Wednesday, May 29, 2019

Gentle Approach to Linear Algebra, with Machine Learning Applications

This simple introduction to matrix theory offers a refreshing perspective on the subject. Using a basic concept that leads to a simple formula for the power of a matrix, we see how it can solve time series, Markov chains, linear regression, data reduction, principal components analysis (PCA) and other machine learning problems. These problems are usually solved with more advanced matrix calculus, including eigenvalues, diagonalization, generalized inverse matrices, and other types of matrix normalization. Our approach is more intuitive and thus appealing to professionals who do not have a strong mathematical background, or who have forgotten what they learned in math textbooks. It will also appeal to physicists and engineers. Finally, it leads to simple algorithms, for instance for matrix inversion. The classical statistician or data scientist will find our approach somewhat intriguing. 
Content
1. Power of a matrix
2. Examples, Generalization, and Matrix Inversion
  • Example with a non-invertible matrix
  • Fast computations
3. Application to Machine Learning Problems
  • Markov chains
  • Time series
  • Linear regression

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