We propose and analyze algorithms to solve a range of learning tasks under user-level differential privacy constraints. Rather than guaranteeing only the privacy of individual samples, user-level DP protects a users entire contribution ($m ge 1$ samples), providing more stringent but more realistic protection against information leaks. We show that for high-dimensional mean estimation, empirical risk minimization with smooth losses, stochastic convex optimization, and learning hypothesis class with finite metric entropy, the privacy cost decreases as $O(1/sqrt{m})$ as users provide more samples. In contrast, when increasing the number of users $n$, the privacy cost decreases at a faster $O(1/n)$ rate. We complement these results with lower bounds showing the worst-case optimality of our algorithm for mean estimation and stochastic convex optimization. Our algorithms rely on novel techniques for private mean estimation in arbitrary dimension with error scaling as the concentration radius $tau$ of the distribution rather than the entire range. Under uniform convergence, we derive an algorithm that privately answers a sequence of $K$ adaptively chosen queries with privacy cost proportional to $tau$, and apply it to solve the learning tasks we consider.
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