High-Dimensional Privacy-Utility Dynamics of Noisy Stochastic Gradient Descent on Least Squares

The interplay between optimization and privacy has become a central theme in privacy-preserving machine learning. Noisy stochastic gradient descent (SGD) has emerged as a cornerstone algorithm, particularly in large-scale settings. These variants of gradient methods inject carefully calibrated noise into each update to achieve differential privacy, the gold standard notion of rigorous privacy guarantees. Prior work primarily provides various bounds on statistical risk and privacy loss for noisy SGD, yet the \textit{exact} behavior of the process remains unclear, particularly in high-dimensional settings. This work leverages a diffusion approach to analyze noisy SGD precisely, providing a continuous-time perspective that captures both statistical risk evolution and privacy loss dynamics in high dimensions. Moreover, we study a variant of noisy SGD that does not require explicit knowledge of gradient sensitivity, unlike existing work that assumes or enforces sensitivity through gradient clipping. Specifically, we focus on the least squares problem with $\ell_2$ regularization.