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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, $β_1$ and $β_2$, 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 $β_1 = \sqrt{β_2}$, which does not cover the more practical cases with $β_1 \neq \sqrt{β_2}$. We derive novel, more general analyses that hold for both $β_1 \geq \sqrt{β_2}$ and $β_1 \leq \sqrt{β_2}$. 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 $β_1 = \sqrt{β_2}$ is optimal for an oblivious adversary, but sub-optimal for an non-oblivious adversary.

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