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We present an overview of machine learning (ML) techniques and their application in interactive music and new digital instrument design. We first provide the non-specialist reader an introduction to two ML tasks, classification and regression, that are particularly relevant for gestural interaction. We then present a review of the literature in current NIME research that uses ML in musical gesture analysis and gestural sound control. We describe the ways in which machine learning is useful for creating expressive musical interaction, and in turn why live music performance presents a pertinent and challenging use case for machine learning.