Multi-task Learning by Maximizing Statistical Dependence

We present a new multi-task learning (MTL) approach that can be applied to multiple heterogeneous task estimators. Our motivation is that the best task estimator could change depending on the task itself. For example, we may have a deep neural network for the first task and a Gaussian process for the second task. Classical MTL approaches cannot handle this case, as they require the same model or even the same parameter types for all tasks. We tackle this by considering task-specific estimators as random variables. Then, the task relationships are discovered by measuring the statistical dependence between each pair of random variables. By doing so, our model is independent of the parametric nature of each task, and is even agnostic to the existence of such parametric formulation. We compare our algorithm with existing MTL approaches on challenging real world ranking and regression datasets, and show that our approach achieves comparable or better performance without knowing the parametric form.