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The equation of state (EoS) of matter at extremely high temperatures and densities is currently not fully understood, and remains a major challenge in the field of nuclear physics. Neutron stars harbor such extreme conditions and therefore serve as celestial laboratories for constraining the dense matter EoS. In this thesis, we present a novel algorithm that utilizes the idea of Bayesian analysis and the computational efficiency of neural networks to reconstruct the dense matter equation of state from mass-radius observations of neutron stars. We show that the results are compatible with those from earlier works based on conventional methods, and are in agreement with the limits on tidal deformabilities obtained from the gravitational wave event, GW170817. We also observe that the resulting squared speed of sound from the reconstructed EoS features a peak, indicating a likely convergence to the conformal limit at asymptotic densities, as expected from quantum chromodynamics. The novel algorithm can also be applied across various fields faced with computational challenges in solving inverse problems. We further examine the efficiency of deep learning methods for analyzing gravitational waves from compact binary coalescences in this thesis. In particular, we develop a deep learning classifier to segregate simulated gravitational wave data into three classes: signals from binary black hole mergers, signals from binary neutron star mergers, or white noise without any signals. A second deep learning algorithm allows for the regression of chirp mass and combined tidal deformability from simulated binary neutron star mergers. An accurate estimation of these parameters is crucial to constrain the underlying EoS. Lastly, we explore the effects of finite temperatures on the binary neutron star merger remnant from GW170817. Isentropic EoSs are used to infer the frequencies of the rigidly rotating remnant and are noted to be significantly lower compared to previous estimates from zero temperature EoSs. Overall, this thesis presents novel deep learning methods to constrain the neutron star EoS, which will prove useful in future, as more observational data is expected in the upcoming years.