For a $d$-dimensional log-concave distribution $\pi(\theta)\propto e^{-f(\theta)}$ on a polytope $K$, we consider the problem of outputting samples from a distribution $\nu$ which is $O(\varepsilon)$-close in infinity-distance $\sup_{\theta\in K}|\log\frac{\nu(\theta)}{\pi(\theta)}|$ to $\pi$. Such samplers with infinity-distance guarantees are specifically desired for differentially private optimization as traditional sampling algorithms which come with total-variation distance or KL divergence bounds are insufficient to guarantee differential privacy. Our main result is an algorithm that outputs a point from a distribution $O(\varepsilon)$-close to $\pi$ in infinity-distance and requires $O((md+dL^2R^2)\times(LR+d\log(\frac{Rd+LRd}{\varepsilon r}))\times md^{\omega-1})$ arithmetic operations, where $f$ is $L$-Lipschitz, $K$ is defined by $m$ inequalities, is contained in a ball of radius $R$ and contains a ball of smaller radius $r$, and $\omega$ is the matrix-multiplication constant. In particular this runtime is logarithmic in $\frac{1}{\varepsilon}$ and significantly improves on prior works. Technically, we depart from the prior works that construct Markov chains on a $\frac{1}{\varepsilon^2}$-discretization of $K$ to achieve a sample with $O(\varepsilon)$ infinity-distance error, and present a method to convert continuous samples from $K$ with total-variation bounds to samples with infinity bounds. To achieve improved dependence on $d$, we present a "soft-threshold" version of the Dikin walk which may be of independent interest. Plugging our algorithm into the framework of the exponential mechanism yields similar improvements in the running time of $\varepsilon$-pure differentially private algorithms for optimization problems such as empirical risk minimization of Lipschitz-convex functions and low-rank approximation, while still achieving the tightest known utility bounds.
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The current paper studies the problem of minimizing a loss $f(\boldsymbol{x})$ subject to constraints of the form $\boldsymbol{D}\boldsymbol{x} \in S$, where $S$ is a closed set, convex or not, and $\boldsymbol{D}$ is a matrix that fuses parameters. Fusion constraints can capture smoothness, sparsity, or more general constraint patterns. To tackle this generic class of problems, we combine the Beltrami-Courant penalty method with the proximal distance principle. The latter is driven by minimization of penalized objectives $f(\boldsymbol{x})+\frac{\rho}{2}\text{dist}(\boldsymbol{D}\boldsymbol{x},S)^2$ involving large tuning constants $\rho$ and the squared Euclidean distance of $\boldsymbol{D}\boldsymbol{x}$ from $S$. The next iterate $\boldsymbol{x}_{n+1}$ of the corresponding proximal distance algorithm is constructed from the current iterate $\boldsymbol{x}_n$ by minimizing the majorizing surrogate function $f(\boldsymbol{x})+\frac{\rho}{2}\|\boldsymbol{D}\boldsymbol{x}-\mathcal{P}_{S}(\boldsymbol{D}\boldsymbol{x}_n)\|^2$. For fixed $\rho$ and a subanalytic loss $f(\boldsymbol{x})$ and a subanalytic constraint set $S$, we prove convergence to a stationary point. Under stronger assumptions, we provide convergence rates and demonstrate linear local convergence. We also construct a steepest descent (SD) variant to avoid costly linear system solves. To benchmark our algorithms, we compare against the alternating direction method of multipliers (ADMM). Our extensive numerical tests include problems on metric projection, convex regression, convex clustering, total variation image denoising, and projection of a matrix to a good condition number. These experiments demonstrate the superior speed and acceptable accuracy of our steepest variant on high-dimensional problems.
Differential privacy schemes have been widely adopted in recent years to address issues of data privacy protection. We propose a new Gaussian scheme combining with another data protection technique, called random orthogonal matrix masking, to achieve $(\varepsilon, \delta)$-differential privacy (DP) more efficiently. We prove that the additional matrix masking significantly reduces the rate of noise variance required in the Gaussian scheme to achieve $(\varepsilon, \delta)-$DP in big data setting. Specifically, when $\varepsilon \to 0$, $\delta \to 0$, and the sample size $n$ exceeds the number $p$ of attributes by $\frac{n}{p}=O(ln(1/\delta))$, the required additive noise variance to achieve $(\varepsilon, \delta)$-DP is reduced from $O(ln(1/\delta)/\varepsilon^2)$ to $O(1/\varepsilon)$. With much less noise added, the resulting differential privacy protected pseudo data sets allow much more accurate inferences, thus can significantly improve the scope of application for differential privacy.
Estimating the quantiles of a large dataset is a fundamental problem in both the streaming algorithms literature and the differential privacy literature. However, all existing private mechanisms for distribution-independent quantile computation require space at least linear in the input size $n$. In this work, we devise a differentially private algorithm for the quantile estimation problem, with strongly sublinear space complexity, in the one-shot and continual observation settings. Our basic mechanism estimates any $\alpha$-approximate quantile of a length-$n$ stream over a data universe $\mathcal{X}$ with probability $1-\beta$ using $O\left( \frac{\log (|\mathcal{X}|/\beta) \log (\alpha \epsilon n)}{\alpha \epsilon} \right)$ space while satisfying $\epsilon$-differential privacy at a single time point. Our approach builds upon deterministic streaming algorithms for non-private quantile estimation instantiating the exponential mechanism using a utility function defined on sketch items, while (privately) sampling from intervals defined by the sketch. We also present another algorithm based on histograms that is especially suited to the multiple quantiles case. We implement our algorithms and experimentally evaluate them on synthetic and real-world datasets.
We consider a platform's problem of collecting data from privacy sensitive users to estimate an underlying parameter of interest. We formulate this question as a Bayesian-optimal mechanism design problem, in which an individual can share her (verifiable) data in exchange for a monetary reward or services, but at the same time has a (private) heterogeneous privacy cost which we quantify using differential privacy. We consider two popular differential privacy settings for providing privacy guarantees for the users: central and local. In both settings, we establish minimax lower bounds for the estimation error and derive (near) optimal estimators for given heterogeneous privacy loss levels for users. Building on this characterization, we pose the mechanism design problem as the optimal selection of an estimator and payments that will elicit truthful reporting of users' privacy sensitivities. Under a regularity condition on the distribution of privacy sensitivities we develop efficient algorithmic mechanisms to solve this problem in both privacy settings. Our mechanism in the central setting can be implemented in time $\mathcal{O}(n \log n)$ where $n$ is the number of users and our mechanism in the local setting admits a Polynomial Time Approximation Scheme (PTAS).
This paper focuses on stochastic saddle point problems with decision-dependent distributions in both the static and time-varying settings. These are problems whose objective is the expected value of a stochastic payoff function, where random variables are drawn from a distribution induced by a distributional map. For general distributional maps, the problem of finding saddle points is in general computationally burdensome, even if the distribution is known. To enable a tractable solution approach, we introduce the notion of equilibrium points -- which are saddle points for the stationary stochastic minimax problem that they induce -- and provide conditions for their existence and uniqueness. We demonstrate that the distance between the two classes of solutions is bounded provided that the objective has a strongly-convex-strongly-concave payoff and Lipschitz continuous distributional map. We develop deterministic and stochastic primal-dual algorithms and demonstrate their convergence to the equilibrium point. In particular, by modeling errors emerging from a stochastic gradient estimator as sub-Weibull random variables, we provide error bounds in expectation and in high probability that hold for each iteration; moreover, we show convergence to a neighborhood in expectation and almost surely. Finally, we investigate a condition on the distributional map -- which we call opposing mixture dominance -- that ensures the objective is strongly-convex-strongly-concave. Under this assumption, we show that primal-dual algorithms converge to the saddle points in a similar fashion.
In the paper, we propose a class of accelerated zeroth-order and first-order momentum methods for both nonconvex mini-optimization and minimax-optimization. Specifically, we propose a new accelerated zeroth-order momentum (Acc-ZOM) method for black-box mini-optimization. Moreover, we prove that our Acc-ZOM method achieves a lower query complexity of $\tilde{O}(d^{3/4}\epsilon^{-3})$ for finding an $\epsilon$-stationary point, which improves the best known result by a factor of $O(d^{1/4})$ where $d$ denotes the variable dimension. In particular, the Acc-ZOM does not require large batches required in the existing zeroth-order stochastic algorithms. Meanwhile, we propose an accelerated \textbf{zeroth-order} momentum descent ascent (Acc-ZOMDA) method for \textbf{black-box} minimax-optimization, which obtains a query complexity of $\tilde{O}((d_1+d_2)^{3/4}\kappa_y^{4.5}\epsilon^{-3})$ without large batches for finding an $\epsilon$-stationary point, where $d_1$ and $d_2$ denote variable dimensions and $\kappa_y$ is condition number. Moreover, we propose an accelerated \textbf{first-order} momentum descent ascent (Acc-MDA) method for \textbf{white-box} minimax optimization, which has a gradient complexity of $\tilde{O}(\kappa_y^{4.5}\epsilon^{-3})$ without large batches for finding an $\epsilon$-stationary point. In particular, our Acc-MDA can obtain a lower gradient complexity of $\tilde{O}(\kappa_y^{2.5}\epsilon^{-3})$ with a batch size $O(\kappa_y^4)$. Extensive experimental results on black-box adversarial attack to deep neural networks and poisoning attack to logistic regression demonstrate efficiency of our algorithms.
We study the accuracy of differentially private mechanisms in the continual release model. A continual release mechanism receives a sensitive dataset as a stream of $T$ inputs and produces, after receiving each input, an accurate output on the obtained inputs.In contrast, a batch algorithm receives the data as one batch and produces a single output. We provide the first strong lower bounds on the error of continual release mechanisms. In particular, for two fundamental problems that are widely studied and used in the batch model, we show that the worst case error of every continual release algorithm is $\tilde \Omega(T^{1/3})$ times larger than that of the best batch algorithm. Previous work shows only a polylogarithimic (in $T$) gap between the worst case error achievable in these two models; further, for many problems, including the summation of binary attributes, the polylogarithmic gap is tight (Dwork et al., 2010; Chan et al., 2010). Our results show that problems closely related to summation -- specifically, those that require selecting the largest of a set of sums -- are fundamentally harder in the continual release model than in the batch model. Our lower bounds assume only that privacy holds for streams fixed in advance (the "nonadaptive" setting). However, we provide matching upper bounds that hold in a model where privacy is required even for adaptively selected streams. This model may be of independent interest.
Alternating Direction Method of Multipliers (ADMM) is a widely used tool for machine learning in distributed settings, where a machine learning model is trained over distributed data sources through an interactive process of local computation and message passing. Such an iterative process could cause privacy concerns of data owners. The goal of this paper is to provide differential privacy for ADMM-based distributed machine learning. Prior approaches on differentially private ADMM exhibit low utility under high privacy guarantee and often assume the objective functions of the learning problems to be smooth and strongly convex. To address these concerns, we propose a novel differentially private ADMM-based distributed learning algorithm called DP-ADMM, which combines an approximate augmented Lagrangian function with time-varying Gaussian noise addition in the iterative process to achieve higher utility for general objective functions under the same differential privacy guarantee. We also apply the moments accountant method to bound the end-to-end privacy loss. The theoretical analysis shows that DP-ADMM can be applied to a wider class of distributed learning problems, is provably convergent, and offers an explicit utility-privacy tradeoff. To our knowledge, this is the first paper to provide explicit convergence and utility properties for differentially private ADMM-based distributed learning algorithms. The evaluation results demonstrate that our approach can achieve good convergence and model accuracy under high end-to-end differential privacy guarantee.
In this work, we consider the distributed optimization of non-smooth convex functions using a network of computing units. We investigate this problem under two regularity assumptions: (1) the Lipschitz continuity of the global objective function, and (2) the Lipschitz continuity of local individual functions. Under the local regularity assumption, we provide the first optimal first-order decentralized algorithm called multi-step primal-dual (MSPD) and its corresponding optimal convergence rate. A notable aspect of this result is that, for non-smooth functions, while the dominant term of the error is in $O(1/\sqrt{t})$, the structure of the communication network only impacts a second-order term in $O(1/t)$, where $t$ is time. In other words, the error due to limits in communication resources decreases at a fast rate even in the case of non-strongly-convex objective functions. Under the global regularity assumption, we provide a simple yet efficient algorithm called distributed randomized smoothing (DRS) based on a local smoothing of the objective function, and show that DRS is within a $d^{1/4}$ multiplicative factor of the optimal convergence rate, where $d$ is the underlying dimension.
In this paper, we study the optimal convergence rate for distributed convex optimization problems in networks. We model the communication restrictions imposed by the network as a set of affine constraints and provide optimal complexity bounds for four different setups, namely: the function $F(\xb) \triangleq \sum_{i=1}^{m}f_i(\xb)$ is strongly convex and smooth, either strongly convex or smooth or just convex. Our results show that Nesterov's accelerated gradient descent on the dual problem can be executed in a distributed manner and obtains the same optimal rates as in the centralized version of the problem (up to constant or logarithmic factors) with an additional cost related to the spectral gap of the interaction matrix. Finally, we discuss some extensions to the proposed setup such as proximal friendly functions, time-varying graphs, improvement of the condition numbers.
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