Agent-Based Model Exploration and Calibration using Machine Learning Surrogates. Lamperti, F., Roventini, A., & Sani, A. Working Paper LEM 2017-11, 2017. Website abstract bibtex Bringing Agent-Based Models closer to the data is an open challenge. While facilitating the comparison to more standard approaches, getting closer to the data promotes Agent-Based Models as a methodology. In this paper, we explicitly tackle parameter space exploration and the issue of calibrating agent-based models using real data. Traditionally, three computationally expensive steps are involved: running the Agent-Based Model, measuring the calibration quality to real data and locating the parameters of interest. We demonstrate dramatic improvements in computation time by replacing the expensive Agent-Based Model and calibration measure with a machine learning surrogate that approximates a fast approximation of 1st and total order sensitivities over the parameter space. Our approach facilitates parameter exploration by a policy-maker, while providing a powerful filter to gain intuition and insight into Agent-Based Models with relatively large parameter spaces. We illustrate our approach by means of two agent-based models calibrated against different objective functions and evaluated on a large out-of-sample sensitivity analysis.
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title = {Agent-Based Model Exploration and Calibration using Machine Learning Surrogates},
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abstract = {Bringing Agent-Based Models closer to the data is an open challenge. While facilitating the comparison to more standard approaches, getting closer to the data promotes Agent-Based Models as a methodology. In this paper, we explicitly tackle parameter space exploration and the issue of calibrating agent-based models using real data. Traditionally, three computationally expensive steps are involved: running the Agent-Based Model, measuring the calibration quality to real data and locating the parameters of interest. We demonstrate dramatic improvements in computation time by replacing the expensive Agent-Based Model and calibration measure with a machine learning surrogate that approximates a fast approximation of 1st and total order sensitivities over the parameter space. Our approach facilitates parameter exploration by a policy-maker, while providing a powerful filter to gain intuition and insight into Agent-Based Models with relatively large parameter spaces. We illustrate our approach by means of two agent-based models calibrated against different objective functions and evaluated on a large out-of-sample sensitivity analysis.},
bibtype = {article},
author = {Lamperti, Francesco and Roventini, Andrea and Sani, Amir},
journal = {Working Paper LEM 2017-11}
}
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