The article proposes a new multi-task learning (MTL) method called Multi-Task Learning via Robust Regularized Clustering (MTLRRC) that can handle outlier tasks. Existing MTL methods based on task clustering often ignore outlier tasks that have large task-specific components or no relation to other tasks.
To address this issue, MTLRRC incorporates robust regularization terms inspired by robust convex clustering, which is further extended to handle non-convex and group-sparse penalties. This extension allows MTLRRC to simultaneously perform robust task clustering and outlier task detection.
The article establishes a connection between the extended robust clustering and the multivariate M-estimator, providing an interpretation of the robustness of MTLRRC against outlier tasks. An efficient algorithm based on a modified alternating direction method of multipliers is developed for parameter estimation.
The effectiveness of MTLRRC is demonstrated through simulation studies and application to real data. The results show that MTLRRC with non-convex penalties can detect true outlier tasks while minimizing false outlier task detection, outperforming existing methods.
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