank. Local optima and global optima. Constrained optimization. Optimality conditions and matrix calculus. Gradient descent and Stochastic Gradient Descent. Newton's method and Quasi-Newton methods (BFGS and L-BFGS). Linear Optimization, Duality, and Convex optimization. Conjugate Gradient. Some Applications: Lasso, compressed sensing. Problems on Graphs.
Important: This course description is preliminary, and so it is subject to change.
Programming: You are welcome to write (easy readable!) code in Julia, Python, or Matlab.
In class, I will try to use Julia as much as possible, and I recommend you give it a try, you can try it on the browser without any set-up!
I am here to help: If you have any question, comment, feedback, want to brainstorm about any research idea, etc, just email me and we'll schedule a time to meet.
Feedback: Also, if you have any comment or feedback on the class (it's going too fast, too slow, you want me to cover more of something, or less of something else, etc) please let me know (in person or through email) or submit a comment to this google form. Having direct feedback from you is the best way for me to try give lectures that you like! (keep in mind that I don't know who sent me the comment or feedback and there is no way for me to answer, for questions use email instead).
Books: All three books are optional and are on reserve in the Courant Library
Homework (typically weekly, due on Tuesday before class at the CDS front desk):