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gostevehoward / confseq

Confidence sequences and uniform boundaries
MIT License
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Betting #6

Closed WannabeSmith closed 3 years ago

WannabeSmith commented 3 years ago

Add some of the betting code (from https://arxiv.org/pdf/2010.09686.pdf) as well as associated unit tests. Moreover, this runs pytest (but ignores the python files in the googletest library). Note some of these tests are random (e.g. checking for correct coverage) so they may fail with some (rather small) probability.

gostevehoward commented 3 years ago

I realized you have all these PRs stacked on top of this, so changing it before merging would be a hassle. Let's save the above idea for a future PR.

I also realized the idea about 1 - X can't be applied at the CS level because you do use a two-sided (super)martingale. But I think it could still help a lot at the martingale level.

WannabeSmith commented 3 years ago

These are all great points. I'm going to try to address them before adding new features, especially the point about duplicated code/docs. Thank you so much for the detailed review!