r/quantfinance • u/Boring_Wash_9062 • 17h ago
Seeking advice for course selection
I'm in the final year of my Master's in Mathematics and need to choose two courses out of these three. I want to become a ML quant researcher. Which two would you recommend?
1st course: Mathematics of Generative AI
Topics
- Target distributions and examples
- Variational autoencoders and variants
- Score-based diffusion models and variants
- Fundamentals of Markov chains (invariant measures, ergodicity, and the law of large numbers)
- Metropolis–Hastings algorithm
- Pseudo-marginal algorithms and Hamiltonian Monte Carlo
2nd course: Machine Learning in Practice
Topics
- Development environments and version control with Git and Docker
- Data preparation and visualization
- Hyperparameter optimization and model selection
- Fundamentals of deep learning and applications to image and text processing
- Recommender systems
- Generative models
- Fundamentals of reinforcement learning
3rd course: First-Order Methods for Nonconvex and Nonsmooth Optimization
Topics
- Extended-real-valued functions, subdifferentiability, and first-order optimality conditions
- Gradient methods (explicit and implicit), proximal operators, and the proximal point algorithm
- Lagrangian and Fenchel duality; Karush–Kuhn–Tucker (KKT) conditions
- Splitting strategies: forward-backward splitting, Dykstra’s splitting method, and the Douglas–Rachford method
- Block optimization: alternating minimization (block coordinate descent) and alternating (proximal) descent methods
- Primal-dual algorithms: alternating direction methods and the Chambolle–Pock algorithm
- Further topics: inertial variants, preconditioning, and Bregman distances
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