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MSCDS - Math For Data Science Syllabus

This document provides an overview of a course on math for data science. The course is intended to refresh students on key concepts from linear algebra and multivariable calculus needed for subsequent data science courses, including matrices, vectors, differentiation and integration of multiple variable functions, and optimization problems. The course will cover topics like matrices, determinants, eigenvalues, vector spaces, linear systems, real-valued multivariate functions, gradients, Hessians, integration, and elements of convex optimization. It will comprise twelve one-hour lectures over two weeks, with a written exam to assess students.

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107 views

MSCDS - Math For Data Science Syllabus

This document provides an overview of a course on math for data science. The course is intended to refresh students on key concepts from linear algebra and multivariable calculus needed for subsequent data science courses, including matrices, vectors, differentiation and integration of multiple variable functions, and optimization problems. The course will cover topics like matrices, determinants, eigenvalues, vector spaces, linear systems, real-valued multivariate functions, gradients, Hessians, integration, and elements of convex optimization. It will comprise twelve one-hour lectures over two weeks, with a written exam to assess students.

Uploaded by

sabbir azam
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Math for Data Science

Stavros Toumpis, Assistant Professor, AUEB, [email protected]

Overview
The course is a brief overview of the basic tools from Linear Algebra and Multivariable Calculus that will
be needed in subsequent courses of the program.

Key Outcomes
By completing the course the students will have been reminded of the basic tools of Linear Algebra and
Multivariable Calculus needed in subsequent courses in the program, notably:

• Fundamental properties of matrices, their norms, and their applications

• Differentiating/integrating multiple variable functions, and the role of the gradient and the
hessian matrix.

• Basic properties of optimization problems involving matrices and functions of multiple variables.

Requirements and Prerequisites


This course is meant to be a refresher. Students are assumed to have developed some mathematical
maturity through a few mathematically oriented classes that involve the standard undergraduate
treatment of linear algebra and single-variable calculus.

Bibliography

1. Gilbert Strang, Linear Algebra and Its Applications, Thomson/Brooks Cole (Available in
a Greek Translation)
2. Thomas M. Apostol, Calculus, Wiley, 2nd Edition, 1991, ISBN 960-07-0067-2.
3. Michael Spivak, Calculus, Publish or Perish, 2008, ISBN 978-0914098911.
4. Ross L. Finney, Maurice D. Weir, and Frank R. Giordano, Thomas's Calculus, Pearson,
12th Edition, 2009.
5. David C. Lay, Linear Algebra and Its Applications, 4th Edition.
6. Yousef Saad, ‘Iterative Methods for Sparse Linear Systems’

Grading
There will be a written examination at the end of the course.
Course Syllabus
The course comprises twelve one-hour lectures which will be spread out in the first two weeks of the
first semester.

Lecture 1: Matrices and Basic Operations, Special structures


Matrices and Basic Operations, interpretation of matrices as linear mappings, and some examples

Lecture 2: Square Matrices, Determinants


Properties of determinants, singular and non-singular matrices, examples, finding an inverse matrix

Lecture 3: Eigenvalues and Eigenvectors


Characteristic Polynomial, Definition of Left/right Eigenvalues and Eigenvectors, Caley-Hamilton
theorem, Singular Value Decomposition, interpretation of eigenvalues/vectors

Lecture 4: Normed Spaces, Vector Spaces, Matrix Norms


Definition of complete normed and vector spaces and some examples. Matrix norms and properties,
applications to series of matrices and their convergence

Lecture 5: The Range and the Null space of a Matrix


Definition and basic properties, orthogonality, Gram-Schmidt algorithm

Lecture 6: Positive-Definite Matrices and the Taylor Expansion of a two-variable function


Definition of positive-definiteness and the role of the eigenvalues. Physical meaning and importance in
real-life problems

Lecture 7: Linear Systems


Definition, applications, solving linear systems, linear inequalities, linear programming

Lecture 8: Real-valued functions of two or more variables.


Definition, examples, simple demos, applications

Lecture 9: Analysis elements


Distance, Limits, continuity, differentiability, the gradient and the Hessian

Lecture 10: Optimization problems


Simple examples, motivation, the role of the Hessian, maxima and minima and related extrema
conditions

Lecture 11: Integration


Double integrals, Fubini’s theorem, properties, applications

Lecture 12: Elements of Convex Optimization


Functions of n variables. Convex sets, convex functions, convex problems, and their basic properties.
Examples of convex problems, convexity versus non-convexity

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