kelly.py

#!/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)