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<!-- navigation toc: --> <li><a href="._week36-bs001.html#plans-for-week-36" style="font-size: 80%;">Plans for week 36</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs002.html#material-for-lecture-monday-september-2" style="font-size: 80%;">Material for lecture Monday September 2</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs003.html#mathematical-interpretation-of-ordinary-least-squares" style="font-size: 80%;">Mathematical Interpretation of Ordinary Least Squares</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs004.html#residual-error" style="font-size: 80%;">Residual Error</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs005.html#simple-case" style="font-size: 80%;">Simple case</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs006.html#the-singular-value-decomposition" style="font-size: 80%;">The singular value decomposition</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs007.html#linear-regression-problems" style="font-size: 80%;">Linear Regression Problems</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs008.html#fixing-the-singularity" style="font-size: 80%;">Fixing the singularity</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs051.html#ridge-and-lasso-regression" style="font-size: 80%;">Ridge and LASSO Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs053.html#deriving-the-ridge-regression-equations" style="font-size: 80%;">Deriving the Ridge Regression Equations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs011.html#basic-math-of-the-svd" style="font-size: 80%;">Basic math of the SVD</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs012.html#the-svd-a-fantastic-algorithm" style="font-size: 80%;">The SVD, a Fantastic Algorithm</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs013.html#economy-size-svd" style="font-size: 80%;">Economy-size SVD</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs014.html#codes-for-the-svd" style="font-size: 80%;">Codes for the SVD</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs015.html#note-about-svd-calculations" style="font-size: 80%;">Note about SVD Calculations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs016.html#mathematics-of-the-svd-and-implications" style="font-size: 80%;">Mathematics of the SVD and implications</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs017.html#example-matrix" style="font-size: 80%;">Example Matrix</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs018.html#setting-up-the-matrix-to-be-inverted" style="font-size: 80%;">Setting up the Matrix to be inverted</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs019.html#further-properties-important-for-our-analyses-later" style="font-size: 80%;">Further properties (important for our analyses later)</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs020.html#back-to-ridge-and-lasso-regression" style="font-size: 80%;">Back to Ridge and LASSO Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs057.html#interpreting-the-ridge-results" style="font-size: 80%;">Interpreting the Ridge results</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs058.html#more-interpretations" style="font-size: 80%;">More interpretations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs059.html#deriving-the-lasso-regression-equations" style="font-size: 80%;">Deriving the Lasso Regression Equations</a></li>
<!-- navigation toc: --> <li><a href="#optimization-and-gradient-descent-the-central-part-of-any-machine-learning-algortithm" style="font-size: 80%;">Optimization and gradient descent, the central part of any Machine Learning algortithm</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs025.html#reminder-on-newton-raphson-s-method" style="font-size: 80%;">Reminder on Newton-Raphson's method</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs026.html#the-equations" style="font-size: 80%;">The equations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs027.html#simple-geometric-interpretation" style="font-size: 80%;">Simple geometric interpretation</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs028.html#extending-to-more-than-one-variable" style="font-size: 80%;">Extending to more than one variable</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs029.html#steepest-descent" style="font-size: 80%;">Steepest descent</a></li>
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<!-- navigation toc: --> <li><a href="._week36-bs032.html#the-sensitiveness-of-the-gradient-descent" style="font-size: 80%;">The sensitiveness of the gradient descent</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs033.html#convex-functions" style="font-size: 80%;">Convex functions</a></li>
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<!-- navigation toc: --> <li><a href="._week36-bs037.html#some-simple-problems" style="font-size: 80%;">Some simple problems</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs038.html#revisiting-ordinary-least-squares" style="font-size: 80%;">Revisiting Ordinary Least Squares</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs043.html#gradient-descent-example" style="font-size: 80%;">Gradient descent example</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs040.html#the-derivative-of-the-cost-loss-function" style="font-size: 80%;">The derivative of the cost/loss function</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs041.html#the-hessian-matrix" style="font-size: 80%;">The Hessian matrix</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs042.html#simple-program" style="font-size: 80%;">Simple program</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs043.html#gradient-descent-example" style="font-size: 80%;">Gradient Descent Example</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs044.html#gradient-descent-and-ridge" style="font-size: 80%;">Gradient descent and Ridge</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs045.html#the-hessian-matrix-for-ridge-regression" style="font-size: 80%;">The Hessian matrix for Ridge Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs046.html#program-example-for-gradient-descent-with-ridge-regression" style="font-size: 80%;">Program example for gradient descent with Ridge Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs047.html#using-gradient-descent-methods-limitations" style="font-size: 80%;">Using gradient descent methods, limitations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs048.html#material-for-lab-sessions-sessions-tuesday-and-wednesday" style="font-size: 80%;">Material for lab sessions sessions Tuesday and Wednesday</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs049.html#linear-regression-and-the-svd" style="font-size: 80%;">Linear Regression and the SVD</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs050.html#what-does-it-mean" style="font-size: 80%;">What does it mean?</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs051.html#ridge-and-lasso-regression" style="font-size: 80%;">Ridge and LASSO Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs052.html#from-ols-to-ridge-and-lasso" style="font-size: 80%;">From OLS to Ridge and Lasso</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs053.html#deriving-the-ridge-regression-equations" style="font-size: 80%;">Deriving the Ridge Regression Equations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs054.html#note-on-scikit-learn" style="font-size: 80%;">Note on Scikit-Learn</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs055.html#comparison-with-ols" style="font-size: 80%;">Comparison with OLS</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs056.html#svd-analysis" style="font-size: 80%;">SVD analysis</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs057.html#interpreting-the-ridge-results" style="font-size: 80%;">Interpreting the Ridge results</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs058.html#more-interpretations" style="font-size: 80%;">More interpretations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs059.html#deriving-the-lasso-regression-equations" style="font-size: 80%;">Deriving the Lasso Regression Equations</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs060.html#simple-example-to-illustrate-ordinary-least-squares-ridge-and-lasso-regression" style="font-size: 80%;">Simple example to illustrate Ordinary Least Squares, Ridge and Lasso Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs061.html#ridge-regression" style="font-size: 80%;">Ridge Regression</a></li>
<!-- navigation toc: --> <li><a href="._week36-bs062.html#lasso-regression" style="font-size: 80%;">Lasso Regression</a></li>
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<!-- navigation toc: --> <li><a href="._week36-bs071.html#another-example-now-with-a-polynomial-fit" style="font-size: 80%;">Another Example, now with a polynomial fit</a></li>
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<h2 id="optimization-and-gradient-descent-the-central-part-of-any-machine-learning-algortithm" class="anchor">Optimization and gradient descent, the central part of any Machine Learning algortithm </h2>
<p>Almost every problem in machine learning and data science starts with
a dataset \( X \), a model \( g(\theta) \), which is a function of the
parameters \( \theta \) and a cost function \( C(X, g(\theta)) \) that allows
us to judge how well the model \( g(\theta) \) explains the observations
\( X \). The model is fit by finding the values of \( \theta \) that minimize
the cost function. Ideally we would be able to solve for \( \theta \)
analytically, however this is not possible in general and we must use
some approximative/numerical method to compute the minimum.
</p>
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