Convex multi-task relationship learning using hinge loss

Multi-task learning improves generalization performance by learning several related tasks jointly. Several methods have been proposed for multi-task learning in recent years. Many methods make strong assumptions about symmetric task relationships while some are able to utilize externally provided task relationships. However, in many real world tasks the degree of relatedness among tasks is not known a priori. Methods which are able to extract the task relationships and exploit them while simultaneously learning models with good generalization performance can address this limitation. In the current work, we have extended a recently proposed method for learning task relationships using smooth squared loss for regression to classification problems using non-smooth hinge loss due to the demonstrated effectiveness of SVM classifier in single task classification settings. We have also developed an efficient optimization procedure using bundle methods for the proposed multi-task learning formulation. We have validated our method on one simulated and two real world datasets and have compared its performance to competitive baseline single-task and multi-task methods.