Labs from the course Mathematical Optimization for data-science (2019 version) taught at Telecom Paristech by Pr. Alexandre Gramfort and Robert Gower in the context of the Msc data-science, a Master delivered by Ecole Polytechnique as part of the NewUni groupment of universities.
This course addresses the following topics:
- Lab 1: ISTA and FISTA algorithms for linear and logistic regression. Regularization with Ridge (L2), and Lasso (L1)
- Lab 2 : Comparison of deterministic algorithms FISTA, GD, AGD, CG, L-BFGS and stochastic algorithms : SGD, SVRG, SAGA