2022
DOI: 10.48550/arxiv.2201.03387
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Adaptive strategy in Kelly's horse races model

Abstract: We formulate an adaptive version of Kelly's horse model in which the gambler learns from past race results using Bayesian inference. A known asymptotic scaling for the difference between the growth rate of the gambler and the optimal growth rate, known as the gambler's regret, is recovered. We show how this adaptive strategy is related to the universal portfolio strategy, and we build improved adaptive strategies in which the gambler exploits information contained in the bookmaker odds distribution to reduce h… Show more

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Cited by 2 publications
(2 citation statements)
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“…It would be interesting to explore further extensions of our framework to cases where sensing is present and where more phenotypic states are available. As a first step towards including sensing, one of us recently studied adaptive strategies in Kelly's model [32]. If these ideas can be extended to the problem of populations facing unpredictable environments, one may obtain from them an understanding of the adaptation process at the information level, comparable to what has already been achieved for gambling models.…”
Section: Discussionmentioning
confidence: 99%
“…It would be interesting to explore further extensions of our framework to cases where sensing is present and where more phenotypic states are available. As a first step towards including sensing, one of us recently studied adaptive strategies in Kelly's model [32]. If these ideas can be extended to the problem of populations facing unpredictable environments, one may obtain from them an understanding of the adaptation process at the information level, comparable to what has already been achieved for gambling models.…”
Section: Discussionmentioning
confidence: 99%
“…This is followed by a phase where the effects of selection become visible and average fitness increases roughly linearly. These fitness trajectories are reminiscent of the dynamics of learning through adaptive strategies in gambling problems, where an initial phase of loss of capital due to the cost of learning is followed by recovery Despons et al [2022]. Two numbers indicate the point in the trajectory at which selection leads to consistent improvement in fitness: minimum average fitness and time at which minimum fitness is achieved (Fig.…”
Section: Fitness Trajectories Involve a Transition From A Mutation Do...mentioning
confidence: 99%