Asynchronous Multi-Task Learning

Many real-world machine learning applications involve several learning tasks which are inter-related. For example, in healthcare domain, we need to learn a predictive model of a certain disease for many hospitals. The models for each hospital may be different because of the inherent differences in the distributions of the patient populations. However, the models are also closely related because of the nature of the learning tasks modeling the same disease. By simultaneously learning all the tasks, multi-task learning (MTL) paradigm performs inductive knowledge transfer among tasks to improve the generalization performance. When datasets for the learning tasks are stored at different locations, it may not always be feasible to transfer the data to provide a data-centralized computing environment due to various practical issues such as high data volume and privacy. In this paper, we propose a principled MTL framework for distributed and asynchronous optimization to address the aforementioned challenges. In our framework, gradient update does not wait for collecting the gradient information from all the tasks. Therefore, the proposed method is very efficient when the communication delay is too high for some task nodes. We show that many regularized MTL formulations can benefit from this framework, including the low-rank MTL for shared subspace learning. Empirical studies on both synthetic and real-world datasets demonstrate the efficiency and effectiveness of the proposed framework.