High-Dimensional Private Empirical Risk Minimization by Greedy Coordinate Descent. (arXiv:2207.01560v2 [cs.LG] UPDATED)

In this paper, we study differentially private empirical risk minimization
(DP-ERM). It has been shown that the worst-case utility of DP-ERM reduces
polynomially as the dimension increases. This is a major obstacle to privately
learning large machine learning models. In high dimension, it is common for
some model's parameters to carry more information than others. To exploit this,
we propose a differentially private greedy coordinate descent (DP-GCD)
algorithm. At each iteration, DP-GCD privately performs a coordinate-wise
gradient step along the …

greedy minimization risk