Mediolanum
With the division of the Roman Empire into an eastern half and a western half in AD 285 by the Emperor Diocletian, the city of Mediolanum (Milan) became the capital of the Western Empire. Diocletian ruled the eastern half of the empire and Maximian ruled the western half from Mediolanum with Rome as a “ceremonial” or symbolic capital.
Because it was on the edges of the empire, the emperor had strong control over the military there, and it also ensure protection from potential Gallic threats.