Jordan推荐机器学习书籍

最近闲下来了，开始重拾每天读书的习惯。

先从刨书单开始！这个是之前收藏的据说是大神Jordan推荐的ML数据，其中包括了统计、Bayesian、优化等各方面的基础知识，是打内功的必备书单。趁着还没开始念硕士，赶紧补补习吧！我会从"Statistical Inference"开始，补统计！太有用了！

转载来源：我爱机器学习(52ml.net)，链接：http://www.52ml.net/14788.html

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Mike Jordan at Berkeley sent me his list on what people should learn for ML. The list is definitely on the more rigorous side (ie aimed at more researchers than practitioners), but going through these books (along with the requisite programming experience) is a useful, if not painful, exercise.
I personally think that everyone in machine learning should be (completely) familiar with essentially all of the material in the following intermediate-level statistics book:

1.) Casella, G. and Berger, R.L. (2001). "Statistical Inference" Duxbury Press.

For a slightly more advanced book that's quite clear on mathematical techniques, the following book is quite good:

2.) Ferguson, T. (1996). "A Course in Large Sample Theory" Chapman & Hall/CRC.

You'll need to learn something about asymptotics at some point, and a good starting place is:

3.) Lehmann, E. (2004). "Elements of Large-Sample Theory" Springer.

Those are all frequentist books. You should also read something Bayesian:

4.) Gelman, A. et al. (2003). "Bayesian Data Analysis" Chapman & Hall/CRC.

and you should start to read about Bayesian computation:

5.) Robert, C. and Casella, G. (2005). "Monte Carlo Statistical Methods" Springer.

On the probability front, a good intermediate text is:

6.) Grimmett, G. and Stirzaker, D. (2001). "Probability and Random Processes" Oxford.

At a more advanced level, a very good text is the following:

7.) Pollard, D. (2001). "A User's Guide to Measure Theoretic Probability" Cambridge.

The standard advanced textbook is Durrett, R. (2005). "Probability: Theory and Examples" Duxbury.

Machine learning research also reposes on optimization theory. A good starting book on linear optimization that will prepare you for convex optimization:

8.) Bertsimas, D. and Tsitsiklis, J. (1997). "Introduction to Linear Optimization" Athena.

And then you can graduate to:

9.) Boyd, S. and Vandenberghe, L. (2004). "Convex Optimization" Cambridge.

Getting a full understanding of algorithmic linear algebra is also important. At some point you should feel familiar with most of the material in

10.) Golub, G., and Van Loan, C. (1996). "Matrix Computations" Johns Hopkins.

It's good to know some information theory. The classic is:

11.) Cover, T. and Thomas, J. "Elements of Information Theory" Wiley.

Finally, if you want to start to learn some more abstract math, you might want to start to learn some functional analysis (if you haven't already). Functional analysis is essentially linear algebra in infinite dimensions, and it's necessary for kernel methods, for nonparametric Bayesian methods, and for various other topics. Here's a book that I find very readable:

12.) Kreyszig, E. (1989). "Introductory Functional Analysis with Applications" Wiley.