Abstract
Concerns related to data security and confidentiality have been raised when applying machine learning to real-world applications. Differential privacy provides a principled and rigorous privacy guarantee for machine learning models. While it is common to inject noise to design a model satisfying a required differential-privacy property, it is generally hard to balance the trade-off between privacy and utility. We show that stochastic gradient Markov chain Monte Carlo (SG-MCMC) a class of scalable Bayesian posterior sampling algorithms satisfies strong differential privacy, when carefully chosen stepsizes are employed. We develop theory on the performance of the proposed differentially-private SG-MCMC method. We conduct experiments to support our analysis, and show that a standard SG-MCMC sampler with minor modification can reach state-of-the-art performance in terms of both privacy and utility on Bayesian learning.