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JaxMARL-BC:秒级宏观经济建模中的多智能体强化学习

JaxMARL-BC: Multi-Agent Reinforcement Learning for Macroeconomic Modelling, in Seconds

Daniele Montagnani · Andrea Coletta · Antonietta Mira · Aldo Glielmo

中文摘要

多智能体强化学习(multi-agent reinforcement learning, MARL)为在模拟经济中引入大量异质决策者提供了严谨方法,但其在宏观经济学中的应用起步于金融领域后进展缓慢,主要受两项限制:缺少连接MARL系统与业内广泛采用的动态随机一般均衡(dynamic stochastic general equilibrium, DSGE)模型的共同参照框架,以及训练耗时过长。MARL-BC近期解决了第一项限制,将深度强化学习家庭置于真实商业周期经济中,并在特定极限下退化为经典DSGE模型。JaxMARL-BC针对第二项限制,使用JAX加速模拟器,在数秒内完成MARL-BC经济训练,比参考实现快75至724倍,并可扩展至200,000个独立学习型家庭。研究验证了其相对于已知DSGE极限的正确性,通过简单成本规律刻画扩展性,并对具有异质资本回报率的扩展模型进行概念验证校准;该实验耗时两小时,而此前需一个多月。项目以开源形式发布。

关键要点

  1. 01MARL进入宏观建模受共同DSGE参照框架缺失和训练缓慢制约。
  2. 02MARL-BC已在特定极限下退化为经典DSGE模型。
  3. 03JAX加速使MARL-BC训练快75至724倍。
  4. 04模拟器可扩展至200,000个独立学习型家庭。
  5. 05异质资本回报率模型的两小时校准此前需一个多月。

解读

尚无解读。

原始英文摘要

arXiv:2610.28907v1 Announce Type: cross Abstract: Multi-agent reinforcement learning (MARL) offers a principled way of populating simulated economies with many heterogeneous decision makers. Its adoption, pioneered in finance, has nonetheless been slow in macroeconomics because of two main limitations: the lack of a shared frame of reference connecting MARL systems to dynamic stochastic general equilibrium (DSGE) models the profession already trusts, and the very long training times. The first limitation was recently addressed by the Multi-Agent Reinforcement Learning Business Cycle (MARL-BC), which places deep RL households in a real business cycle economy and reduces to classic DSGE models in specific limits. Here we address the second limitation. We present JaxMARL-BC, a JAX-accelerated simulator that trains MARL-BC economies in seconds (between 75x and 724x faster than the reference implementation), and scales to 200,000 independent learning households. We verify its correctness against the known DSGE limits, characterise its scaling through a simple cost law, and demonstrate its value by a proof-of-concept calibration of an extended model with heterogeneous returns on capital, in a two-hour experiment that would previously have taken over a month. We release JaxMARL-BC as open source.

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