New Paper - Private Adaptive Covariance Estimation via Gaussian Graphical Models
I have a new paper out with my colleagues from UMass Amherst, which studies the problem of differentially private covariance estimation for continuous data. While many existing private covariance methods measure the full covariance matrix, we propose an iterative and adaptive method focusing on allocating the privacy budget to the most informative entries. The tricky part is that the resulting partial, noisy matrix is not necessarily a valid covariance matrix, i.e., is not PSD in general (or usually). We introduce an optimization routine to reconstruct the maximum entropy covariance matrix from the measured entries. This paper contains a lot of interesting optimization ideas for working with covariance matrices under differential privacy!

