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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 (ε,δ)-differentially private estimator produces μ~ such that ∥μ−μ~∥Σ≤α as long as n≳dα2+dlog1/δ√αε+dlog1/δε. The Mahalanobis error metric ∥μ−μ^∥Σ measures the distance between μ^ and μ relative to Σ; it characterizes the error of the sample mean. Our algorithm runs in time O~(ndω−1+nd/ε), 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≳d3/2 samples, our estimate is accurate in spectral norm. This is the first such algorithm using n=o(d2) samples, answering an open question posed by Alabi et al. (2022). With n≳d2 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.
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Oja's Algorithm for Streaming Sparse PCA
Oja's algorithm for Streaming Principal Component Analysis (PCA) for n data-points in a d dimensional space achieves the same sin-squared error O(r𝖾𝖿𝖿/n) as the offline algorithm in O(d) space and O(nd) time and a single pass through the datapoints. Here r𝖾𝖿𝖿 is the effective rank (ratio of the trace and the principal eigenvalue of the population covariance matrix Σ). Under this computational budget, we consider the problem of sparse PCA, where the principal eigenvector of Σ is s-sparse, and r𝖾𝖿𝖿 can be large. In this setting, to our knowledge, \textit{there are no known single-pass algorithms} that achieve the minimax error bound in O(d) space and O(nd) time without either requiring strong initialization conditions or assuming further structure (e.g., spiked) of the covariance matrix. We show that a simple single-pass procedure that thresholds the output of Oja's algorithm (the Oja vector) can achieve the minimax error bound under some regularity conditions in O(d) space and O(nd) time. We present a nontrivial and novel analysis of the entries of the unnormalized Oja vector, which involves the projection of a product of independent random matrices on a random initial vector. This is completely different from previous analyses of Oja's algorithm and matrix products, which have been done when the r𝖾𝖿𝖿 is bounded.
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- Award ID(s):
- 2505865
- PAR ID:
- 10631160
- Publisher / Repository:
- https://doi.org/10.48550/arXiv.2402.07240
- Date Published:
- ISSN:
- 2402.07240
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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