Date of Original Version

12-2009

Type

Conference Proceeding

Journal Title

Proceedings of the 9th International Conference on Data Mining

First Page

746

Last Page

751

Rights Management

© 2009 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.

Abstract or Description

Many real world learning problems can be recast as multi-task learning problems which utilize correlations among different tasks to obtain better generalization performance than learning each task individually. The feature selection problem in multi-task setting has many applications in fields of computer vision, text classification and bio-informatics. Generally, it can be realized by solving a L-1-infinity regularized optimization problem. And the solution automatically yields the joint sparsity among different tasks. However, due to the nonsmooth nature of the L-1-infinity norm, there lacks an efficient training algorithm for solving such problem with general convex loss functions. In this paper, we propose an accelerated gradient method based on an ``optimal'' first order black-box method named after Nesterov and provide the convergence rate for smooth convex loss functions. For nonsmooth convex loss functions, such as hinge loss, our method still has fast convergence rate empirically. Moreover, by exploiting the structure of the L-1-infinity ball, we solve the black-box oracle in Nesterov's method by a simple sorting scheme. Our method is suitable for large-scale multi-task learning problem since it only utilizes the first order information and is very easy to implement. Experimental results show that our method significantly outperforms the most state-of-the-art methods in both convergence speed and learning accuracy.

DOI

10.1109/ICDM.2009.128

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Published In

Proceedings of the 9th International Conference on Data Mining, 746-751.