Fast, Sample-Efficient, Affine-Invariant Private Mean and Covariance Estimation for Subgaussian Distributions
This addresses efficient private estimation for subgaussian distributions, answering an open question in the field, though it is incremental as similar results were obtained concurrently by others.
The paper tackles the problem of high-dimensional covariance-aware mean estimation with differential privacy, achieving nearly optimal sample complexity and fast runtime, where previously only exponential-time estimators existed, with sample bounds like n ≳ d/α² + d√(log 1/δ)/(αε) + d log 1/δ/ε for Mahalanobis error α.
We present a fast, differentially private algorithm for high-dimensional covariance-aware mean estimation with nearly optimal sample complexity. Only exponential-time estimators were previously known to achieve this guarantee. Given $n$ samples from a (sub-)Gaussian distribution with unknown mean $μ$ and covariance $Σ$, our $(\varepsilon,δ)$-differentially private estimator produces $\tildeμ$ such that $\|μ- \tildeμ\|_Σ \leq α$ as long as $n \gtrsim \tfrac d {α^2} + \tfrac{d \sqrt{\log 1/δ}}{α\varepsilon}+\frac{d\log 1/δ}{\varepsilon}$. The Mahalanobis error metric $\|μ- \hatμ\|_Σ$ measures the distance between $\hat μ$ and $μ$ relative to $Σ$; it characterizes the error of the sample mean. Our algorithm runs in time $\tilde{O}(nd^{ω- 1} + nd/\varepsilon)$, where $ω< 2.38$ is the matrix multiplication exponent. We adapt an exponential-time approach of Brown, Gaboardi, Smith, Ullman, and Zakynthinou (2021), giving efficient variants of stable mean and covariance estimation subroutines that also improve the sample complexity to the nearly optimal bound above. Our stable covariance estimator can be turned to private covariance estimation for unrestricted subgaussian distributions. With $n\gtrsim d^{3/2}$ samples, our estimate is accurate in spectral norm. This is the first such algorithm using $n= o(d^2)$ samples, answering an open question posed by Alabi et al. (2022). With $n\gtrsim d^2$ samples, our estimate is accurate in Frobenius norm. This leads to a fast, nearly optimal algorithm for private learning of unrestricted Gaussian distributions in TV distance. Duchi, Haque, and Kuditipudi (2023) obtained similar results independently and concurrently.