Automatic Differentiation of Agent-Based Models
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arXiv
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| Format: | Preprint |
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2025
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| author | Quera-Bofarull, Arnau Bishop, Nicholas Dyer, Joel Ornia, Daniel Jarne Calinescu, Anisoara Farmer, Doyne Wooldridge, Michael |
| author_facet | Quera-Bofarull, Arnau Bishop, Nicholas Dyer, Joel Ornia, Daniel Jarne Calinescu, Anisoara Farmer, Doyne Wooldridge, Michael |
| contents | Agent-based models (ABMs) simulate complex systems by capturing the bottom-up interactions of individual agents comprising the system. Many complex systems of interest, such as epidemics or financial markets, involve thousands or even millions of agents. Consequently, ABMs often become computationally demanding and rely on the calibration of numerous free parameters, which has significantly hindered their widespread adoption. In this paper, we demonstrate that automatic differentiation (AD) techniques can effectively alleviate these computational burdens. By applying AD to ABMs, the gradients of the simulator become readily available, greatly facilitating essential tasks such as calibration and sensitivity analysis. Specifically, we show how AD enables variational inference (VI) techniques for efficient parameter calibration. Our experiments demonstrate substantial performance improvements and computational savings using VI on three prominent ABMs: Axtell's model of firms; Sugarscape; and the SIR epidemiological model. Our approach thus significantly enhances the practicality and scalability of ABMs for studying complex systems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_03303 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Automatic Differentiation of Agent-Based Models Quera-Bofarull, Arnau Bishop, Nicholas Dyer, Joel Ornia, Daniel Jarne Calinescu, Anisoara Farmer, Doyne Wooldridge, Michael Multiagent Systems Artificial Intelligence Computational Engineering, Finance, and Science Machine Learning Agent-based models (ABMs) simulate complex systems by capturing the bottom-up interactions of individual agents comprising the system. Many complex systems of interest, such as epidemics or financial markets, involve thousands or even millions of agents. Consequently, ABMs often become computationally demanding and rely on the calibration of numerous free parameters, which has significantly hindered their widespread adoption. In this paper, we demonstrate that automatic differentiation (AD) techniques can effectively alleviate these computational burdens. By applying AD to ABMs, the gradients of the simulator become readily available, greatly facilitating essential tasks such as calibration and sensitivity analysis. Specifically, we show how AD enables variational inference (VI) techniques for efficient parameter calibration. Our experiments demonstrate substantial performance improvements and computational savings using VI on three prominent ABMs: Axtell's model of firms; Sugarscape; and the SIR epidemiological model. Our approach thus significantly enhances the practicality and scalability of ABMs for studying complex systems. |
| title | Automatic Differentiation of Agent-Based Models |
| topic | Multiagent Systems Artificial Intelligence Computational Engineering, Finance, and Science Machine Learning |
| url | https://arxiv.org/abs/2509.03303 |