Reinforcement Learning for Combining Search Methods in the Calibration of Economic ABMs
arXiv:2302.11835 · doi:10.1145/3604237.3626889
Abstract
Calibrating agent-based models (ABMs) in economics and finance typically involves a derivative-free search in a very large parameter space. In this work, we benchmark a number of search methods in the calibration of a well-known macroeconomic ABM on real data, and further assess the performance of "mixed strategies" made by combining different methods. We find that methods based on random-forest surrogates are particularly efficient, and that combining search methods generally increases performance since the biases of any single method are mitigated. Moving from these observations, we propose a reinforcement learning (RL) scheme to automatically select and combine search methods on-the-fly during a calibration run. The RL agent keeps exploiting a specific method only as long as this keeps performing well, but explores new strategies when the specific method reaches a performance plateau. The resulting RL search scheme outperforms any other method or method combination tested, and does not rely on any prior information or trial and error procedure.
arXiv comment9 pages and 5 figures, presented at the AAAI bridge program 'AI for Financial Institutions' (https://aaai23.bankit.art/), at the ICLR bridge program 'AI4ABM' (https://ai4abm.org/workshop_iclr2023/) and at ICAIF '23 (https://ai-finance.org/). Proceedings of the Fourth ACM International Conference on AI in Finance, (ICAIF 23), Association for Computing Machinery, New York, NY, USA