Multi-Task Processes

Neural Processes (NPs) consider a task as a function realized from a stochastic process and flexibly adapt to unseen tasks through inference on functions. However, naive NPs can model data from only a single stochastic process and are designed to infer each task independently. Since many real-world data represent a set of correlated tasks from multiple sources (e.g., multiple attributes and multi-sensor data), it is beneficial to infer them jointly and exploit the underlying correlation to improve the predictive performance. To this end, we propose Multi-Task Processes (MTPs), an extension of NPs designed to jointly infer tasks realized from multiple stochastic processes. We build our MTPs in a hierarchical manner such that inter-task correlation is considered by conditioning all per-task latent variables on a single global latent variable. In addition, we further design our MTPs so that they can address multi-task settings with incomplete data (i.e., not all tasks share the same set of input points), which has high practical demands in various applications. Experiments demonstrate that MTPs can successfully model multiple tasks jointly by discovering and exploiting their correlations in various real-world data such as time series of weather attributes and pixel-aligned visual modalities.