Multi-task support vector machine with pinball loss

Yunhao Zhang, Jiajun Yu, Xinyi Dong, Ping Zhong

Abstract: Highlights•Two novel multi-task algorithms named MTL-pin-SVM I and MTL-pin-SVM II are proposed.•The proposed methods achieve noise insensitivity and re-sampling stability.•MTL-pin-SVM II can utilize different nonlinear transformations for different tasks.•The regularization parameter gets a balance between common and private information.•Validity is verified by comparing them with related algorithms on benchmark datasets.