Linear Model the Machine Learning Way

The Ordinary Least Squares model (OLS) is a central building block in Machine Learning (ML). OLS is also used everywhere in Social Sciences. I come from an Economics background and I was initially a bit puzzled by the way the ML textbooks solve OLS. In this blog post, I explain the Economics way versus the ML way and why both make sense. TL;DR: In a high-dimensional setting, do not inverse a huge matrix, use gradient descent.