Banded Square Root Matrix Factorization for Differentially Private Model Training

However, these methods suffer from high computational overhead because they require numerically solving a demanding optimization problem to determine an approximately optimal factorization prior to the actual model training. In this work, we present a new matrix factorization approach, BSR, which overcomes this computational bottleneck. By exploiting properties of the standard matrix square root, BSR allows to efficiently handle also large-scale problems.