The effectiveness of a machine learning model does not only depend on the quantity of samples, but also the quality of data, especially the availability of high-quality features. Recently, a wide range of distributed and collaborative machine learning schemes, including gradient-based methods Li et al. (2014a); Li et al. (2014b); Hsieh et al. (2017); Ho et al. (2013) and ADMM-based methods Zhang et al. (2018); Shi et al. (2014); Zhang and Zhu (2016a); Huang et al. (2018), have been proposed to enable learning from distributed samples, since collecting data for centralized learning will incur compliance overhead, privacy concerns, or even judicial issues. Most existing schemes, however, are under the umbrella of data parallel
schemes, where multiple parties possess different training samples, each sample with the same set of features. For example, different users hold different images to jointly train a classifier.
An equally important scenario is to collaboratively learn from distributed features, where multiple parties may possess different features about a same sample, yet do not wish to share these features with each other. Examples include a user’s behavioural data logged by multiple apps, a patient’s record stored at different hospitals and clinics, a user’s investment behavior logged by multiple financial institutions and government agencies and so forth. The question is—how can we train a joint model to make predictions about a sample leveraging the potentially rich and vast features possessed by other parties, without requiring different parties to share their data to each other?
The motivation of gleaning insights from vertically partitioned data dates back to association rule mining Vaidya and Clifton (2002, 2003). A few very recent studies Kenthapadi et al. (2013); Ying et al. (2018); Hu et al. (2019); Heinze-Deml et al. (2018); Dai et al. (2018); Stolpe et al. (2016) have reinvestigated vertically partitioned features under the setting of distributed machine learning, which is motivated by the ever-increasing data dimensionality as well as the opportunity and challenge of cooperation between multiple parties that may hold different aspects of information about the same samples.
In this paper, we propose an ADMM algorithm to solve the empirical risk minimization (ERM) problem, a general optimization formulation of many machine learning models visited by a number of recent studies on distributed machine learning Ying et al. (2018); Chaudhuri et al. (2011). We propose an ADMM-sharing-based distributed algorithm to solve ERM, in which each participant does not need to share any raw features or local model parameters to other parties. Instead, each party only transmits a single value for each sample to other parties, thus largely preventing the local features from being disclosed. We establish theoretical convergence guarantees and iteration complexity results under the non-convex loss in a fully parallel setting, whereas previously, the convergence of ADMM sharing algorithm for non-convex losses is only known for the case of sequential (Gauss-Seidel) execution Hong et al. (2016).
To further provide privacy guarantees, we present a privacy-preserving version of the ADMM sharing algorithm, in which the transmitted value from each party is perturbed by a carefully designed Gaussian noise to achieve the notion of -differential privacy Dwork (2008); Dwork et al. (2014)
. For distributed features, the perturbed algorithm ensures that the probability distribution of the values shared is relatively insensitive to any change to a single feature in a party’s local dataset.
Experimental results on two realistic datasets suggest that our proposed ADMM sharing algorithm can converge efficiently. Compared to the gradient-based method, our method can scale as the number of features increases and yields robust convergence. The algorithm can also converge with moderate amounts of Gaussian perturbation added, therefore enabling the utilization of features from other parties to improve the local machine learning task.
1.1 Related Work
Machine Learning Algorithms and Privacy. Chaudhuri and Monteleoni (2009)
is one of the first studies combing machine learning and differential privacy (DP), focusing on logistic regression.Shokri and Shmatikov (2015)
applies a variant of SGD to collaborative deep learning in a data-parallel fashion and introduces its variant with DP.Abadi et al. (2016)
provides a stronger differential privacy guarantee for training deep neural networks using a momentum accountant method.Pathak et al. (2010); Rajkumar and Agarwal (2012) apply DP to collaborative machine learning, with an inherent tradeoff between the privacy cost and utility achieved by the trained model. Recently, DP has been applied to ADMM algorithms to solve multi-party machine learning problems Zhang et al. (2018); Zhang and Zhu (2016a); Zhang et al. (2019); Zhang and Zhu (2017).
However, all the work above is targeting the data-parallel scenario, where samples are distributed among nodes. The uniqueness of our work is to enable privacy-preserving machine learning among nodes with vertically partitioned features, or in other words, the feature-parallel setting, which is equally important and is yet to be explored.
Another approach to privacy-preserving machine learning is through encryption Gilad-Bachrach et al. (2016); Takabi et al. (2016); Kikuchi et al. (2018) or secret sharing Mohassel and Zhang (2017); Wan et al. (2007); Bonte and Vercauteren (2018), so that models are trained on encrypted data. However, encryption cannot be generalized to all algorithms or operations, and incurs additional computational cost.
Learning over Distributed Features. Gratton et al. (2018)
applies ADMM to solve ridge regression.Ying et al. (2018)
proposes a stochastic learning method via variance reduction.Zhou et al. (2016) proposes a proximal gradient method and mainly focuses on speeding up training in a model-parallel scenario. These studies do not consider the privacy issue. Hu et al. (2019) proposes a composite model structure that can jointly learn from distributed features via a SGD-based algorithm and its DP-enabled version, yet without offering theoretical privacy guarantees. Our work establishes the first
-differential privacy guarantee result for learning over distributed features. Experimental results further suggest that our ADMM sharing method converges in fewer epochs than gradient methods in the case of high dimensional features. This is critical to preserving privacy in machine learning since the privacy loss increases as the number of epochs increasesDwork et al. (2014).
Querying Vertically Partitioned Data Privately. Vaidya and Clifton (2002); Evfimievski et al. (2004); Dwork and Nissim (2004) are among the early studies that investigate the privacy issue of querying vertically partitioned data. Kenthapadi et al. (2012) adopts a random-kernel-based method to mine vertically partitioned data privately. These studies provide privacy guarantees for simpler static queries, while we focus on machine learning jobs, where the risk comes from the shared values in the optimization algorithm. Our design simultaneously achieves minimum message passing, fast convergence, and a theoretically bounded privacy cost under the DP framework.
2 Empirical Risk Minimization over Distributed Features
Consider samples, each with features distributed on parties, which do not wish to share data with each other. The entire dataset can be viewed as vertical partitions , where denotes the data possessed by the th party and is the dimension of features on party . Clearly, . Let denote the th row of , and be the th row of (). Then, we have
where , (). Let be the label of sample .
Let represent the model parameters, where are the local parameters associated with the th party. The objective is to find a model with parameters to minimize the regularized empirical risk, i.e.,
where is a closed convex set and the regularizer prevents overfitting.
Similar to recent literature on distributed machine learning Ying et al. (2018); Zhou et al. (2016), ADMM Zhang and Zhu (2016a); Zhang et al. (2018), and privacy-preserving machine learning Chaudhuri et al. (2011); Hamm et al. (2016), we assume the loss has a form
where we have abused the notation of and in the second equality absorbed the label into the loss
, which is possibly a non-convex function. This framework incorporates a wide range of commonly used models including support vector machines, Lasso, logistic regression, boosting, etc.
Therefore, the risk minimization over distributed features, or vertically partitioned datasets , can be written in the following compact form:
where is a closed convex set for all .
We have further assumed the regularizer is separable such that This assumption is consistent with our algorithm design philosophy—under vertically partitioned data, we require each party focus on training and regularizing its local model , without sharing any local model parameters or raw features to other parties at all.
3 The ADMM Sharing Algorithm
We present an ADMM sharing algorithm Boyd et al. (2011); Hong et al. (2016) to solve Problem (1) and establish a convergence guarantee for the algorithm. Our algorithm requires each party only share a single value to other parties in each iteration, thus requiring the minimum message passing. In particular, Problem (1) is equivalent to
where is an auxiliary variable. The corresponding augmented Lagrangian is given by
where is the dual variable and is the penalty factor. In the iteration of the algorithm, variables are updated according to
Formally, in a distributed and fully parallel manner, the algorithm is described in Algorithm 1. Note that each party needs the value to complete the update, and Line 3, 4 and 12 in Algorithm 1 present a trick to reduce communication overhead.
3.1 Convergence Analysis
We follow Hong et al. Hong et al. (2016) to establish the convergence guarantee of the proposed algorithm under mild assumptions. Note that Hong et al. (2016) provides convergence analysis for the Gauss-Seidel version of the ADMM sharing, where are updated sequentially, which is not naturally suitable to parallel implementation. In (6) of our algorithm, ’s can be updated by different parties in parallel in each iteration. We establish convergence as well as iteration complexity results for this parallel scenario, which is more realistic in distributed learning. We need the following set of common assumptions.
There exists a positive constant such that
Moreover, for all , ’s are closed convex sets; each
is of full column rank so that the minimum eigenvalueof matrix is positive.
The objective function in Problem 1 is lower bounded over and we denote the lower bound as .
is either smooth nonconvex or convex (possibly nonsmooth). For the former case, there exists such that for all .
Denote as the index set, such that when , is convex, otherwise, is nonconvex but smooth. Our convergence results show that under mild assumptions, the iteratively updated variables eventually converge to the set of primal-dual stationary solutions.
Suppose Assumption 1 holds true, we have the following results:
Any limit point of the sequence is a stationary solution of problem (1) in the sense that
(9) (10) (11) (12)
3.2 Iteration Complexity Analysis
We evaluate the iteration complexity over a Lyapunov function. More specifically, we define as
with . It is easy to verify that when , a stationary solution is achieved due to the properties. The result for the iteration complexity is stated in the following theorem, which provides a quantification of how fast our algorithm converges. Theorem 2 shows that the algorithm converges in the sense that the Lyapunov function will be less than any within iterations.
4 Differentially Private ADMM Sharing
Differential privacy Dwork et al. (2014); Zhou et al. (2010) is a notion that ensures a strong guarantee for data privacy. The intuition is to keep the query results from a dataset relatively close if one of the entries in the dataset changes, by adding some well designed random noise into the query, so that little information on the raw data can be inferred from the query. Formally, the definition of differential privacy is given in Definition 1.
A randomized algorithm is differentially private if for all , and for all and , such that :
In our ADMM algorithm, the shared messages may reveal sensitive information from the data entry in of Party . We perturb the shared value in Algorithm 1 with a carefully designed random noise to provide differential privacy. The resulted perturbed ADMM sharing algorithm is the following updates:
In the remaining part of this section, we demonstrate that (16) guarantees differential privacy with outputs for some carefully selected . Beside Assumption 1, we introduce another set of assumptions widely used by the literature.
The feasible set and the dual variable are bounded; their norms have an upper bound .
The regularizer is doubly differentiable with , where is a finite constant.
Each row of is normalized and has an norm of 1.
Note that Assumption 2.1 is adopted in Sarwate and Chaudhuri (2013) and Wang et al. (2019). Assumption 2.2 comes from Zhang and Zhu (2016b) and Assumption 2.3 comes from Zhang and Zhu (2016b) and Sarwate and Chaudhuri (2013). As a typical method in differential privacy analysis, we first study the sensitivity of , which is defined by:
The -norm sensitivity of is defined by:
where and are two neighbouring datasets differing in only one feature column, and is the derived from the first line of equation (16) under dataset .
We have Lemma 1 to state the upper bound of the -norm sensitivity of .
Then each iteration guarantees -differential privacy. Specifically, for any neighboring datasets and , for any output and , the following inequality always holds:
With an application of the composition theory in Dwork et al. (2014), we come to a result stating the overall privacy guarantee for the whole training procedure.
For any , the algorithm described in (16) satisfies differential privacy within epochs of updates, where
We test our algorithm by training -norm regularized logistic regression on two popular public datasets, namely, a9a from UCI Dua and Graff (2017) and giette Guyon et al. (2005). We get the datasets from Lib ([n.d.]) so that we follow the same preprocessing procedure listed there. a9a dataset is MB and contains 32561 training samples, 16281 testing samples and 123 features. We divide the dataset into two parts, with the first part containing the first 66 features and the second part remaining 57 features. The first part is regarded as the local party who wishes to improve its prediction model with the help of data from the other party. On the other hand, gisette dataset is MB and contains 6000 training samples, 1000 testing samples and 5000 features. Similarly, we divide the features into 3 parts, the first 2000 features being the first part regarded as the local data, the next 2000 features being the second part, and the remaining 1000 as the third part. Note that a9a is small in terms of the number of features and gisette has a relatively higher dimensional feature space.
A prototype system is implemented in Python to verify our proposed algorithm. Specifically, we use optimization library from scipy to handle the optimization subproblems. We apply L-BFGS-B algorithm to do the update in (6) and entry-wise optimization for in (7). We run the experiment on a machine equipped with Intel(R) Core(TM) i9-9900X CPU @ 3.50GHz and 128 GB of memory.
We compare our algorithm against an SGD based algorithm proposed in Hu et al. (2019). We keep track of the training objective value (log loss plus the regularizer), the testing log loss for each epoch for different datasets and parameter settings. We also test our algorithm with different levels of Gaussian noise added. In the training procedure, we initialize the elements in , and with while we initialize the parameter for the SGD-based algorithm with random numbers.
Fig. 1 and Fig. 2 show a typical trace of the training objective and testing log loss against epochs for a9a and gisette, respectively. On a9a, the ADMM algorithm is slightly slower than the SGD based algorithm, while they reach the same testing log loss in the end. On gisette, the SGD based algorithm converges slowly while the ADMM algorithm is efficient and robust. The testing log loss from the ADMM algorithm quickly converges to 0.08 after a few epochs, but the SGD based algorithm converges to only 0.1 with much more epochs. This shows that the ADMM algorithm is superior when the number of features is large. In fact, for each epoch, the update is a trivial quadratic program and can be efficiently solved numerically. The update contains optimization over computationally expensive functions, but for each sample, it is always an optimization over a single scalar so that it can be solved efficiently via scalar optimization and scales with the number of features.
Fig. 3 shows the testing loss for ADMM with different levels of Gaussian noise added. The other two baselines are the logistic regression model trained over all the features (in a centralized way) and that trained over only the local features in the first party. The baselines are trained with the built-in logistic regression function from sklearn library. We can see that there is a significant performance boost if we employ more features to help training the model on Party 1. Interestingly, in Fig. 3(b), the ADMM sharing has even better performance than the baseline trained with all features with sklearn. It further shows that the ADMM sharing is better at datasets with a large number of features.
Moreover, after applying moderate random perturbations, the proposed algorithm can still converge in a relatively small number of epochs, as Fig. 1(b) and Fig. 2(b) suggest, although too much noise may ruin the model. Therefore, ADMM sharing algorithm under moderate perturbation can improve the local model and the privacy cost is well contained as the algorithm converges in a few epochs.
We study learning over distributed features (vertically partitioned data) where none of the parties shall share the local data. We propose the parallel ADMM sharing algorithm to solve this challenging problem where only intermediate values are shared, without even sharing model parameters. We have shown the convergence for convex and non-convex loss functions. To further protect the data privacy, we apply the differential privacy technique in the training procedure to derive a privacy guarantee withinepochs. We implement a prototype system and evaluate the proposed algorithm on two representative datasets in risk minimization. The result shows that the ADMM sharing algorithm converges efficiently, especially on dataset with large number of features. Furthermore, the differentially private ADMM algorithm yields better prediction accuracy than model trained from only local features while ensuring a certain level of differential privacy guarantee.
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7 Supplementary Materials
7.1 Proof of Theorem 1
correspondingly. We prove the following four lemmas to help prove the theorem.
Under Assumption 1, we have
Proof. By the optimality in (7), we have
Combined with (8), we can get
Suppose Assumption 1 holds. We have
Proof. The LFH can be decomposed into two parts as
For the first term, we have
For the second term, we have
Suppose Assumption 1 holds. Then the following limit exists and is bounded from below: