Yeah, I suppose our instincts agree, because I've already studied all these things except the last two :-)
Have fun with generative models such as variational Bayesian neural networks, generative adversarial networks, applications of Fokker–Planck/Langevin/Hamiltonian dynamics to ML and NNs in particular, and so on. There are certainly lots of open problems for the mathematically inclined which are much more interesting than "Look ma, my neural networks made psychedelic artwork and C-looking code with more or less matched parentheses".
For instance, this paper provides pointers to some of these methods and describes a class of failure modes that are still difficult to address.
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.
Notes for future OT posters:
1. Please add the 'open_thread' tag.
2. Check if there is an active Open Thread before posting a new one. (Immediately before; refresh the list-of-threads page before posting.)
3. Open Threads should be posted in Discussion, and not Main.
4. Open Threads should start on Monday, and end on Sunday.