Since its early inception, machine learning has made use of optimization algorithms and modelling. Likewise, machine learning has benefited the field of optimization by providing opportunities for developing new solution approaches. With the wide availability of big data, current machine learning optimization algorithms have reached their performance limits, a serious handicap for real-time and streaming applications. On the other hand, big data has also offered challenges to existing optimization solvers such as Cplex. The course will cover foundational material on mathematical optimization and machine learning as well as hands on applications with big data using state of the art computing platforms.