Mathematical Foundations of Machine Learning (Fall 2020)

Fall 2020 Computer Science 25300 / 35300 & Statistics 27700


This course is an introduction to key mathematical concepts at the heart of machine learning. The focus is on matrix methods and statistical models and features real-world applications ranging from classification and clustering to denoising and recommender systems. Mathematical topics covered include linear equations, matrix rank, subspaces, regression, regularization, the singular value decomposition, and iterative optimization algorithms. Machine learning topics include least squares classification and regression, ridge regression, principal components analysis, principal components regression, kernel methods, matrix completion, support vector machines, clustering, stochastic gradient descent, neural networks, and deep learning. Students are expected to have taken a course in calculus and have exposure to numerical computing (e.g. Matlab, Python, Julia, or R). Knowledge of linear algebra and statistics is not assumed.

Appropriate for graduate students or advanced undergraduates. This course could be used as a precursor to TTIC 31020, “Introduction to Machine Learning” or CSMC 35400.


Lecture 1: Introduction notes, video

Lecture 2: Vectors and Matrices notes, video

Lecture 3: Least Squares and Geometry notes, video

Lecture 4: Least Squares and Optimization notes, video

Lecture 5: Subspaces, Bases, and Projections notes, video

Lecture 6: Finding Orthogonal Bases notes, video

Lecture 7: Introduction to the Singular Value Decomposition notes, video

Lecture 8: The Singular Value Decomposition notes, video

Lecture 9: The SVD in Machcine Learning notes, video

Lecture 10: More on the SVD in ML (Including Matrix Completion) notes, video

Lecture 11: PageRank and Ridge Regression notes, video

Lecture 12: Kernel Ridge Regression notes, video

Lecture 13: Support Vector Machines notes, video

Lecture 14: Basic Convex Optimization notes, video

Lecture 15: Stochastic Gradient Descent notes, video

Lecture 16: Backpropagation video

Lecture 17: Clustering and K-means notes, video


Class place and time:

  • Tuesdays and Thursdays, 11:20am-12:50pm and 2:40-4:10pm

Piazza:  (Links to an external site.)

This term we will be using Piazza for class discussion. The system is highly catered to getting you help fast and efficiently from classmates, the TAs, and myself. We will prioritize answering questions posted to Piazza, and will not answer individual emails.

Course Website:

Instructor: Rebecca Willett

Lang Yu (Head TA), Elena Orlova, Owen Melia, Xiaoan Ding, Yibo Jiang, Yuxin Zhou, Zhisheng Xiao, Zixin Ding

Office Hours:

Monday: 10am (Lang), noon (Yuxin), 2pm (Zhisheng)
Tuesday: , 10am (Owen, fundamental reviews), 1pm (Xiaoan)
Wednesday: 2am (Elena), 1pm (Yibo), 5pm (Zixin)
Thursday: 11am (Xiaoan), 5pm (Owen, fundamental reviews)
Friday: 2am (Elena), 11am (Zixin), 1pm (Yibo)
Saturday: 3pm (Zhisheng)
Sunday: 1pm (Yuxin)

Note: fundamental review sessions are not for homework help. The TA will clarify concept questions and/or go through materials from classes. Elena also offers fundamental reviews for those who are currently not in Chicago.


Students are expected to have taken a course in calculus and have exposure to numerical computing (e.g. Matlab, Python, Julia, or R).



Grading Policy

All students will be evaluated by regular homework assignments, quizzes, and exams. The final grade will be allocated to the different components as follows:

Homework (50% UG, 40% G): There are roughly weekly homework assignments (about 8 total). Homework problems include both mathematical derivations and proofs as well as more applied problems that involve writing code and working with real or synthetic data sets.

Exams (40%): Two exams (20% each).
Midterm: TBD, around Oct. 30
Final: Tuesday, Dec. 8, 10:30 AM-12:30 PM

Quizzes (10%): Quizzes will be via canvas and cover material from the past few lectures.

Final project (grad students only, 10%)

Letter grades will be assigned using the following hard cutoffs:

A: 93% or higher
A-: 90% or higher
B+: 87% or higher
B: 83% or higher
B-: 80% or higher
C+: 77% or higher
C: 60% or higher
D: 50% or higher
F: less than 50%

We reserve the right to curve the grades, but only in a fashion that would improve the grade earned by the stated rubric.

Homework and quiz policy: Your lowest quiz score and your lowest homework score will not be counted towards your final grade. This policy allows you to miss class during a quiz or miss an assignment, but only one each. Plan accordingly.

Late Policy: Late homework and quiz submissions will lose 10% of the available points per day late.

Pass/Fail Grading: A grade of P is given only for work of C- quality or higher. You should make the request for Pass/Fail grading in writing (private note on Piazza). You must request Pass/Fail grading prior to the day of the final exam.


Tentative schedule:

Weeks 1-2: Intro and Linear Models

What is ML, how is it related to other disciplines?
Learning goals and course objectives.
Vectors and matrices in machine learning models
Features and models
Least squares, linear independence and orthogonality
Linear classifiers
Loss, risk, generalization
Applications: bioinformatics, face recognition

Week 3: Singular Value Decomposition (Principal Component Analysis)

Dimensionality reduction
Applications: recommender systems, PageRank

Week 4: Overfitting and Regularization

Ridge regression
The Lasso and proximal point algorithms
Model selection, cross-validation
Applications: image deblurring, compressed sensing

Weeks 5-6: Beyond Least Squares: Alternate Loss Functions

Hinge loss
Logistic regression
Feature functions and nonlinear regression and classification
Kernel methods and support vector machines
Application: Handwritten digit classification

Week 7: Iterative Methods

Stochastic Gradient Descent (SGD)
Neural networks and backpropagation

Week 8: Statistical Models

Density estimation and maximum likelihood estimation
Gaussian mixture models and Expectation Maximization
Unsupervised learning and clustering
Application: text classification

Week 9: Ensemble Methods

Decision trees
Random forests, bagging
Application: electronic health record analysis