Alzheimer's Disease (AD), the most common type of dementia, is a severe neurodegenerative disorder. Identifying markers that can track the progress of the disease has recently received increasing attentions in AD research. A definitive diagnosis of AD requires autopsy confirmation, thus many clinical/cognitive measures including Mini Mental State Examination (MMSE) and Alzheimer's Disease Assessment Scale cognitive subscale (ADAS-Cog) have been designed to evaluate the cognitive status of the patients and used as important criteria for clinical diagnosis of probable AD. In this paper, we propose a multi-task learning formulation for predicting the disease progression measured by the cognitive scores and selecting markers predictive of the progression. Specifically, we formulate the prediction problem as a multi-task regression problem by considering the prediction at each time point as a task. We capture the intrinsic relatedness among different tasks by a temporal group Lasso regularizer. The regularizer consists of two components including an ℓ 2,1-norm penalty on the regression weight vectors, which ensures that a small subset of features will be selected for the regression models at all time points, and a temporal smoothness term which ensures a small deviation between two regression models at successive time points. We have performed extensive evaluations using various types of data at the baseline from the Alzheimer's Disease Neuroimaging Initiative (ADNI) database for predicting the future MMSE and ADAS-Cog scores. Our experimental studies demonstrate the effectiveness of the proposed algorithm for capturing the progression trend and the cross-sectional group differences of AD severity. Results also show that most markers selected by the proposed algorithm are consistent with findings from existing cross-sectional studies.