How to Set $β_1, β_2$ in Adam: An Online Learning Perspective

While Adam is one of the most effective optimizer for training large-scale machine learning models, a theoretical understanding of how to optimally set its momentum factors, $\beta_1$ and $\beta_2$, remains largely incomplete.Prior works have shown that Adam can be seen as an instance of Follow-the-Regularized-Leader (FTRL), one of the most important class of algorithms in online learning.The prior analyses in these works required setting $\beta_1 = \sqrt{\beta_2}$, which does not cover the more practical cases with $\beta_1 \neq \sqrt{\beta_2}$.We derive novel, more general analyses that hold for both $\beta_1 \geq \sqrt{\beta_2}$ and $\beta_1 \leq \sqrt{\beta_2}$.In both cases, our results strictly generalize the existing bounds.Furthermore, we show that our bounds are tight in the worst case.We also prove that setting $\beta_1 = \sqrt{\beta_2}$ is optimal for an oblivious adversary, but sub-optimal for an non-oblivious adversary.