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The correlation matrices of the ground truth model, and the models learnt from RidgeSTL, RegMTL, and cCMTL. Darker color indicates higher correlation. In the ground truth there are 100 tasks clustered into 5 groups. Each task has 200 dimensions. 95 training samples and 5 testing samples are used in each task. The test errors (in terms of nMSE) for RidgeSTL, RegMTL, and cCMTL are 0.8077, 0.6830, 0.0354, respectively.
