  Recursive least-squares algorithms often use forgetting factors as a
heuristic to adapt to non-stationary data streams. The first contribution of
this paper rigorously characterizes the effect of forgetting factors for a
class of online Newton algorithms. For exp-concave and strongly convex
objectives, the algorithms achieve the dynamic regret of $\max\{O(\log
T),O(\sqrt{TV})\}$, where $V$ is a bound on the path length of the comparison
sequence. In particular, we show how classic recursive least-squares with a
forgetting factor achieves this dynamic regret bound. By varying $V$, we obtain
a trade-off between static and dynamic regret. In order to obtain more
computationally efficient algorithms, our second contribution is a novel
gradient descent step size rule for strongly convex functions. Our gradient
descent rule recovers the order optimal dynamic regret bounds described above.
For smooth problems, we can also obtain static regret of $O(T^{1-\beta})$ and
dynamic regret of $O(T^\beta V^*)$, where $\beta \in (0,1)$ and $V^*$ is the
path length of the sequence of minimizers. By varying $\beta$, we obtain a
trade-off between static and dynamic regret.
