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Differentially Private Random Block Coordinate Descent

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arxiv 2412.17054 v1 pith:ZJXW5TUF submitted 2024-12-22 math.OC cs.CRcs.LGstat.ML

Differentially Private Random Block Coordinate Descent

classification math.OC cs.CRcs.LGstat.ML
keywords descentdifferentiallyprivatecoordinatemethodsdp-cdblockclassical
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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Coordinate Descent (CD) methods have gained significant attention in machine learning due to their effectiveness in solving high-dimensional problems and their ability to decompose complex optimization tasks. However, classical CD methods were neither designed nor analyzed with data privacy in mind, a critical concern when handling sensitive information. This has led to the development of differentially private CD methods, such as DP-CD (Differentially Private Coordinate Descent) proposed by Mangold et al. (ICML 2022), yet a disparity remains between non-private CD and DP-CD methods. In our work, we propose a differentially private random block coordinate descent method that selects multiple coordinates with varying probabilities in each iteration using sketch matrices. Our algorithm generalizes both DP-CD and the classical DP-SGD (Differentially Private Stochastic Gradient Descent), while preserving the same utility guarantees. Furthermore, we demonstrate that better utility can be achieved through importance sampling, as our method takes advantage of the heterogeneity in coordinate-wise smoothness constants, leading to improved convergence rates.

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Cited by 4 Pith papers

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