We study private stochastic convex optimization (SCO) under user-level differential privacy (DP) constraints. In this setting, there are nnn users, each possessing mmm data items, and we need to protect the privacy of each user’s entire collection of data items. Existing algorithms for user-level DP SCO are impractical in many large-scale machine learning scenarios because: (i) they make restrictive assumptions on the smoothness parameter of the loss function and require the number of users to grow polynomially with the dimension of the parameter space; or (ii) they are prohibitively slow…Apple Machine Learning Research