I believe you missed one of the rules of Gurkenglas’ game, which was that there are at most 100 rounds. (Although it’s possible I misunderstood what they were trying to say.)
If you assume that play continues until one of the players is bankrupt then in fact there are lots of winning strategies. In particular betting any constant proportion less than 38.9%. The Kelly criterion isn’t unique among them.
My program doesn’t assume anything about the strategy. It just works backwards from the last round and calculates the optimal bet and expected value for each possible amount of money you could have, on the basis of the expected values in the next round which it has already calculated. (Assuming each bet is a whole number of cents.)
Does your program assume that the Kelly bet stays a fixed size, rather than changing?
Here’s a program you can paste in your browser that finds the expected value from following Kelly in Gurkenglas’ game (it finds EV to be 20)
https://pastebin.com/iTDK7jX6
(You can also fiddle with the first argument to
experimentto see some of the effects when 4 doesn’t hold)I believe you missed one of the rules of Gurkenglas’ game, which was that there are at most 100 rounds. (Although it’s possible I misunderstood what they were trying to say.)
If you assume that play continues until one of the players is bankrupt then in fact there are lots of winning strategies. In particular betting any constant proportion less than 38.9%. The Kelly criterion isn’t unique among them.
My program doesn’t assume anything about the strategy. It just works backwards from the last round and calculates the optimal bet and expected value for each possible amount of money you could have, on the basis of the expected values in the next round which it has already calculated. (Assuming each bet is a whole number of cents.)
I did indeed! So I guess this game fails (5) out of Zvi’s criteria.