
We have our data set X, and corresponding target values Y. The goal of ordinary least squares (OLS) regression is to learn a linear model that we can use to predict a new y given a previously unseen x with as little error as possible. We want to guess how much income someone earns based on how many years of education they received.
One bit of advice: it is important to view knowledge as sort of a semantic tree — make sure you understand the fundamental principles, ie the trunk and big branches, before you get into the leaves/details or there is nothing for them to hang on to. — Elon Musk, Reddit AMA