Before revision:  In 1956 Kelly used this technique to propose an intuitive interpretation of relative entropy 1 . He considered a growth-optimizing investor in a game with mutually exclusive outcomes (a "horse race") and showed that the rate of return expected by such an investor is equal to the relative entropy which measures disagreement between the investor's believed probabilities and the official odds.
After revision:  In 1956 Kelly used this technique to propose an intuitive interpretation of relative entropy  . He considered a growth-optimizing investor in a game with mutually exclusive outcomes (a "horse race") and showed that the rate of return expected by such an investor is equal to the relative entropy which measures disagreement between the investor's believed probabilities and the official odds.