STAT9910-303: Large-Scale Optimization for Data Science

Yuxin Chen, University of Pennsylvania, Fall 2023
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Course Description

This graduate-level course introduces optimization methods that are suitable for large-scale problems arising in data science and machine learning applications. We will explore several algorithms that are efficient for both smooth and nonsmooth problems, including gradient methods, proximal methods, mirror descent, Nesterov's accelerated methods, ADMM, quasi-Newton methods, stochastic optimization, variance reduction, extragradient methods, as well as distributed optimization. We will also discuss the efficacy of these methods in concrete data science problems.


  • Tue, Thu 3:30 PM - 5 PM.

  • Room: JMHH G92.

Teaching Staffs

  • Instructor: Yuxin Chen, 313 Academic Research Building, yuxinc at wharton dot upenn dot edu