DP-SPRT

Differentially private sequential probability ratio tests, in NumPy. Library implementation of DP-SPRT: Differentially Private Sequential Probability Ratio Tests (Michel, Basu and Kaufmann, AISTATS 2026). The JAX code that produced the paper's figures is here.

Requires Python 3.9 or later and NumPy. Matplotlib is needed only by the example scripts.

Installation

pip install dpsprt

Quick start

Each algorithm exposes an add_sample(x) method that returns (can_stop, decision) where decision is -1 (accept H₀), +1 (accept H₁), or 0 while sampling continues.

import numpy as np
from dpsprt import DPSPRT

test = DPSPRT(mu0=0.3, mu1=0.7, alpha=0.05, beta=0.05, epsilon=1.0, random_seed=0)
data = np.random.default_rng(0).binomial(1, 0.6, size=1000)

for t, x in enumerate(data, 1):
    can_stop, decision = test.add_sample(int(x))
    if can_stop:
        print(f"Stopped after {t} samples; decision = {decision}")
        break

For a one-shot batch interface, use run_sprt_on_batch. It calls reset() first, so it starts a fresh run with a new threshold noise draw:

from dpsprt import run_sprt_on_batch

decision, stopping_time, state = run_sprt_on_batch(test, data)

Algorithms

All five instantiate the OutsideInterval mechanism, which is (ε_Z + ε_Y)-DP by Theorem 1(i) of the paper. Each has a one-shot vectorized counterpart in dpsprt.core.algorithms (dp_sprt_laplace, dp_sprt_gaussian, …).

Notation follows the paper. C(n, δ) is the correction function, γ the error allocation between SPRT error and privacy noise (fixed here at max(0.5, 1 − 1/ε)), Z the threshold noise drawn once, Y_n the per-step query noise, and r the subsampling rate. DPSPRTSubsampled divides by the realised subsample count M_n, following the subsampling appendix rather than the deterministic r·n used by the JAX code that produced the paper's figures.

DPSPRTTuned's c₂ is the paper's κ, the factor scaling C(n, δ). Privacy holds for every c₂ > 0, since the noise is untouched; only the (α, β) guarantee needs c₂ ≥ 1. Smaller values are allowed. On the paper's Instance 1 at ε = 1 and α = β = 0.1, κ = 0.5 holds both error rates under target (0.037 and 0.032 over 600 runs) while cutting the mean stopping time from 292 to 96, and κ = 0.25 breaks the target at 0.25. The factor has to be re-estimated for every new setting.

OutsideInterval primitive

Algorithm 2 of the paper, exposed as a stand-alone DP continual-observation monitor.

from dpsprt import OutsideInterval

eps = 1.0
oi = OutsideInterval(
    lower_threshold=lambda t: -1.0,
    upper_threshold=lambda t:  1.0,
    query_noise_scale=4.0 / eps,       # Lap(4 * Delta / eps) on each query
    threshold_noise_scale=2.0 / eps,   # Lap(2 * Delta / eps) once, shared by both sides
    epsilon=eps,
    random_seed=0,
)

for value in sensor_stream:
    stopped, side = oi.add_query(value)
    if stopped:
        print("Upper" if side == 1 else "Lower", "bound crossed")
        break

The noise scales alone set the guarantee. epsilon is the budget you declare, and the constructor rejects a declaration that disagrees with what the scales implement. Theorem 1(i) of the paper gives that budget as eps_Z + eps_Y, where Z answers a sensitivity-Delta query and Y a sensitivity-2 * Delta one, so the scales above split a total eps evenly. Pass sensitivity if your queries are not sensitivity 1, and epsilon_tol=None to waive the check for non-Laplace noise.

The caller must supply query values of sensitivity at most Delta.

Examples

Runnable scripts under examples/:

• paper_experiments.py — reproduces the headline AISTATS 2026 figure.
• plot_stopping_times_vs_epsilon.py — stopping-time sweep across ε.
• stopping_times_demo.py — side-by-side comparison on a single stream.
• outside_interval_demo.py — OutsideInterval on a band-crossing scenario.

Privacy caveat

Noise is drawn with NumPy floating-point arithmetic and a non-cryptographic generator, so the guarantees are those of the idealized real-valued mechanisms. The known floating-point attacks on differentially private samplers are out of scope, and this library is not hardened against them.

Citation

@InProceedings{pmlr-v300-michel26a,
  title     = {DP-SPRT: Differentially Private Sequential Probability Ratio Tests},
  author    = {Michel, Thomas and Basu, Debabrota and Kaufmann, Emilie},
  booktitle = {Proceedings of The 29th International Conference on Artificial Intelligence and Statistics},
  pages     = {3097--3105},
  year      = {2026},
  volume    = {300},
  series    = {Proceedings of Machine Learning Research},
  publisher = {PMLR},
  url       = {https://proceedings.mlr.press/v300/michel26a.html}
}

License

MIT. See LICENSE.