Bayesian neural network (BNN) allows for uncertainty quantification in
prediction, offering an advantage over regular neural networks that has not
been explored in the differential privacy (DP) framework. We fill this
important gap by leveraging recent development in Bayesian deep learning and
privacy accounting to offer a more precise analysis of the trade-off between
privacy and accuracy in BNN. We propose three DP-BNNs that characterize the
weight uncertainty for the same network architecture in distinct ways, namely
DP-SGLD (via the noisy gradient method), DP-BBP (via changing the parameters of
interest) and DP-MC Dropout (via the model architecture). Interestingly, we
show a new equivalence between DP-SGD and DP-SGLD, implying that some
non-Bayesian DP training naturally allows for uncertainty quantification.
However, the hyperparameters such as learning rate and batch size, can have
different or even opposite effects in DP-SGD and DP-SGLD.

Extensive experiments are conducted to compare DP-BNNs, in terms of privacy
guarantee, prediction accuracy, uncertainty quantification, calibration,
computation speed, and generalizability to network architecture. As a result,
we observe a new tradeoff between the privacy and the reliability. When
compared to non-DP and non-Bayesian approaches, DP-SGLD is remarkably accurate
under strong privacy guarantee, demonstrating the great potential of DP-BNN in
real-world tasks.

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