We investigate the effect of a memory parameter on the performance of adaptive decision making using a tug‐of‐war method with the chaotic oscillatory dynamics of a semiconductor laser. We experimentally generate chaotic temporal waveforms of the semiconductor laser with optical feedback and apply them for adaptive decision making in solving a multiarmed bandit problem that aims at maximizing the total reward from slot machines whose hit probabilities are dynamically switched. We examine the dependence of making correct decisions on different values of the memory parameter. The degree of adaptivity is found to be enhanced with a smaller memory parameter, whereas the degree of convergence to the correct decision is higher for a larger memory parameter. The relations among the adaptivity, environmental changes, and the difficulties of the problem are also discussed considering the requirement of past decisions. This examination of ultrafast adaptive decision making highlights the importance of memorizing past events and paves the way for future photonic intelligence.