Differentially Private Quantiles with Smaller Error
Jacob Imola, Fabrizio Boninsegna, Hannah Keller, Anders Aamand, Amrita Roy Chowdhury, Rasmus Pagh
In the approximate quantiles problem, the goal is to output $m$ quantile estimates, the ranks of which are as close as possible to $m$ given quantiles $q_1,\dots,q_m$. We present a mechanism for approximate quantiles that satisfies $\varepsilon$-differential privacy for a dataset of $n$ real numbers where the ratio between the closest pair of points and the size of the domain is bounded by $b$.As long as the minimum gap between quantiles is large enough, $|q_i-q_{i-1}|\geq \Omega\left(\frac{m\log(m)\log(b)}{n\varepsilon}\right)$ for all $i$, the maximum rank error of our mechanism is $O\left(\frac{\log(b) + \log^2(m)}{\varepsilon}\right)$ with high probability.Previously, the best known algorithm under pure DP was due to Kaplan, Schnapp, and Stemmer (ICML '22), who achieve a bound of $O\left(\log(b)\log^2(m)/\varepsilon\right)$, so we save a factor $\Omega(\min(\log(b),\log^2(m)))$.Our improvement stems from the use of continual counting techniques to randomize the quantiles in a correlated way.We also present an $(\varepsilon,\delta)$-differentially private mechanism that relaxes the gap assumption without affecting the error bound, improving on existing methods when $\delta$ is sufficiently close to zero.We provide experimental evaluation  which confirms that our mechanism performs favorably compared to prior work in practice, in particular when the number of quantiles $m$ is large.