AbstractMulti-task auxiliary learning utilizes a set of relevant auxiliary tasks to improve the performance of a primary task. A common usage is to manually select multiple auxiliary tasks for multi-task learning on all data, which raises two issues: (1) selecting beneficial auxiliary tasks for a primary task is nontrivial; (2) when the auxiliary datasets are large, training on all data becomes time-expensive and impractical. Therefore, this paper focuses on addressing these problems and proposes a time-efficient sampling method to select the data that is most relevant to the primary task. The proposed method allows us to only train on the most beneficial sub-datasets from the auxiliary tasks, achieving efficient multi-task auxiliary learning. The experiments on three benchmark datasets (RTE, MRPC, STS-B) show that our method significantly outperforms random sampling and ST-DNN. Also, by applying our method, the model can surpass fully-trained MT-DNN on RTE, MRPC, STS-B, using only 50%, 66%, and 1% of data, respectively.