The last years have seen a rapid rise in the number of web sites that support a
"dark mode". Some pages offer an explicit light/dark switch. But typically the
selection is based on the browsers "prefers-color-scheme" CSS selector. It is
surprisingly difficult to change this browser default without switching the whole
operating system.

Follow the instructions below to switch to dark mode.

The color scheme preference of your browser is not setlightdark.

Chrome

For Chrome, the instructions depend on the system it is running on.

On Android

In Chrome, open the top-right "..." menu and go to "Settings"

Open "Themes"

Select "Dark"

On iOS

There is no direct way to enable dark mode only for Chrome on iOS. You have
to change the whole device to iOS via "Settings" → "Display &
Brightness".

On Windows

Chrome switches into dark mode when it is started with the --force-dark-mode command line flag.

Close all Chrome instances

Shift-Right click the Chrome shortcut in the taskbar or on the desktop

Select "Properties"

In the "Shortcut" tab, append --force-dark-mode to the "Target" field

Close the dialog with "OK"

Restart Chrome with that shortcut

Safari

Safari doesn't have a separate setting for dark mode. It always follows the operating system setting.

Changing the system setting on iOS

Open Settings

Open "Display & Brightness"

Select "Dark"

Changing the system setting on MacOS

Open the system settings in the Apple menu

Open the "General" dialog

Select the "Dark" appearance

Firefox

Firefox has hidden configuration option that enables dark mode:

Type about:config into the address bar and press Enter

Type ui.systemUsesDarkTheme into the search bar

The search will not find anything, but allow you to add a new preference with that name

Set the property type to "Number" and click the "+" button to create:

Enter the value "1" to enable dark mode and click the check mark to save:

Administrating an LDAP server may be hard — using it doesn't have to be.

LDAP servers commonly provide auth services to web servers, mail servers, web apps, and so on.
To do this, the LDAP database stores user and group membership information. The combination of these two datasets
allows both authentication (is the user who they claim to be?) and
authorization (is the user in a group that has permission to perform a specific action?).
Thus, LDAP enables central management of user, group, and permission information for any number of services.

Concepts

So what does an LDAP database consist of?

An LDAP database contains a hierarchical data structure, similar to a directory tree.

Each tree node is called an entity.

LDAP doesn't distinguish between files and directories.
Entities often contain both child entities — like a directory — as well as attributes, which are similar to a file's content.

Each entity has a distinguished name (DN), which is the entity's absolute
pathname in LDAP tree. The elements of the pathname are called
relative distinguished names (RDNs).
These concepts are pretty similar to filesystem directory trees. The key differences are:

Directory separators: LDAP uses , instead of /

RDN format: RDNs are typically key-value-pairs, instead of simple
strings: uid=caich instead of Desktop. Commonly used keys
are dc, o, ou, uid.

Parent nodes are on the right: so it's dc=child,dc=parent instead of
/parent/child
Consequently, DNs usually look like this: uid=caich,ou=people,dc=greek0,dc=net

Entities have attributes, which store the entity's data, similar to a file's contents. Each attribute has a type that
describes the attribute's data structure, as well as one or more values
containing the attribute's information. Additionally, each attribute can have
options — a rarely used feature for distinguishing different versions (e.g. English, German) of the same attribute.

Entities also have associated object classes, which are conceptually
similar to attribute types. But whereas types describe attributes, object
classes describe which attributes must be found within the entity.

Both attribute types and entity object classes are metadata: they describe the database's schema. Each of these metadata objects has an OID.
Aside from the schema definition, OIDs are also used for other
database-specific metadata, such as identifying extended requests and responses.
OIDs are denoted as dot-separated numbers, e.g. 1.2.840.1234567890, but often
have human-readable names assigned as well.

What actions can be performed over the LDAP protocol?

Binding: authenticating to the LDAP server — essentially "logging in". Since most servers don't allow un-authenticated querying, this is required before performing any other actions.
Many servers also support re-authentication as a different user over existing
connections: this is known as re-binding.

Searching: querying the existing LDAP directory tree, and listing its information.

Add, modify, and delete: altering the LDAP directory tree.

Many others, often including custom commands.

Querying

Querying an LDAP server is straight-forward with the ldapsearch tool:

ldapsearch
-h ldap.greek0.net # LDAP server name
-D "uid=caich,ou=people,dc=greek0,dc=net" # Authenticate as uid=caichinger
-W # Ask for password for uid=caichinger
-b "ou=people,dc=greek0,dc=net" # Base search path
(uid=caichinger) # Search expression

The -D and -W switches tell ldapsearch as which user to authenticate as.
The -b switch defines the "base directory" where the search should start. The
search expression is then applied to all entities under this directory tree.

The server response will then contain all matching users, as well as their
associated attributes.

If you have any questions after this whirlwind-tour of LDAP, please leave a comment!

Sometimes, we need to convert Unix timestamps (seconds since
January 1st, 1970) to human-readable dates. For example, we might transform
1539561600 to 2018-10-15 00:00 UTC.

There are multiple online services that do this, I like unixtimestamp.com.

Every now and then we need to batch-convert timestamps. The date command
shipped on Linux distributions does this nicely:

date"+%c"--date=@1539561600

I recently ran into a similar problem when logfiles contained Unix
timestamps instead of human-readable dates. Using date seemed a bit clumsy
here. Fortunately, Superuser.com had a nice solution involving
Vim. The following sequence converts the timestamp under the cursor and
records a macro q to facilitate future conversions:

qq " start recording
"mciw " put time in register m and replace it…
<C-r>=strftime("%c", @m)<CR> " …with localized datetime
<Esc> " exit insert mode
q " stop recording

Quick and convenient — and easily incorporated into a macro to convert timestamps across the entire file.

The Kelly Criterion: Comparison with Expected Values (this post)

In a previous post, we looked at the Kelly formula, which maximizes
earnings in a series of gambles where winnings are constantly re-invested. Is
this equivalent to maximizing the expected return in each
game? It turns out that the answer is "no". In this post we'll look into the
reasons for this and discover the pitfalls of expected values.

We will look at the same game as in the previous post:

$\frac{V_1}{V_0} = (1+lr_W)^W(1+lr_L)^{(1-W)}$

with the variables:

$V_0, V_1$: the available money before and after the first round

$l$: fraction of available money to bet in each round (the variable to optimize)

$r_W, r_L$: return on win and loss, 0.4 and -1 in our example (i.e. 40% of
wager awarded on win, otherwise 100% of wager lost)

$W$: Random variable describing our chances to win; valued $1$ with $p=0.8$, $0$ with $p=0.2$

The Kelly formula obtained from maximizing $\log V_1/V_0$ tells us to invest
30% of our capital in such a gamble. Let's see what the result is if we
maximize the expected value $E[V_1/V_0]$ instead.

This is trivial by hand, but we'll use SymPy, because we can:

importsympyasspimportsympy.statsassssp.init_printing()l=sp.symbols('l')# Define the symbol/variable lW=ss.Bernoulli('W',0.8)# Random variable, 1 with p=0.8, else 0deff1(W):# Define f1 = V_1/V_0return(1+0.4*l)**W*(1-l)**(1-W)ss.E(f1(W))# Calculate the expected value

Evaluating this gives:

$E[\frac{V_1}{V_0}] = 1 + 0.12l$

Uh-hum... so the expected return has no maximum, but grows linearly with
increasing $l$. Essentially, this approach advises that you should bet all
your money, and more if you can borrow it for negligible interest rates.

Could the problem be that we only look at a single round? Let's examine the
expected return after playing 10 rounds:

# Note: We can not do f10 = f1(W)**10, since we need independent samplesW_list=[ss.Bernoulli('W_%d'%i,0.8)foriinrange(10)]f10=sp.prod([f1(Wi)forWiinW_list])sp.expand(ss.E(f10))

All the coefficients of the polynomial are positive, there are no maxima for
$l >= 0$. What's going on?

Time to dig deeper. Let's say we bet all of our money each round. If we lose
just once, all of our money is gone. After 10 rounds playing this strategy, the
probability of total loss is:

$p({\text{one loss in 10 games}}) = 1 - 0.8^{10} = 0.89$

So 89% of the time we would lose all our money. However, the expected return
after 10 rounds at $l=1$ is:

$E[\frac{V_{10}}{V_0}]_{l=1} = 3.1$

So on average we'd have $3.10 after 10 rounds for every Dollar initially bet,
but 90% of the time we'd lose everything. Strange.

The big reveal

Things become clearer when we look at in more detail at the calculation of
$E[V_{10}/V_0]$:

The expected value is the sum of probability-weighted outcomes($1.4$ and
$0$ are the per-round outcomes for win and loss). Since a single loss results
in loss of all money, the only non-zero term in the sum is the starred one,
that occurs with about 11% probability, at a value gain of $1.4^{10} = 28$.
This high gain is enough to drag the expected return up to 3.1. When more then
10 rounds are played, these numbers become more extreme: the winning
probability plummets, but the winning payoff skyrockets, dragging the expected
return further upwards.

This is a bit reminiscent of the St. Petersburg paradox, in that
arbitrarily small probabilities can drag the expected return to completely
different (read "unrealistic") values.

Different kinds of playing

The Kelly approach builds on the assumption that you play with all your
available wealth as base capital, and tells you what fraction of that amount to
invest. It requires reinvestment of your winnings. Obviously, investing
everything in one game ($l=1$) is insane, since a single loss would brankrupt
you. However, following Kelly's strategy is the fastest way to grow total
wealth.

The expected-value approach of "invest everything you have" is applicable in a
different kind of situation. Let's say you can play only one game per day, have
a fixed gambling budget each day, and thus are barred from reinvesting your
wins. If you invest your full daily gambling budet, you may win or lose, but
over the long run you will average a daily return of $1.4 \cdot 0.8 = 1.12$
for every dollar invested. The more you can invest per day, the higher your
wins, thus the pressure towards large $l$ values.

In a way, Kelly optimizes for the highest probability of large returns when
re-investing winnings, while the expected value strategy optimizes for large
returns, even if the probability is very low.

A dubious game

Should you play a game where the winning probability $p$ is $10^{-6}$, but
the winning return $r_W$ is $2\cdot 10^6$? Mathematically it seems like a
solid bet with a 100% return on investment in the long run. The question is
whether you can reach "the long run". Can you afford to play the game a million
times? If not, you'll most likely lose money. If you can afford to play a few
million times, it becomes a nice investment indeed.

Kelly would tell you to invest only a very small fraction of your total wealth
into such a game. The expected-value formalism advises to invest as much as
possible, which for most people is bad advice even when playing with a fixed
daily budget and no reinvestment (i.e. the expected-value play style).

This is an interesting example for two reasons:

It demonstrates one of the ways how "rich become richer" - the game has high
returns, but also a significant barrier to entry.

It demonstrates a downside of both the Kelly- and the expected-value
approach. The two strategies are optimal in their use cases in the limit of
infinitely many games, however for finitely many games they may give bad
advice, especially regarding to very low-probability winning scenarios.

Conclusion

So, a brief discussion of the relationship between the Kelly strategy
and the expected return. For me, it was striking how two seemingly
similar approaches ("maximize the moneys") lead to so different results and how
unintuitively the expectation value can be in the face of outliers.

If you're interested in interactive plots that really helped me understand this
material, you can find them in this Jupyter Notebook.

The Kelly criterion

Over the course of this blog post series, we looked at the
classical Kelly criterion in the first post, and how it can be extended to situations such as
stock buying, with multiple parallel investment opportunities, in the second
post. Next, we investigated the origin of the logarithm in the
Kelly formula in the third post, before finishing
up with the current discussion about expected values.

Surely, there's more to say about the Kelly criterion. If you want to leave
your thoughts, please do so in the comments below!

The neat thing about the derivations in the last two
posts is that they give a motivation for
"optimizing the logarithm of wealth". The logarithm is not put in by decree,
but is a mathematical technicality that arises from the repeated betting process!
Kelly mentions this in his original paper:

At every bet he maximizes the expected value of the
logarithm of his capital. The reason has nothing to do with the value
function which he attached to his money, but merely with the fact
that it is the logarithm which is additive in repeated bets
and to which the law of large numbers applies.

This argument is very general.
Let's say we model the wealth $V_n$ after $n$ rounds of betting based on
the initial wealth $V_0$ in terms of a function $f(R, l) = V_{n+1} / V_n$ as

$V_n = V_0 f(R, l)^n \tag 1$

where $R$ is a random variable describing the possible outcomes of the game,
and $l$ is the fraction of available money to invest in each round.
Then we can derive the following formula for the best $l$ value:

where $r_j$ are the possible investment outcomes and $p_j$ are the
associated probabilities. The crucial change from random variable $R$ to
outcomes and probabilities $r_j$ and $p_j$ is justified by the law of
large numbers. Based on the exponential nature of the formula, switching
to a logarithmic view feels very natural.

Consequently, neither the details of the game — represented by the
random variable $R$ — nor the exact form of the per-round return $f$ matter. Any
iterative scheme with reinvestment of profits should be representable in the
form of equation (1), leading to the logarithm in solution (2).
Beyond the origin of the logarithm, this analysis also shows the universality
of the Kelly derivation.

Unfortunately, this argument is mostly skipped in online discussions.
Often the logarithm is not justified at all, or it is treated
as "genius from the 1950s says: use $\log$". Sometimes the result is also
linked to utility theory, which posits that having twice the money is not
twice as useful. While utility theory may be true, reasonable people can
disagree on their utility function — exactly how useful more or less money is
to them. However, Kelly's result is not grounded in utility, and the $\log$
does not represent logarithmic utility of money. Consequently, even people who
disagree on their utility function should agree that the Kelly criterion is the
fastest way to gain wealth.

I hope this post shed some light on the reasoning behind the Kelly decision
scheme.
If you're interested in interactive plots that really helped me understand this
material, you can find them in this Jupyter Notebook.

In the next post, we'll take a closer look at the relation
of the Kelly criterion to expected values.