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Quantitative Finance · Glossary

What is Sim-to-real gap?

Definition 17.7 Machine Learning for Markets · Chapter 17 — Reinforcement Learning Foundations

The sim-to-real gap is the difference between a policy’s performance in the simulator it was trained in and in the real environment. It is largest for policies that exploit what the simulator gets wrong, which is what an optimiser does with any error that pays.

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