Comment by 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/