Multi-Task Learning (MTL), as opposed to Single Task Learning (STL), has become a hot topic in machine learning research. For many real world problems in application areas such as medical decision making, pattern recognition, and finance forecasting – MTL has shown significant advantage to STL because of its ability to facilitate knowledge sharing between tasks. This thesis presents our recent studies on Knowledge Transfer (KT) – the process of transferring knowledge from one task to another, which is at the core of MTL. The novelly proposed KT algorithm for correlation multi-task machine learning adapts learner independence into MTL, thus empowering any ordinary classifier for MTL.