Model heterogeneity poses a significant challenge in Heterogeneous Federated Learning (HtFL). In scenarios with diverse model architectures, directly aggregating model parameters is impractical, leading HtFL methods to incorporate an extra objective alongside the original local objective on each client to facilitate collaboration. However, this often results in a mismatch between the extra and local objectives. To resolve this, we propose Federated Learning-to-Guide (FedL2G), a method that adaptively learns to guide local training in a federated manner, ensuring the added objective aligns with each client's original goal. With theoretical guarantees, FedL2G utilizes only first-order derivatives w.r.t. model parameters, achieving a non-convex convergence rate of O(1/T). We conduct extensive experiments across two data heterogeneity and six model heterogeneity settings, using 14 heterogeneous model architectures (e.g., CNNs and ViTs). The results show that FedL2G significantly outperforms seven state-of-the-art methods.
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