On Adaboost and Optimal Betting Strategies

We explore the relation between the Adaboost weight update procedure and Kelly’s theory of betting. Specifically, we show that an intuitive optimal betting strategy can easily be interpreted as the solution of the dual of the classical formulation of the Adaboost minimisation problem. This sheds new light over a substantial simplification of Adaboost that had so far only been considered a mere computational development. Besides allowing a natural derivation of the simplification, our approach establishes a connection between Adaboost and Information Theory that we believe may cast a new light on some boosting concepts.