I don't really understand what are the samples, the labels and the
features in your case and how much unlabeled data do you have and what
do you mean by "I have completed the classification task on 1st
database.": if you have labeled datasets what does "completion of the
classification task" mean?.

As for scalable co-variate shift you might be interested in this blog post:

http://blog.smola.org/post/4110255196/real-simple-covariate-shift-correction

-- 
Olivier

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