Training and Evaluating Causal Forecasting Models for Time-Series

Deep learning time-series models are often used to make forecasts that inform downstream decisions. Since these decisions can differ from those in the training set, there is an implicit requirement that time-series models will generalize outside of their training distribution. Despite this core requirement, time-series models are typically trained and evaluated on in-distribution predictive tasks. We extend the orthogonal statistical learning framework to train causal time-series models that generalize better when forecasting the effect of actions outside of their training distribution. To evaluate these models, we leverage Regression Discontinuity Designs popular in economics to construct a test set of causal treatment effects.

Adaptive Randomized Smoothing: Certifying Multi-Step Defences against Adversarial Examples

We propose Adaptive Randomized Smoothing (ARS) to certify the predictions of our test-time adaptive models against adversarial examples. ARS extends the analysis of randomized smoothing using f-Differential Privacy to certify the adaptive composition of multiple steps. For the first time, our theory covers the sound adaptive composition of general and high-dimensional functions of noisy input. We instantiate ARS on deep image classification to certify predictions against adversarial examples of bounded $L_{\infty}$ norm. In the $L_{\infty}$ threat model, our flexibility enables adaptation through high-dimensional input-dependent masking. We design adaptivity benchmarks, based on CIFAR-10 and CelebA, and show that ARS improves accuracy by $2$ to $5\%$ points. On ImageNet, ARS improves accuracy by $1$ to $3\%$ points over standard RS without adaptivity.

Efficient and Adaptive Posterior Sampling Algorithms for Bandits

We study Thompson Sampling-based algorithms for stochastic bandits with bounded rewards. As the existing problem-dependent regret bound for Thompson Sampling with Gaussian priors [Agrawal and Goyal, 2017] is vacuous when $T \le 288 e^{64}$, we derive a more practical bound that tightens the coefficient of the leading term %from $288 e^{64}$ to $1270$. Additionally, motivated by large-scale real-world applications that require scalability, adaptive computational resource allocation, and a balance in utility and computation, we propose two parameterized Thompson Sampling-based algorithms: Thompson Sampling with Model Aggregation (TS-MA-$\alpha$) and Thompson Sampling with Timestamp Duelling (TS-TD-$\alpha$), where $\alpha \in [0,1]$ controls the trade-off between utility and computation. Both algorithms achieve $O \left(K\ln^{\alpha+1}(T)/\Delta \right)$ regret bound, where $K$ is the number of arms, $T$ is the finite learning horizon, and $\Delta$ denotes the single round performance loss when pulling a sub-optimal arm.

PANORAMIA: Privacy Auditing of Machine Learning Models without Retraining

We introduce a privacy auditing scheme for ML models that relies on membership inference attacks using generated data as "non-members". This scheme, which we call PANORAMIA, quantifies the privacy leakage for large-scale ML models without control of the training process or model re-training and only requires access to a subset of the training data. To demonstrate its applicability, we evaluate our auditing scheme across multiple ML domains, ranging from image and tabular data classification to large-scale language models.

DP-AdamBC: Your DP-Adam Is Actually DP-SGD

The Adam optimizer is a popular choice in contemporary deep learning, due to its strong empirical performance. However we observe that in privacy sensitive scenarios, the traditional use of Differential Privacy (DP) with the Adam optimizer leads to sub-optimal performance on several tasks. We find that this performance degradation is due to a DP bias in Adam's second moment estimator, introduced by the addition of independent noise in the gradient computation to enforce DP guarantees. This DP bias leads to a different scaling for low variance parameter updates, that is inconsistent with the behavior of non-private Adam. We propose DP-AdamBC, an optimization algorithm which removes the bias in the second moment estimation and retrieves the expected behaviour of Adam. Empirically, DP-AdamBC significantly improves the optimization performance of DP-Adam by up to 3.5% in final accuracy in image, text, and graph node classification tasks.

DP-Adam: Correcting DP Bias in Adam's Second Moment Estimation

We observe that the traditional use of DP with the Adam optimizer introduces a bias in the second moment estimation, due to the addition of independent noise in the gradient computation. This bias leads to a different scaling for low variance parameter updates, that is inconsistent with the behavior of non-private Adam, and Adam's sign descent interpretation. Empirically, correcting the bias introduced by DP noise significantly improves the optimization performance of DP-Adam.

Packing Privacy Budget Efficiently

Machine learning (ML) models can leak information about users, and differential privacy (DP) provides a rigorous way to bound that leakage under a given budget. This DP budget can be regarded as a new type of compute resource in workloads of multiple ML models training on user data. Once it is used, the DP budget is forever consumed. Therefore, it is crucial to allocate it most efficiently to train as many models as possible. This paper presents the scheduler for privacy that optimizes for efficiency. We formulate privacy scheduling as a new type of multidimensional knapsack problem, called privacy knapsack, which maximizes DP budget efficiency. We show that privacy knapsack is NP-hard, hence practical algorithms are necessarily approximate. We develop an approximation algorithm for privacy knapsack, DPK, and evaluate it on microbenchmarks and on a new, synthetic private-ML workload we developed from the Alibaba ML cluster trace. We show that DPK: (1) often approaches the efficiency-optimal schedule, (2) consistently schedules more tasks compared to a state-of-the-art privacy scheduling algorithm that focused on fairness (1.3-1.7x in Alibaba, 1.0-2.6x in microbenchmarks), but (3) sacrifices some level of fairness for efficiency. Therefore, using DPK, DP ML operators should be able to train more models on the same amount of user data while offering the same privacy guarantee to their users.

GlueFL: Reconciling Client Sampling and Model Masking for Bandwidth Efficient Federated Learning

Federated learning (FL) is an effective technique to directly involve edge devices in machine learning training while preserving client privacy. However, the substantial communication overhead of FL makes training challenging when edge devices have limited network bandwidth. Existing work to optimize FL bandwidth overlooks downstream transmission and does not account for FL client sampling. In this paper we propose GlueFL, a framework that incorporates new client sampling and model compression algorithms to mitigate low download bandwidths of FL clients. GlueFL prioritizes recently used clients and bounds the number of changed positions in compression masks in each round. Across three popular FL datasets and three state-of-the-art strategies, GlueFL reduces downstream client bandwidth by 27% on average and reduces training time by 29% on average.

Sayer: Using Implicit Feedback to Optimize System Policies

We observe that many system policies that make threshold decisions involving a resource (e.g., time, memory, cores) naturally reveal additional, or implicit feedback. For example, if a system waits X min for an event to occur, then it automatically learns what would have happened if it waited <X min, because time has a cumulative property. This feedback tells us about alternative decisions, and can be used to improve the system policy. However, leveraging implicit feedback is difficult because it tends to be one-sided or incomplete, and may depend on the outcome of the event. As a result, existing practices for using feedback, such as simply incorporating it into a data-driven model, suffer from bias. We develop a methodology, called Sayer, that leverages implicit feedback to evaluate and train new system policies. Sayer builds on two ideas from reinforcement learning -- randomized exploration and unbiased counterfactual estimators -- to leverage data collected by an existing policy to estimate the performance of new candidate policies, without actually deploying those policies. Sayer uses implicit exploration and implicit data augmentation to generate implicit feedback in an unbiased form, which is then used by an implicit counterfactual estimator to evaluate and train new policies. The key idea underlying these techniques is to assign implicit probabilities to decisions that are not actually taken but whose feedback can be inferred; these probabilities are carefully calculated to ensure statistical unbiasedness. We apply Sayer to two production scenarios in Azure, and show that it can evaluate arbitrary policies accurately, and train new policies that outperform the production policies.

Privacy Budget Scheduling

Machine learning (ML) models trained on personal data have been shown to leak information about users. Differential privacy (DP) enables model training with a guaranteed bound on this leakage. Each new model trained with DP increases the bound on data leakage and can be seen as consuming part of a global privacy budget that should not be exceeded. This budget is a scarce resource that must be carefully managed to maximize the number of successfully trained models. We describe PrivateKube, an extension to the popular Kubernetes datacenter orchestrator that adds privacy as a new type of resource to be managed alongside other traditional compute resources, such as CPU, GPU, and memory. The abstractions we design for the privacy resource mirror those defined by Kubernetes for traditional resources, but there are also major differences. For example, traditional compute resources are replenishable while privacy is not: a CPU can be regained after a model finishes execution while privacy budget cannot. This distinction forces a re-design of the scheduler. We present DPF (Dominant Private Block Fairness) -- a variant of the popular Dominant Resource Fairness (DRF) algorithm -- that is geared toward the non-replenishable privacy resource but enjoys similar theoretical properties as DRF. We evaluate PrivateKube and DPF on microbenchmarks and an ML workload on Amazon Reviews data. Compared to existing baselines, DPF allows training more models under the same global privacy guarantee. This is especially true for DPF over R\'enyi DP, a highly composable form of DP.