Unified Convergence Analysis for Adaptive Optimization with Moving Average Estimator

• URL: http://arxiv.org/abs/2104.14840v5
• Date: Sat, 09 Nov 2024 18:13:55 GMT
• Title: Unified Convergence Analysis for Adaptive Optimization with Moving Average Estimator
• Authors: Zhishuai Guo, Yi Xu, Wotao Yin, Rong Jin, Tianbao Yang,
• Abstract summary: We show that an increasing large momentum parameter for the first-order moment is sufficient for adaptive scaling. We also give insights for increasing the momentum in a stagewise manner in accordance with stagewise decreasing step size.
• Score: 75.05106948314956
• License:
• Abstract: Although adaptive optimization algorithms have been successful in many applications, there are still some mysteries in terms of convergence analysis that have not been unraveled. This paper provides a novel non-convex analysis of adaptive optimization to uncover some of these mysteries. Our contributions are three-fold. First, we show that an increasing or large enough momentum parameter for the first-order moment used in practice is sufficient to ensure the convergence of adaptive algorithms whose adaptive scaling factors of the step size are bounded. Second, our analysis gives insights for practical implementations, e.g., increasing the momentum parameter in a stage-wise manner in accordance with stagewise decreasing step size would help improve the convergence. Third, the modular nature of our analysis allows its extension to solving other optimization problems, e.g., compositional, min-max and bilevel problems. As an interesting yet non-trivial use case, we present algorithms for solving non-convex min-max optimization and bilevel optimization that do not require using large batches of data to estimate gradients or double loops as the literature do. Our empirical studies corroborate our theoretical results.

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