Dr_Manhattan comments on Science: Do It Yourself - Less Wrong
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Empirically, we have more impressive instrumental rationalists, such as Peter Thiel, Tyler Cowen and Demis Hassabis coming from the much smaller field of chess than from the much larger field of math (where I think there's only James Simmons). There's also Watizkin, who seems very interesting. It seems to me that math emphasizes excess rigor and a number of other elements which constitute the instrumental rationality equivalent of anti-epistemology, and possibly also that the way in which it is taught emphasizes learning concepts prior to the questions that motivated their creation, which never happens in games. Fischer was probably more insane than any famous insane mathematician I can think of though, and Kasparov does claim the following http://www.new-tradition.org/view-garry-kasparov.php though given his Soviet education, e.g. education in a system which actually did teach a blatantly false version of history, this is more understandable.
At the elite PhD level, the mathematical community encourages a level of rigor, and the analytical philosophy community a level of pseudo-rigor that may even qualify as epistemic anti-epistemology for the typical student, (hence the anomalous number of theists in those fields relative to other high-IQ fields) but the people who are recognized as the best in those fields are probably matched only by the best physicists (as a group) in epistemic rationality. Certainly those fields reward epistemic rationality like no others.
Poker, MtG, Go, etc have good instrumental track records compared to math but bad ones compared to chess IMHO.
BTW, I feel instrumental rationality guilt at writing a blog comment that few people are likely to read. I'd love it if someone were to incorporate this and their thoughts about it into a top level post.
He wrote a book specifically about transference of chess training to instrumental rationality
http://amzn.to/eYiTaS
I found it quite good, and parts of it sound much like Waitzkin. He talks a lot about psychology, self-control and management of (one's own) computational resources, all of which should be quite useful for instrumental rationality.