Human immunodeficiency virus (HIV) and cancer require personalized therapies owing to their inherent heterogeneous nature. For both diseases, large-scale pharmacogenomic screens of molecularly characterized samples have been generated with the hope of identifying genetic predictors of drug susceptibility. Thus, computational algorithms capable of inferring robust predictors of drug responses from genomic information are of great practical importance. Most of the existing computational studies that consider drug susceptibility prediction against a panel of drugs formulate a separate learning problem for each drug, which cannot make use of commonalities between subsets of drugs.