Papers
Topics
Authors
Recent
Search
2000 character limit reached

Growth-Rate Optimal E-Variable

Updated 9 July 2026
  • The paper introduces growth-rate optimal e-variables as nonnegative evidential statistics that maximize expected log evidence subject to stringent e-validity constraints.
  • Methodologies such as reverse information projection, least favorable distributions, and sequential e-process constructions are employed to optimize log-wealth growth in both fixed and sequential settings.
  • Practical implementations span exponential family models, group-invariant tests, and constrained scenarios, highlighting nuances between absolute and relative growth optimality.

A growth-rate optimal e-variable is a nonnegative evidential statistic, or in sequential form an e-process or test supermartingale, that is valid under a null hypothesis and maximizes logarithmic evidence accumulation under an alternative. In fixed-sample formulations, the criterion is typically EP1[logE]\mathbb{E}_{P_1}[\log E] for a simple alternative or supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E] for a composite alternative; in sequential formulations it becomes an asymptotic log-wealth rate along time or block boundaries. Across recent work, the object appears under closely related names—GRO, GROW, numéraire, strongest e-statistic, or growth-rate optimal e-process—but the central idea is stable: maximize expected log-evidence subject to the e-validity constraint supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 1 or its stopped-process analogue (Saha et al., 23 Apr 2026, Ram et al., 28 Apr 2026).

1. Core definition and optimization criteria

An e-variable for a null class P0\mathcal{P}_0 is a nonnegative random variable EE such that supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 1. In the single-shot setting, growth-rate optimality is the Kelly-style problem

supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]

for a simple alternative P1P_1, or the minimax extension

supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]

for composite alternatives. In this sense, the e-variable is a multiplicative betting factor whose objective is expected log-wealth growth rather than power in the Neyman–Pearson sense (Saha et al., 23 Apr 2026).

Several refinements coexist. In the bounded-mean literature, GRO denotes optimization against a single QQ, GROW denotes worst-case absolute log-growth over a composite supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]0, and REGROW denotes worst-case relative log-growth after subtracting the individually optimal benchmark supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]1. The distinction is substantive: in some composite problems GROW yields the trivial e-variable supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]2, while REGROW yields a nontrivial optimal betting rule (Arnold et al., 16 Jan 2026).

A distinct but related line studies optimality at the level of e-classes rather than individual e-variables. There, an e-class is majorising if every valid e-variable is pointwise dominated by one inside the class, and the optimal e-class is the set of maximal e-variables. This criterion implies pathwise dominance of capital processes and therefore a strong form of growth-rate optimality without explicitly maximizing supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]3 for a fixed supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]4 (Grünwald et al., 2024).

2. Reverse information projection, bipolar structure, and least favorable distributions

For simple alternatives against composite nulls, the foundational representation is via reverse information projection. If supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]5 is the alternative and supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]6 is a convex null class, then the GRO e-statistic is

supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]7

where supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]8 is the reverse information projection of supEinfP1P1EP1[logE]\sup_E \inf_{P_1 \in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]9 onto supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 10, i.e. a minimizer of supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 11 over supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 12. When supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 13, this e-statistic uniquely maximizes supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 14; when supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 15, the classical GRO criterion ceases to discriminate, and the paper “Reverse Information Projections and Optimal E-statistics” extends the RIPr through description gain and shows that the same likelihood ratio is the unique strongest e-statistic in a pairwise log-growth ordering (Lardy et al., 2023).

In composite-vs-composite problems, a parallel representation uses least favorable distributions. If an LFD pair supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 16 exists, then the unconstrained worst-case growth-optimal e-variable is the likelihood ratio

supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 17

and the minimax value equals supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 18. A later extension shows that under additional structural constraints—local differential privacy, quantization, boundedness, or moment restrictions—the constrained optimizer often has the form supP0P0EP0[E]1\sup_{P_0 \in \mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 19 for a nondecreasing transform P0\mathcal{P}_00. The constrained problem can then be solved by an optimize-then-constrain principle rather than by recomputing a new constrained LFD pair (Saha et al., 23 Apr 2026).

The sequential analogue replaces RIPr onto the raw null by reverse projection onto the bipolar effective null. For i.i.d. testing of P0\mathcal{P}_01 against P0\mathcal{P}_02, the optimal asymptotic growth rate is

P0\mathcal{P}_03

not P0\mathcal{P}_04 in general. This sharpens the role of bipolar closure: e-variables respond to the effective null seen through testing power, not merely the raw model class (Ram et al., 28 Apr 2026).

3. Sequential e-processes and asymptotic wealth growth

An e-process for P0\mathcal{P}_05 is a nonnegative adapted process P0\mathcal{P}_06 such that P0\mathcal{P}_07 for every P0\mathcal{P}_08 and every finite-valued stopping time P0\mathcal{P}_09; a test supermartingale is the special case of a nonnegative supermartingale starting at 1. Under an alternative EE0, the relevant performance criterion becomes asymptotic log-growth,

EE1

possibly along a reduced filtration EE2. The central theorem identifies the supremum over all valid wealth processes with EE3 and shows that for every EE4 there exists a blockwise test supermartingale attaining EE5 both in expected log-growth and almost surely along block times (Ram et al., 28 Apr 2026).

The operational construction is finite-horizon repetition. One picks a block length EE6, finds an EE7-sample e-variable EE8 with near-optimal EE9, and multiplies independent copies over disjoint blocks. This yields a blockwise test supermartingale whose asymptotic growth rate approaches the optimal envelope. The paper emphasizes that test supermartingales on reduced filtrations suffice for all i.i.d. testing problems, and more general e-processes are not required (Ram et al., 28 Apr 2026).

The relation to classical separation is subtle. One always has supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 10, and the inequality can be strict: there are explicit examples with supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 11 but supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 12. Equality holds under weak lower semicontinuity of supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 13 at supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 14, in particular when supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 15 is weakly compact (Ram et al., 28 Apr 2026).

4. Structural characterizations of optimal and admissible e-variables

For nulls generated by measurable constraints, the feasible set of e-variables admits an explicit convex-analytic description. If

supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 16

then every e-variable is supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 17-quasi-surely of the form supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 18 for some supP0P0EP0[E]1\sup_{P_0\in\mathcal{P}_0}\mathbb{E}_{P_0}[E]\le 19 in the weak closure of supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]0. In finitely generated cases, all e-variables are dominated by

supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]1

while for one-sided sub-supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]2 hypotheses they are dominated by mixtures

supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]3

and for group-symmetry hypotheses by antisymmetrizations

supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]4

Within each class, growth-rate optimality becomes a finite- or infinite-dimensional log-utility maximization over supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]5 or supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]6, and maximal e-variables coincide with the natural admissible objects (Larsson et al., 3 Apr 2025).

For properly constrained hypotheses defined by finitely many regular moment-type constraints, the optimal e-class is the dual e-class

supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]7

Every member is maximal, every valid e-variable is pointwise dominated by one of them, and any sequential betting strategy using arbitrary e-variables can be matched or improved pathwise by restricting to the dual class. This yields a dominance-based completeness notion that is stronger than mere expected optimality (Grünwald et al., 2024).

5. Canonical model classes and explicit constructions

Exponential families supply the most developed fixed-sample theory. For a regular exponential-family null supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]8 and a simple alternative supEE(P0)EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \mathbb{E}_{P_1}[\log E]9, one can generate a second exponential family P1P_10 with the same sufficient statistic. If the covariance matrices satisfy the “simple case” relation P1P_11, then the RIPr lies inside the null family and the GRO e-variable reduces to a simple-vs-simple likelihood ratio P1P_12, where P1P_13. In anti-simple regimes the RIPr prior is generally nondegenerate; for Gaussian nulls and alternatives it is exactly Gaussian, and in general it is approximately Gaussian at scale P1P_14 around the KL-matching mean (Grünwald et al., 2024, Hao et al., 2024).

The same literature compares four constructions: RIPr, COND, UI, and sequentialized RIPr. For P1P_15-dimensional null and alternative exponential families, the e-power of UI tends to be smaller by a term of P1P_16 than that of the COND e-variable, whereas RIPr and COND are exactly equal in the Gaussian anti-simple case and asymptotically equal up to P1P_17 in general under the paper’s conditions. This is why the conditional construction is identified as the practical winner despite RIPr’s formal optimality (Hao et al., 2024).

Group-invariant testing provides a different route to exact GROW e-statistics. When the null and alternative form group models and the group is amenable, the likelihood ratio of a maximally invariant statistic is GROW and relatively GROW among all e-statistics, invariant or not. Wijsman’s representation writes this statistic as a Bayes factor with a right Haar prior on the group, and the resulting sequence is a nonnegative martingale under the null, yielding anytime-valid tests under optional stopping and continuation (Pérez-Ortiz et al., 2022).

For bounded mean testing, the minimal complete e-class is the coin-betting family

P1P_18

This allows explicit GROW and REGROW solutions. In point-vs-point and one-sided problems the optimizing P1P_19 is available analytically or via a one-dimensional balance condition, whereas in the agnostic alternative problem GROW is trivial but REGROW remains nontrivial. This establishes a concrete separation between absolute and relative growth optimality (Arnold et al., 16 Jan 2026).

Maximum entropy models yield another explicit class. For microcanonical MEMs, the growth-rate optimal e-variable has the exact form

supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]0

where supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]1 is the induced marginal of the null sufficient statistic under the alternative universal distribution. The same object remains a valid e-variable in the canonical MEM case and serves as a highly accurate microcanonical approximation to the canonical GRO e-variable, including in supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]2 contingency-table settings with growing supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]3 (Giuffrida et al., 1 Sep 2025).

6. Constraints, computation, and limitations

Constrained growth-rate optimality is now developed beyond the unconstrained LR paradigm. Under local differential privacy with binary outputs, the optimal mechanism is a staircase rule based on thresholding the unconstrained likelihood ratio; under two-level quantization the optimal e-variable is a thresholded step function of the LR; under boundedness supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]4 it is a clipped and rescaled LR; under convex integral constraints it is the monotone transform supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]5 defined by the KKT equation

supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]6

When an LFD pair exists, the composite constrained solution is obtained by applying the same transform to the LFD likelihood ratio supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]7 (Saha et al., 23 Apr 2026).

Several limitations are equally central. First, the simple LR form need not exist for composite nulls; it requires structural conditions such as the covariance relation in exponential-family “simple” cases (Grünwald et al., 2024). Second, the optimize-then-constrain principle can fail when least favorable distributions do not exist (Saha et al., 23 Apr 2026). Third, the RIPr may be a strict sub-probability rather than a full probability measure, especially in infinite or constrained discrete spaces (Lardy et al., 2023). Fourth, absolute GROW can be too conservative for broad composite alternatives, producing supEE(P0)infP1P1EP1[logE]\sup_{E\in \mathcal{E}(\mathcal{P}_0)} \inf_{P_1\in \mathcal{P}_1}\mathbb{E}_{P_1}[\log E]8, whereas REGROW can remain informative (Arnold et al., 16 Jan 2026). These distinctions are not peripheral; they determine whether “growth-rate optimal” means exact log-utility maximization, strongest pairwise evidence growth, or a regret-optimal compromise.

Taken together, the literature now supports a layered view. In the simplest cases, a growth-rate optimal e-variable is just a likelihood ratio. In composite settings, it is characterized by RIPr, bipolar projection, or least favorable distributions. In structured model classes, it can often be written explicitly or reduced to a low-dimensional optimization. Under implementation constraints, it is frequently a monotone post-processing of the unconstrained optimizer. This suggests a unifying principle: growth-rate optimality in e-value theory is fundamentally an information-projection problem, with different technical realizations depending on whether the obstacles are composite uncertainty, sequential validity, geometric structure, or external constraints.

Topic to Video (Beta)

No one has generated a video about this topic yet.

Whiteboard

No one has generated a whiteboard explanation for this topic yet.

Follow Topic

Get notified by email when new papers are published related to Growth-Rate Optimal E-Variable.