Learning math is hard. Those that have braved some of its depths, what did you discover that allowed you to go deeper?
This is a place to share insights, methods, and tips for learning mathematics effectively, as well as resources that contain this information.
Upvoted for a thoughtful comment.
I don't know anything about statistical learning theory.
I don't know what kinds of probability you're interested in learning, but would recommend Concrete Mathematics: A Foundation for Computer Science by Graham, Knuth and Patashnik and William Feller's two volume set An Introduction to Probability Theory and Its Applications.
I would second the recommendation of the Princeton Companion to Mathematics but would also warn it does not go into enough depth for one to get an accurate understanding of what many of the subjects discussed therein are about. This is understandable given space constraints.
The edifice of pure mathematics is vast and the number of people alive who could give a good overview of existing mathematics as a whole is tiny and possibly zero.
As a matter of practice, much of the information about how mathematicians learn and think about a given subject is never recorded. See this comment by SarahC and Bill Thurston's MathOverflow question Thinking and Explaining.
On average I've found reading math books that adopt a historical approach to the material therein to be considerably more useful than reading math books that adopt an axiomatic approach to the material therein.
Based on my (limited) impression of applied math, it's not uncommon for people to use advanced mathematical techniques to solve a practical problem because doing so makes for a good marketable story rather than because the advanced mathematical techniques are genuinely useful to analyzing the practical problem at hand.
There is an issue of a high noise-to-signal ratio in mathematics textbooks corresponding to the fact that many authors of textbooks don't have the depth of understanding of the creators of the theories that they're writing about and correspondingly do not emphasize the key points.
Concerning your suspicion that "mathematics is as it is because it appeals to those who like puzzles, rather than necessarily providing profound insight into a problem" - there's great variability among mathematicians here. Two essays which discuss dichotomies which are not identical to the one that you draw but which I think you'll find peripherally relevant are Timothy Gowers' The Two Cultures of Mathematics and Freeman Dyson's Birds and Frogs.
Those mathematicians who seek profound insight into problems often seek profound insight into problems within pure math rather than problems that arise in engineering.
Looking at your website, you might find it useful to check out the Brown University Pattern Theory Group. I don't have any subject matter knowledge of what they do, but the group includes David Mumford who is of extremely high caliber, having earned a Fields Medal in the 1970's for his work on algebraic geometry.
While I don't know enough to point you in the right direction to help you with your research, if you're interested in learning about pure math out of general intellectual curiosity then there are many books that I can recommend.
The mathematical experience:
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