This website requires JavaScript.

Learning and Calibrating Heterogeneous Bounded Rational Market Behaviour with Multi-Agent Reinforcement Learning

Benjamin Patrick EvansSumitra Ganesh
Feb 2024
0被引用
0笔记
摘要原文
Agent-based models (ABMs) have shown promise for modelling various real world phenomena incompatible with traditional equilibrium analysis. However, a critical concern is the manual definition of behavioural rules in ABMs. Recent developments in multi-agent reinforcement learning (MARL) offer a way to address this issue from an optimisation perspective, where agents strive to maximise their utility, eliminating the need for manual rule specification. This learning-focused approach aligns with established economic and financial models through the use of rational utility-maximising agents. However, this representation departs from the fundamental motivation for ABMs: that realistic dynamics emerging from bounded rationality and agent heterogeneity can be modelled. To resolve this apparent disparity between the two approaches, we propose a novel technique for representing heterogeneous processing-constrained agents within a MARL framework. The proposed approach treats agents as constrained optimisers with varying degrees of strategic skills, permitting departure from strict utility maximisation. Behaviour is learnt through repeated simulations with policy gradients to adjust action likelihoods. To allow efficient computation, we use parameterised shared policy learning with distributions of agent skill levels. Shared policy learning avoids the need for agents to learn individual policies yet still enables a spectrum of bounded rational behaviours. We validate our model's effectiveness using real-world data on a range of canonical $n$-agent settings, demonstrating significantly improved predictive capability.
展开全部
机器翻译
AI理解论文&经典十问
图表提取
参考文献
发布时间 · 被引用数 · 默认排序
被引用
发布时间 · 被引用数 · 默认排序
社区问答