Near-Optimal Private Linear Regression via Iterative Hessian Mixing

We study differentially private ordinary least squares (DP-OLS) with bounded data. The dominant approach, adaptive sufficient-statistics perturbation (AdaSSP), adds an adaptively chosen perturbation to the sufficient statistics, namely, the matrix $X^{\top}X$ and the vector $X^{\top}Y$, and is known to achieve near-optimal accuracy and to have strong empirical performance. In contrast, methods that rely on Gaussian-sketching, which ensure differential privacy by pre-multiplying the data with a random Gaussian matrix, are widely used in federated and distributed regression, yet remain relatively uncommon for DP-OLS. In this work, we introduce the iterative Hessian mixing, a novel DP-OLS algorithm that relies on Gaussian sketches and is inspired by the iterative Hessian sketch algorithm. We provide utility analysis for the iterative Hessian mixing as well as a new analysis for the previous methods that rely on Gaussian sketches. Then, we show that our new approach circumvents the intrinsic limitations of the prior methods and provides non-trivial improvements over AdaSSP. We conclude by running an extensive set of experiments across standard benchmarks to demonstrate further that our approach consistently outperforms these prior baselines.