### Gambling to Optimize Expected Median Bankroll

In the book "The Only Rule Is It Has to Work: Our Wild Experiment Building a New Kind of Baseball Team", Ben Lindbergh and Sam Miller recount a grand adventure to take command of an independent league baseball team, with the vision of trying every idea, sane or crazy, in an attempt to achieve a winning edge. Five infielders, four outfielders, defensive shifts, optimizing lineups - everything.

It was really an impossible task. Professional sports at every level are filled with highly accomplished and competitive athletes, with real lives and real egos. Now imagine walking in one day and suddenly trying to convince them that they should be doing things differently. Who do you think you are?

I was one of the analysts who helped Ben and Sam in this quest, and I wanted to write some thoughts down from my own perspective, not as one of the main characters, but as someone more behind the scenes. These are some very short initial thoughts only, but I'd like to followup with some more ideas on where things went wrong from my perspective, and also how independent league teams can better identify roster talent from some non-traditional sources.

My focus was on attempting to identify talent overlooked in the MLB draft. This is extremely challenging; there are 30 teams, 40 standards rounds plus other picks. Furthermore, among those players left, many sign as amateur free agents post-draft. You're left with players from lower divisions, very small schools, 23-year-old seniors, bad bodies, soft tossers, poor defenders, etc. But, still, there may be players who aren't good MLB prospects, but who could still perform well as part of an independent league team.

Looking at top framing college catchers was a bust; this is a premium defensive position and very little is overlooked.

Among the undrafted senior hitters and pitchers there were several potential prospects, many of whom you'll read about in the book. The most important fact to keep in mind is that these are real people with real lives, real families and real hopes and dreams, and playing independent ball isn't nearly lucrative enough to pay the bills. Harsh reality will limit your pool even more, and those who choose to pursue it will face the additional stress of financial strain.

That being said, was Ben and Sam's experiment a success? You'll have to read the book, but absolutely, some talent was found.

### A Bayes' Solution to Monty Hall

For any problem involving conditional probabilities one of your greatest allies is Bayes' Theorem. Bayes' Theorem says that for two events A and B, the probability of A given B is related to the probability of B given A in a specific way.

Standard notation:

probability of A given B is written $$\Pr(A \mid B)$$
probability of B is written $$\Pr(B)$$

Bayes' Theorem:

Using the notation above, Bayes' Theorem can be written: $\Pr(A \mid B) = \frac{\Pr(B \mid A)\times \Pr(A)}{\Pr(B)}$Let's apply Bayes' Theorem to the Monty Hall problem. If you recall, we're told that behind three doors there are two goats and one car, all randomly placed. We initially choose a door, and then Monty, who knows what's behind the doors, always shows us a goat behind one of the remaining doors. He can always do this as there are two goats; if we chose the car initially, Monty picks one of the two doors with a goat behind it at random.

Assume we pick Door 1 and then Monty sho…

### Mixed Models in R - Bigger, Faster, Stronger

When you start doing more advanced sports analytics you'll eventually starting working with what are known as hierarchical, nested or mixed effects models. These are models that contain both fixed and random effects. There are multiple ways of defining fixed vs random random effects, but one way I find particularly useful is that random effects are being "predicted" rather than "estimated", and this in turn involves some "shrinkage" towards the mean.

Here's some R code for NCAA ice hockey power rankings using a nested Poisson model (which can be found in my hockey GitHub repository):
model <- gs ~ year+field+d_div+o_div+game_length+(1|offense)+(1|defense)+(1|game_id) fit <- glmer(model, data=g, verbose=TRUE, family=poisson(link=log) ) The fixed effects are year, field (home/away/neutral), d_div (NCAA division of the defense), o_div (NCAA division of the offense) and game_length (number of overtime periods); off…

### Gambling to Optimize Expected Median Bankroll

Gambling to optimize your expected bankroll mean is extremely risky, as you wager your entire bankroll for any favorable gamble, making ruin almost inevitable. But what if, instead, we gambled not to maximize the expected bankroll mean, but the expected bankroll median?

Let the probability of winning a favorable bet be $$p$$, and the net odds be $$b$$. That is, if we wager $$1$$ unit and win, we get back $$b$$ units (in addition to our wager). Assume our betting strategy is to wager some fraction $$f$$ of our bankroll, hence $$0 \leq f \leq 1$$. By our assumption, our betting strategy is invariant with respect to the actual size of our bankroll, and so if we were to repeat this gamble $$n$$ times with the same $$p$$ and $$b$$, the strategy wouldn't change. It follows we may assume an initial bankroll of size $$1$$.

Let $$q = 1-p$$. Now, after $$n$$  such gambles our bankroll would have a binomial distribution with probability mass function \[ \Pr(k,n,p) = \binom{n}{k} p^k q^{n-k…