Union Support Recovery in Multi-task Learning

Mladen Kolar, John Lafferty, Larry Wasserman.

Year: 2011, Volume: 12, Issue: 72, Pages: 2415−2435


We sharply characterize the performance of different penalization schemes for the problem of selecting the relevant variables in the multi-task setting. Previous work focuses on the regression problem where conditions on the design matrix complicate the analysis. A clearer and simpler picture emerges by studying the Normal means model. This model, often used in the field of statistics, is a simplified model that provides a laboratory for studying complex procedures.