A multi-task machine learning method is performed to generate a multi-task (MT) predictor for a set of tasks including at least two tasks. The machine learning method includes: learning a multi-task decision tree (MT-DT) including learning decision rules for nodes of the MT-DT that optimize an aggregate information gain (IG) that aggregates single-task IG values for tasks of the set of tasks; and constructing the MT predictor based on the learned MT-DT. In some embodiments the aggregate IG is the largest single-task IG value of the single-task IG values. In some embodiments the machine learning method includes repeating the MT-DT learning operation for different subsets of a training set to generate a set of learned MT-DT's, and the constructing comprises constructing the MT predictor as a weighted combination of outputs of the set of MT-DT's.