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The Laboratory for Machine Learning and Computational Optimization was founded by the National Natural Science Foundation of China in July 2016. The laboratory was set up at the School of Mathematical Sciences, South China Normal University. The research areas of the laboratory focus on mathematics in machine learning and data analysis including kernel-based approximation methods, meshfree methods, sparse machine learning, nonsmooth analysis, variation inequality, and multiscale modeling. The research objective is to develop theory and algorithms of machine learning and data analysis, and especially, sparse machine learning.