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Calibrating Agent-based Models to Microdata with Graph Neural Networks

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  • Farmer, J. Doyne
  • Dyer, Joel
  • Cannon, Patrick
  • Schmon, Sebastian

Abstract

Calibrating agent-based models (ABMs) to data is among the most fundamental requirements to ensure the model fulfils its desired purpose. In recent years, simulation-based inference methods have emerged as powerful tools for performing this task when the model likelihood function is intractable, as is often the case for ABMs. In some real-world use cases of ABMs, both the observed data and the ABM output consist of the agents' states and their interactions over time. In such cases, there is a tension between the desire to make full use of the rich information content of such granular data on the one hand, and the need to reduce the dimensionality of the data to prevent difficulties associated with high-dimensional learning tasks on the other. A possible resolution is to construct lower-dimensional time-series through the use of summary statistics describing the macrostate of the system at each time point. However, a poor choice of summary statistics can result in an unacceptable loss of information from the original dataset, dramatically reducing the quality of the resulting calibration. In this work, we instead propose to learn parameter posteriors associated with granular microdata directly using temporal graph neural networks. We will demonstrate that such an approach offers highly compelling inductive biases for Bayesian inference using the raw ABM microstates as output.

Suggested Citation

  • Farmer, J. Doyne & Dyer, Joel & Cannon, Patrick & Schmon, Sebastian, 2022. "Calibrating Agent-based Models to Microdata with Graph Neural Networks," INET Oxford Working Papers 2022-30, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
  • Handle: RePEc:amz:wpaper:2022-30
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    File URL: https://www.inet.ox.ac.uk/files/10.48550_arxiv.2206.07570.pdf
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    References listed on IDEAS

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    1. Lux, Thomas, 2018. "Estimation of agent-based models using sequential Monte Carlo methods," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 391-408.
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    Cited by:

    1. Samuel Wiese & Jagoda Kaszowska-Mojsa & Joel Dyer & Jose Moran & Marco Pangallo & Francois Lafond & John Muellbauer & Anisoara Calinescu & J. Doyne Farmer, 2024. "Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model," Papers 2409.18760, arXiv.org.
    2. Dyer, Joel & Cannon, Patrick & Farmer, J. Doyne & Schmon, Sebastian M., 2024. "Black-box Bayesian inference for agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).

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