Convergence Guarantees for RMSProp and Adam in Generalized-smooth Non-convex Optimization with Affine Noise Variance

This paper provides the first tight convergence analyses for RMSProp and Adam in non-convex optimization under the most relaxed assumptions of coordinate-wise generalized smoothness and affine noise variance. We first analyze RMSProp, which is a special case of Adam with adaptive learning rates but without first-order momentum. Specifically, to solve the challenges due to dependence among adaptive update, unbounded gradient estimate and Lipschitz constant, we demonstrate that the first-order term in the descent lemma converges and its denominator is upper bounded by a function of gradient norm. Based on this result, we show that RMSProp with proper hyperparameters converges to an ε-stationary point with an iteration complexity of mathcal O(ε-4). We then generalize our analysis to Adam, where the additional challenge is due to a mismatch between the gradient and first-order momentum. We develop a new upper bound on the first-order term in the descent lemma, which is also a function of the gradient norm. We show that Adam with proper hyperparameters converges to an ε-stationary point with an iteration complexity of mathcal O(ε-4). Our complexity results for both RMSProp and Adam match with the complexity lower bound established in citearjevani2023lower.