Bayesian optimization (BO) is a sample-efficient approach to optimizing costly-toevaluate black-box functions. Most BO methods ignore how evaluation costs may vary over the optimization domain. However, these costs can be highly heterogeneous and are often unknown in advance. This occurs in many practical settings, such as hyperparameter tuning of machine learning algorithms or physics-based simulation optimization. Moreover, those few existing methods that acknowledge cost heterogeneity do not naturally accommodate a budget constraint on the total evaluation cost.

We propose and analyze algorithms to solve a range of learning tasks under userlevel differential privacy constraints. Rather than guaranteeing only the privacy of individual samples, user-level DP protects a user's entire contribution (m 1 samples), providing more stringent but more realistic protection against information leaks. We show that for high-dimensional mean estimation, empirical risk minimization with smooth losses, stochastic convex optimization, and learning hypothesis classes with finite metric entropy, the privacy cost decreases as O(1/ m) as users provide more samples.

Stochastic gradient descent (SGD) is a prevalent optimization technique for largescale distributed machine learning. While SGD computation can be efficiently divided between multiple machines, communication typically becomes a bottleneck in the distributed setting. Gradient compression methods can be used to alleviate this problem, and a recent line of work shows that SGD augmented with gradient compression converges to an ε-first-order stationary point. In this paper we extend these results to convergence to an ε-second-order stationary point (ε-SOSP), which is to the best of our knowledge the first result of this type. In addition, we show that, when the stochastic gradient is not Lipschitz, compressed SGD with RANDOMK compressor converges to an ε-SOSP with the same number of iterations as uncompressed SGD [25], while improving the total communication by a factor of Θ( dε 3/4), where dis the dimension of the optimization problem. We present additional results for the cases when the compressor is arbitrary and when the stochastic gradient is Lipschitz.