Multi-task Learning with Task Relations

Multi-task and relational learning with Gaussian processes are two active but also orthogonal areas of research. So far, there has been few attempt at exploring relational information within multi-task Gaussian processes. While existing relational Gaussian process methods have focused on relations among entities and in turn could be employed within an individual task, we develop a class of Gaussian process models which incorporates relational information across multiple tasks. As we will show, inference and learning within the resulting class of models, called relational multi-task Gaussian processes, can be realized via a variational EM algorithm. Experimental results on synthetic and real-world datasets verify the usefulness of this approach: The observed relational knowledge at the level of tasks can indeed reveal additional pair wise correlations between tasks of interest and, in turn, improve prediction performance.