Online Learning of Multiple Tasks and Their Relationships

We propose an Online MultiTask Learning (OMTL) framework which simultaneously learns the task weight vectors as well as the task relatedness adaptively from the data. Our work is in contrast with prior work on online multitask learning which assumes fixed task relatedness, a priori. Furthermore, whereas prior work in such settings assume only positively correlated tasks, our framework can capture negative correlations as well. Our proposed framework learns the task relationship matrix by framing the objective function as a Bregman divergence minimization problem for positive definite matrices. Subsequently, we exploit this adaptively learned task-relationship matrix to select the most informative samples in an online multitask active learning setting. Experimental results on a number of real-world datasets and comparisons with numerous baselines establish the efficacy of our proposed approach.