Title: | Differentially Private Metropolis–Hastings Algorithms |
Author: | Räisä, Ossi |
Other contributor: |
Helsingin yliopisto, Matemaattis-luonnontieteellinen tiedekunta
University of Helsinki, Faculty of Science Helsingfors universitet, Matematisk-naturvetenskapliga fakulteten |
Publisher: | Helsingin yliopisto |
Date: | 2021 |
Language: | eng |
URI: |
http://urn.fi/URN:NBN:fi:hulib-202105112135
http://hdl.handle.net/10138/329792 |
Thesis level: | master's thesis |
Degree program: |
Datatieteen maisteriohjelma
Master's Programme in Data Science Magisterprogrammet i data science |
Specialisation: |
ei opintosuuntaa
no specialization ingen studieinriktning |
Abstract: | Differential privacy has over the past decade become a widely used framework for privacy-preserving machine learning. At the same time, Markov chain Monte Carlo (MCMC) algorithms, particularly Metropolis-Hastings (MH) algorithms, have become an increasingly popular method of performing Bayesian inference. Surprisingly, their combination has not received much attention in the litera- ture. This thesis introduces the existing research on differentially private MH algorithms, proves tighter privacy bounds for them using recent developments in differential privacy, and develops two new differentially private MH algorithms: an algorithm using subsampling to lower privacy costs, and a differentially private variant of the Hamiltonian Monte Carlo algorithm. The privacy bounds of both new algorithms are proved, and convergence to the exact posterior is proven for the latter. The performance of both the old and the new algorithms is compared on several Bayesian inference problems, revealing that none of the algorithms is clearly better than the others, but subsampling is likely only useful to lower computational costs. |
Subject: |
Differential privacy
Metropolis-Hastings Markov chain Monte Carlo Hamiltonian Monte Carlo |
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