Learning from Data with Heterogeneous Noise using SGD.

We consider learning from data of variable quality that may be obtained from different heterogeneous sources. Addressing learning from heterogenous data in its full generality is a challenging problem. In this paper, we adopt instead a model in which data is observed through heterogeneous noise, where the noise level reflects the quality of the data source. We study how to use stochastic gradient algorithms to learn in this model. Our study is motivated by two concrete examples where this problem arises naturally: learning with local differential privacy based on data from multiple sources with different privacy requirements, and learning from data with labels of variable quality. The main contribution of this paper is to identify how heterogeneous noise impacts performance. We show that given two datasets with heterogeneous noise, the order in which to use them in standard SGD depends on the learning rate. We propose a method for changing the learning rate as a function of the heterogeneity, and prove new regret bounds for our method in two cases of interest. Experiments on real data show that our method performs better than using a single learning rate and using only the less noisy of the two datasets when the noise level is low to moderate.