Strong duality for the GROW criterion

Abstract

This paper presents general strong duality results when testing hypotheses by betting against them. A bet is an e-variable for a composite null hypothesis $\mathcal{P}$: a nonnegative random variable $X$ whose expected value is at most one under every $¶\in \Pcal$. Following Kelly, Breiman, Cover, Shafer, Grünwald and others, we study a natural minimax \emph{log-optimality} criterion: given a composite alternative $\Qcal$, we characterize the ``GROW value'' $\sup_{X} \inf_{\Q} \E_{\Q}[\log X]$. This paper generalizes the results of \cite{larsson2025numeraire} from (arbitrary $\Pcal$ and) simple $\Qcal$ to arbitrary $\Qcal$. We identify a weak-$*$ joint information projection pair between arbitrary $\Pcal$ and $\Qcal$ that always exists and show that the GROW value for \emph{bounded} e-variables always equals the relative entropy of this pair, without any restrictions on $\Pcal$ or $\Qcal$. We also prove a similarly general strong duality for the REGROW criterion with bounded e-variables and arbitrary bounded offsets. Under various assumptions our results extend to unbounded e-variables, and examples show that without any assumptions such extensions fail. Our results are analogous to those in~\cite{larsson2026complete}, swapping tests for bounded e-variables, minimax risk for the GROW criterion, and total variation for relative entropy.