PrivateMultiplicativeWeights.jl

This package implements MWEM, a simple and practical algorithm for differentially private data release.

MIT Licensed. See LICENSE.md.

Installation

Open a Julia prompt and call:

Pkg.clone("https://github.com/mrtzh/PrivateMultiplicativeWeights.jl.git")

Main Features

• Differentially private synthetic data preserving lower order marginals of an input data set
• Optimized in-memory implementation for small number of data attributes
• Scalable heuristic for large number of data attributes
• Easy-to-use interfaces for custom query sets and data representations

Examples

Histogram approximations

Check out histograms.ipynb for details on how to use the algorithm to compute differentially private histogram approximations.

Marginal approximations

The package can also be used to create synthetic data that approximates the lower order marginals of a data set with binary features. For the sake of illustration, we create a random data set with hidden correlations. Columns correspond to data points.

d, n = 20, 1000
data_matrix = rand(0:1, d ,n)
data_matrix[3, :] = data_matrix[1, :] .* data_matrix[2, :]

We can run MWEM to produce synthetic data accurate for 1st, 2nd, 3rd order marginals of the source data.

using PrivateMultiplicativeWeights
mw = mwem(Parities(d, 3), Tabular(data_matrix))

This will convert the data to its explicit histogram representation of size 2^d and may not be useful when d is large. See section on factored histograms for an alternative when the dimension d is large.

Convert histograms to matrices

We can convert synthetic data in histogram representation to a tabular (matrix) representation.

table = Tabular(mw.synthetic, n)

Compute error of approximation

Compute error achieved by MWEM:

maximum_error(mw), mean_squared_error(mw)

Note that these statistics are not differentially private.

Parameters

Parameters can be set flexibly with the MWParameters constructor:

mw = mwem(Parities(d, 3),
          Tabular(data_matrix),
          MWParameters(epsilon=1.0,
                       iterations=10,
                       repetitions=10,
                       verbose=false,
                       noisy_init=false))

Available parameters:

Name	Default	Description
epsilon	1.0	Privacy parameter per iteration. Each iteration of MWEM is epsilon-differentially private. Total privacy guarantees follow via composition theorems.
iterations	10	Number of iterations of MWEM. Each iteration corresponds to selecting one query via the exponential mechanism, evaluating the query on the data, and updating the internal state.
repetitions	10	Number of times MWEM cycles through previously measured queries per iteration. This has no additional privacy cost.
noisy_init	false	Histogram initalization through noise addition. This incurs an additional epsilon privacy cost. When noisy_init is set to false, the initialization is uniform.
verbose	false	print timing and error statistics per iteration (information is not differentially private)

The function MWParameters accepts any subset of parameters, e.g., MWParameter(epsilon=0.5, iterations=5).

Data representations

Histogram representation

By default, MWEM works with the histogram representation of a data sets. This means that the data is represented by a vector whose length is equal to the size of domain. For example, data consisting of d binary attributes would be converted to an array of length 2^d. MWEM needs to store and array of this length in main memory, which is often the computational bottleneck.

Factored histograms

When the histogram representation is too large, try using factored histograms. Factored histograms maintain a product distribution over clusters of attributes of the data. Each component is represented using a single histogram. Components are merged as it becomes necessary. This often allows to scale up MWEM by orders of magnitude.

d, n = 100, 1000
data_matrix = rand(0:1, d, n)
data_matrix[3, :] = data_matrix[1, :] .* data_matrix[2, :]
mw = mwem(FactorParities(d, 3), Tabular(data_matrix))

Also see examples.jl.

Query representations

There are two ways to define custom query sets.

Histogram queries

Histogram queries are linear functions in the histogram representation of the data. You can define custom query workloads by using HistogramQueries(query_matrix) instead of Parities(d, 3). Here query matrix is an N x k matrix specifying the query set in its Histogram representation, N is the histogram length and k is the k is the number of queries.

Custom query types

To build query sets with your own implicit representations, sub-type Query and Queries. Implement the functions specified in src/interface.jl.

See src/parities.jl for an example.

Available query sets

• Parities(d, k)

  Parities of k out of d attributes. This corresponds to approximating k-way marginals of the original data.

• FactorParities(d, k)

  Parities of k out of d attributes for factored histogram representation.

• RangeQueries(N)

  Range queries corresponding to all interval queries over a histogram of length N.

Contributing to this package

There are many ways to contribute to this repository:

• Experiments
• Additional query sets (e.g., two-dimensional range queries)
• Additional tests, debugging, optimization
• Additional documentation

Citing this package

The MWEM algorithm was presented in the following paper:

@inproceedings{HLM12,
  author = "Moritz Hardt and Katrina Ligett and Frank McSherry",
  title = "A simple and practical algorithm for differentially-private data release",
  booktitle = {Proc.\ $26$th Neural Information Processing Systems (NIPS)},
  year = {2012},
}

Status