Add Kelly betting

Author: alok

kelly.py

@@ -0,0 +1,61 @@
+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+
+import gym
+import numpy as np
+
+
+class AverageMeter:
+ """Computes and stores the average and current value."""
+
+ def __init__(self, name, fmt=":f"):
+ self.name = name
+ self.fmt = fmt
+ self.reset()
+
+ def reset(self):
+ self.val = 0
+ self.avg = 0
+ self.sum = 0
+ self.count = 0
+
+ def update(self, val, n=1):
+ self.val = val
+ self.sum += val * n
+ self.count += n
+ self.avg = self.sum / self.count
+
+ def __str__(self):
+ fmtstr = "{name} {val" + self.fmt + "} ({avg" + self.fmt + "})"
+ return fmtstr.format(**self.__dict__)
+
+
+class ProgressMeter:
+ def __init__(self, num_batches, *meters, prefix=""):
+ self.batch_fmtstr = self._get_batch_fmtstr(num_batches)
+ self.meters = meters
+ self.prefix = prefix
+
+ def print(self, batch):
+ entries = [self.prefix + self.batch_fmtstr.format(batch)]
+ entries += [str(meter) for meter in self.meters]
+ print("\t".join(entries))
+
+ def _get_batch_fmtstr(self, num_batches):
+ num_digits = len(str(num_batches // 1))
+ fmt = "{:" + str(num_digits) + "d}"
+ return "[" + fmt + "/" + fmt.format(num_batches) + "]"
+
+
+env = gym.make("KellyCoinflip-v0")
+
+for p in np.arange(100 + 1):
+ rs = AverageMeter("Rewards", ":f")
+ for _ in range(1000):
+ done, s = False, env.reset()
+
+ while not done:
+ s_, r, done, _ = env.step(p * env.wealth)
+ s = s_
+ rs.update(r)
+ print(p, rs)