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Reinforcement learning in Agent-based macroeconomic model
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Holub, Tomáš (referee)
Utilizing game theory, learning automata and reinforcement learning concepts, thesis presents a computational model (simulation) based on general equilibrium theory and classical monetary model. Model is based on interacting Constructively Rational agents. Constructive Ratio- nality has been introduced in current literature as machine learning based concept that allows relaxing assumptions on modeled economic agents information and ex- pectations. Model experiences periodical endogenous crises (Fall in both production and con- sumption accompanied with rise in unemployment rate). Crises are caused by firms and households adopting to a change in price and wage levels. Price and wage level adjustments are necessary for the goods and labor market to clear in the presence of technological growth. Finally, model has good theoretical background and large potential for further de- velopment. Also, general properties of games of learning entities are examined, with special focus on sudden changes (shocks) in the game and behavior of game's play- ers, during recovery from which rigidities can emerge. JEL Classification D80, D83, C63, E32, C73, Keywords Learning, Information and Knowledge, Agent-based, Reinforcement learning, Business cycle, Stochastic and Dynamic Games, Simulation, Modeling Author's e-mail...
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Reinforcement learning in Agent-based macroeconomic model
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Holub, Tomáš (referee)
Utilizing game theory, learning automata and reinforcement learning concepts, thesis presents a computational model (simulation) based on general equilibrium theory and classical monetary model. Model is based on interacting Constructively Rational agents. Constructive Ratio- nality has been introduced in current literature as machine learning based concept that allows relaxing assumptions on modeled economic agents information and ex- pectations. Model experiences periodical endogenous crises (Fall in both production and con- sumption accompanied with rise in unemployment rate). Crises are caused by firms and households adopting to a change in price and wage levels. Price and wage level adjustments are necessary for the goods and labor market to clear in the presence of technological growth. Finally, model has good theoretical background and large potential for further de- velopment. Also, general properties of games of learning entities are examined, with special focus on sudden changes (shocks) in the game and behavior of game's play- ers, during recovery from which rigidities can emerge. JEL Classification D80, D83, C63, E32, C73, Keywords Learning, Information and Knowledge, Agent-based, Reinforcement learning, Business cycle, Stochastic and Dynamic Games, Simulation, Modeling Author's e-mail...
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Agent-based modeling of dual currency economy
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Klinger, Tomáš (referee)
1 Abstract Thesis describes close relationship between Dynamic programming and rein- forcement learning algorithms on the example of a model of a dual currency economy. Dynamic programming is methodology used for deriving equilibria of Search-Theoretic equilibrium monetary models, which provide evidence for emergence of fiat currency or emergence of internationally circulating curren- cies without any human institutions. Particular previously published Search- Theoretic framework of dual currency economy is used as a background for de- velopment of Agent-based Computational model. Both models are compared based on their ability to reach specified equilibria and their assumptions, with the conclusion, that models are closely related and with the same assumptions would have the same results. Agent-based model also provides possibility of relaxing assumptions on perfect information distribution and static environ- ment. In this setting, the model will reach different equilibria, that correspond better to the real human behavior, observed in previously published laboratory experiments. JEL Classification D83, E40 Keywords Agent-based Modeling, Currency, Currency switch, Dollarization Author's e-mail borivoj.vlk@gmail.com Supervisor's e-mail jskuhrovec@gmail.com
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