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Audio tags correspond to keywords that people use to describe different aspects of a music clip. With the explosive growth of digital music available on the Web, automatic audio tagging, which can be used to annotate unknown music or retrieve desirable music, is becoming increasingly important. This can be achieved by training a binary classifier for each tag based on the labeled music data. Our method that won the MIREX 2009 audio tagging competition is one of this kind of methods. However, since social tags are usually assigned by people with different levels of musical knowledge, they inevitably contain noisy information. By treating the tag counts as costs, we can model the audio tagging problem as a cost-sensitive classification problem. In addition, tag correlation information is useful for automatic audio tagging since some tags often co-occur. By considering the co-occurrences of tags, we can model the audio tagging problem as a multi-label classification problem. To exploit the tag count and correlation information jointly, we formulate the audio tagging task as a novel cost-sensitive multi-label (CSML) learning problem and propose two solutions to solve it. The experimental results demonstrate that the new approach outperforms our MIREX 2009 winning method.