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Optimization methods for ML

By Haimonti Dutta


Machine learning algorithms often use optimization to solve problems: for example, when model(s) are constructed to data, they are usually trained by solving an underlying optimization problem. This helps to learn parameters of loss functions and possibly regularization functions if they are used. In the process of model selection and validation, the optimization problem may be solved many times. This entwining of machine learning and optimization makes it possible for researchers to use advances in mathematical programming to study the speed, accuracy and robustness of machine learning algorithms. In this tutorial, we will investigate how popular machine learning algorithms can be posed as unconstrained optimization problems and solved using well known techniques in literature including Line Search Methods, Newton and Quasi-Newton methods, and Conjugate-Gradient and Projection methods. Implementation of algorithms and illustrative examples in the R programming language will be presented.