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The concepts and methods of mathematical programming underlie many machine learning algorithms, and yet remain relatively unknown outside the operational research community. In this talk you will explore the standard-form linear and quadratic programmes, after a brief overview of optimisation theory. You will then learn how to formulate the well-known linear regression problem (and the lesser-known robust regression problem) as mathematical programmes, and be presented algorithms to solve them.
Whilst the techniques covered are completely general, the talk concludes with some applications from financial planning and portfolio management. No previous knowledge of mathematical programming is required, but please note that this talk contains formulae (and Python code).
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Gianluca is Senior Machine Learning Researcher at Longshot Systems, where he develops novel analytical methods for the sports betting industry. He was previously based at Imperial College London, where he currently holds an honorary Research Assistant position.