Sets are denoted by calligraphic uppercase letters: $\mathcal{S}$, $\mathcal{T}$, $\mathcal{P}$. - The set of real numbers is $\mathbb{R}$; the set of positive integers is $\mathbb{Z}^+$. - We use $i \in \{1, 2, \ldots, n\}$ to index observations and $j \in \{1, 2, \ldots, p\}$ to index features.