Technical Program

Paper Detail

Paper Title Gambling and Rényi Divergence
Paper IdentifierTH3.R7.1
Authors Cédric Bleuler, Amos Lapidoth, Christoph Pfister, ETH Zürich, Switzerland
Session New Directions in Renyi Entropy
Location Bièvre, Level 5
Session Time Thursday, 11 July, 14:30 - 16:10
Presentation Time Thursday, 11 July, 14:30 - 14:50
Manuscript  Click here to download the manuscript
Abstract For gambling on horses, a one-parameter family of utility functions is proposed, which contains Kelly’s logarithmic criterion and the expected-return criterion as special cases. The strategies that maximize the utility function are derived, and the connection to the Rényi divergence is shown. Optimal strategies are also derived when the gambler has some side information; this setting leads to a novel conditional Rényi divergence.