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This manuscript introduces a new optimization framework for machine learning and AI, named {\bf empirical X-risk minimization (EXM)}. X-risk is a term introduced to represent a family of compositional measures or objectives, in which each data point is compared with a large number of items explicitly or implicitly for defining a risk function. It includes surrogate objectives of many widely used measures and non-decomposable losses, e.g., AUROC, AUPRC, partial AUROC, NDCG, MAP, precision/recall at top $K$ positions, precision at a certain recall level, listwise losses, p-norm push, top push, global contrastive losses, etc. While these non-decomposable objectives and their optimization algorithms have been studied in the literature of machine learning, computer vision, information retrieval, and etc, optimizing these objectives has encountered some unique challenges for deep learning. In this paper, we present recent rigorous efforts for EXM with a focus on its algorithmic foundations and its applications. We introduce a class of algorithmic techniques for solving EXM with smooth non-convex objectives. We formulate EXM into three special families of non-convex optimization problems belonging to non-convex compositional optimization, non-convex min-max optimization and non-convex bilevel optimization, respectively. For each family of problems, we present some strong baseline algorithms and their complexities, which will motivate further research for improving the existing results. Discussions about the presented results and future studies are given at the end. Efficient algorithms for optimizing a variety of X-risks are implemented in the LibAUC library at \url{www.libauc.org}.