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Optimization and machine learning

The bridge between the two disciplines: a learning model is, in the end, an optimization problem to be solved with the same solver as the rest of the course. A QP that classifies and an LP that estimates.

  • Support Vector Machine

    The SVM as a convex QP: maximum margin, dual formulation, support vectors and kernels — with no machine learning library.

    QP

  • Robust and quantile regression

    Estimating the parameters with an LP: absolute instead of squared deviations, support points from the duals and the quantile the newsvendor needs.

    LP