The identification of descriptors of materials properties and functions that capture the underlying physical mechanisms is a critical goal in data-driven materials science. Only such descriptors will enable a trustful and efficient scanning of materials spaces and possibly the discovery of new materials. Recently, the sure-independence screening and sparsifying operator (SISSO) has been introduced and was successfully applied to a number of materials-science problems. SISSO is a compressed-sensing based methodology yielding predictive models that are expressed in form of analytical formulas, built from simple physical properties. These formulas are systematically selected from an immense number (billions or more) of candidates. In this work, we describe a powerful extension of the methodology to a multi-task learning approach, which identifies a single descriptor capturing multiple target materials properties at the same time. This approach is specifically suited for a heterogeneous materials database with scarce or partial data, e.g., in which not all properties are reported for all materials in the training set. As showcase examples, we address the construction of materials-properties maps for the relative stability of octet-binary compounds, considering several crystal phases simultaneously, and the metal/insulator classification of binary materials distributed over many crystal-prototypes.
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