[n3ur0n]

Given your background, I think it would be worthwhile for you to pick up ESL [0] and read some relevant sections (supervised/sparse/linear methods). It's a great book and a good starting point for thinking about ML methods for high dimensional data.

Also, might be useful to took at webpages of some researchers in this space and courses they teach [1,2].

  [0] https://web.stanford.edu/~hastie/ElemStatLearn/  
  [1] https://scholars.duke.edu/person/dunson  
  [2] https://www.cs.princeton.edu/~bee/

[BlueTemplar]

Thank you !

Funny (but I guess expected) to see the Markov Chain Monte Carlo method that we very recently learned in that book's table of contents ! (Unless it's another MCMC ?)