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Reinforcement Learning for Combining Search Methods in the Calibration of Economic ABMs

Published:25 November 2023Publication History

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.

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            ICAIF '23: Proceedings of the Fourth ACM International Conference on AI in Finance
            November 2023
            697 pages
            ISBN:9798400702402
            DOI:10.1145/3604237

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            Publication History

            • Published: 25 November 2023

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