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Finding Regularized Competitive Equilibria of Heterogeneous Agent Macroeconomic Models with Reinforcement Learning
[article]
2023
arXiv
pre-print
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The model captures a wide range of applications in macroeconomic studies, and we propose a data-driven reinforcement learning framework that finds the regularized competitive equilibrium of the model. ...
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. ...
Zhuoran Yang acknowledges Simons Institute (Theory of Reinforcement Learning) for the support. ...
arXiv:2303.04833v1
fatcat:fjys2kkwc5cw7of7yf25svjssy
Agent-Based Computational Macro-economics: A Survey
[chapter]
2003
Meeting the Challenge of Social Problems via Agent-Based Simulation
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This paper shall review the development of agent-based computational modeling in macroeconomics. ...
Recent applications of agent-based modeling to macroeconomics define a new research direction, which demonstrates how the macroeconomic system can be modeled and studied as a complex adaptive system. ...
Chen and Yeh (1996) compared the learning performance of GP-based learning agents with that of GA-based learning agents. ...
doi:10.1007/978-4-431-67863-2_10
fatcat:52ltqypcrvbexhi7b7crtslnmi
Learning as a Rational Foundation for Macroeconomics and Finance
2011
Social Science Research Network
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Further features of learning, such as discounting of older data, use of misspecified models, or heterogeneous choice by agents between competing models, generate novel learning dynamics. ...
This approach provides a stability test for RE equilibria and a selection criterion in models with multiple equilibria. ...
In models with positive feedback, e.g. (2) with 0 as in the Lucas-type monetary model, two "misspecification equilibria" can exist and agents may coordinate on either of the two forecasting models. ...
doi:10.2139/ssrn.1805550
fatcat:zr7gnuofhvasnjvnfrom24qtlm
Can Artificial Economies Help us Understand Real Economies?
2012
Revue de l'OFCE (En ligne)
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Rather than persist with models based on the idea that the economy behaves like a rational individual we should build models of the economy as a complex system of interacting agents. ...
They allow us to remove many of the restrictive assumptions of standard models and to incorporate the heterogeneity of economic agents and the evolution of the network that governs the interactions between ...
Now in order to test the stochastic stability of the two equilibria we ran simulations in which agents noisily learn (they use reinforcement learning, (see Bush and Mosteller, 1955 or for a more sophisticated ...
doi:10.3917/reof.124.0015
fatcat:hgcpaiifpvenjfuideealwvmca
On the Macroeconomics of Uncertainty and Incomplete Markets
[chapter]
2001
Advances in Macroeconomic Theory
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The conjunction of these leads to multiple, volatile supply-constrained equilibria, typically reflecting coordination failures and apt to display persistence -as documented by three supporting theorems ...
Presidential address for the Twelfth World Congress of the International Economic Association, summarising semi-formally the author's recent work and concerns. ...
Information is asymmetric, so expectations are heterogeneous. All this is fully consistent with rationality. Current observations and expectations determine the market behaviour of agents. ...
doi:10.1057/9780333992753_3
fatcat:7rv27d4bjreibozgcsmp2tgdky
Coordination in the El Farol Bar problem: The role of social preferences and social networks
2015
Journal of Economic Interaction and Coordination
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They then show that the addition of some inequity-averse agents can even guarantee the emergence of the "good society". JEL B52 C63 C73 ...
However, in addition to efficiency (the optimal use of the public facility), they are also interested in the distribution of the public resources among all agents. ...
Subsequently, Franke (2003) proposed a reinforcement learning model in which each agent goes to the bar with a probability p. ...
doi:10.1007/s11403-015-0150-z
fatcat:h7a4qkncebd5ba6pofxmg4tqze
Heterogeneity, Selection, and Wealth Dynamics
2010
Annual Review of Economics
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These insights have implication for the analysis of the heterogeneous agent stochastic dynamic general equilibrium models common in finance and macroeconomics. ...
The market selection hypothesis states that, among expected utility maximizers, competitive markets select for agents with correct beliefs. In some economies this holds, while in others it fails. ...
This paper, and many others as well, work in a class of heterogeneous agent macroeconomic models that Ljunqvist and Sargent (2000) labeled "Bewley models". ...
doi:10.1146/annurev.economics.102308.124403
fatcat:d6fib4b36bcexhmfqviqbkhnxu
Macroeconomic implications of the COVID-19 pandemic: an analysis of early academic production
2021
Número 2
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Para este fin, se revisa treinta y cuatro artículos publicados por la Serie de Working Papers del National Bureau of Economic Research (NBER) de Estados Unidos durante los cuatro meses que siguieron al ...
models that consider factors from macroeconomic theory, such as endogenous choice, heterogeneous agents, information constraints, among others. ...
Further Forms of Agents' Heterogeneity, Network Effects, and Targeted Policies. ...
doi:10.47550/rce/31.2.1
fatcat:m5v4dmop3bgibew47ygwmxgqme
Game Theory Meets Computational Learning Theory (Dagstuhl Seminar 17251)
2017
Dagstuhl Reports
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While there have been many Dagstuhl seminars on various aspects of Algorithmic Game Theory, this was the first one to focus on the emerging field of its intersection with computational learning theory. ...
This report documents the program and the outcomes of Dagstuhl Seminar 17251 "Game Theory Meets Computational Learning Theory". ...
Another topic that was only touched-on is agent-based models of macroeconomics. ...
doi:10.4230/dagrep.7.6.68
dblp:journals/dagstuhl-reports/GoldbergMD17
fatcat:ca4mfrf3qbdbhhbo7rvc53myti
Towards representing human behavior and decision making in Earth system models – an overview of techniques and approaches
2017
Earth System Dynamics
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We illustrate the main ingredients of modeling techniques with examples from land-use dynamics as one of the main drivers of environmental change bridging local to global scales.</p> ...
Here, we review existing modeling approaches and techniques from various disciplines and schools of thought dealing with human behavior at different levels of decision making. ...
A common approach to model the acquisition of subjective probabilities associated with the consequences of actions is Bayesian learning, which has also been applied to reinforcement learning problems ...
doi:10.5194/esd-8-977-2017
fatcat:nyahw7hhp5e7zcyhdg47gnp5g4
Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead
2016
Social Science Research Network
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a complex evolving system, i.e. as an ecology populated by heterogenous agents, whose far-from-equilibrium interactions continuously change the structure of the system. ...
We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as ...
The study of redistributive policies require then models with heterogenous not representative agents. ...
doi:10.2139/ssrn.2763735
fatcat:cabqbns6qjcjlks5jx4p77qo3i
Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead
2017
Journal of Artificial Societies and Social Simulation
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a complex evolving system, i.e. as an ecology populated by heterogeneous agents, whose far-from-equilibrium interactions continuously change the structure of the system. ...
We suggest that a more fruitful research avenue should escape the strong theoretical requirements of NNS models (e.g., equilibrium, rationality, representative agent, etc.) and consider the economy as ...
Among an increasing number of languages and platforms for ABM one can consider NetLogo (https:// ccl.northwestern.edu/netlogo/), LSD (http://www.labsimdev.org/Joomla_1-3/), JAS-mine (http:// www.jas-mine.net ...
doi:10.18564/jasss.3280
fatcat:fodqybmph5gofkvscuw6qe2ete
Behavioural Game Theory: Thinking, Learning and Teaching
[chapter]
2004
Advances in Understanding Strategic Behaviour
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Values of = 1 5 also fits data from fifteen games with mixed equilibria and reproduces key regularities from binary entry games. ...
The QRE model is a dud in this game, and reinforcement also learns far too slowly because most players receive no reinforcement. 38 Games with multiple equilibria: continental divide game Van Huyck et ...
doi:10.1057/9780230523371_8
fatcat:g2hlsjjnynaf3ewmyurb4uciyy
Forecasting with Neuro-Dynamic Programming
[article]
2024
arXiv
pre-print
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We found that it is possible to train a GDP forecasting model with data concerned with other countries that performs better than models trained with past data from the tested country (Portugal). ...
out-of-sample mean absolute forecast error (MAE) by 32% from an OLS model. ...
Acknowledgments This work was supported by Fundação para a Ciência e Tecnologia (FCT), Lisbon, Portugal under a doctorate auxiliary researcher grant with the reference CUBE-PhD-CEEC/1 from Católica Lisbon ...
arXiv:2404.03737v1
fatcat:tfeyxelzfrgd3oz7rjg2esgtcy
Macroeconomic Policy in DSGE and Agent-Based Models
2012
Social Science Research Network
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We then provide a survey of agent-based models addressing macroeconomic policy issues. Finally, we conclude by discussing the methodological status of ACE, as well as the (many) problems it raises. ...
The Great Recession seems to be a natural experiment for macroeconomics showing the inadequacy of the predominant theoretical framework -the New Neoclassical Synthesis -grounded on the DSGE model. ...
If the choices of heterogeneous agents collapse to the ones of a representative individual, one can circumvent all the problems stemming from aggregation and provide GE macroeconomic models with rigorous ...
doi:10.2139/ssrn.2011717
fatcat:wv3aruh37jhtnbh2ljcrpefc7q
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