Learning and Calibrating Heterogeneous Bounded Rational Market Behaviour with Multi-Agent Reinforcement Learning

Agent-based models (ABMs) have shown promise for modelling various real world phenomena incompatible with traditional equilibrium analysis. However, a critical concern is the manual definition of behavioural rules in ABMs. Recent developments in multi-agent reinforcement learning (MARL) offer a way to address this issue from an optimisation perspective, where agents strive to maximise their utility, eliminating the need for manual rule specification. This learning-focused approach aligns with established economic and financial models through the use of rational utility-maximising agents. However, this representation departs from the fundamental motivation for ABMs: that realistic dynamics emerging from bounded rationality and agent heterogeneity can be modelled. To resolve this apparent disparity between the two approaches, we propose a novel technique for representing heterogeneous processing-constrained agents within a MARL framework. The proposed approach treats agents as constrained optimisers with varying degrees of strategic skills, permitting departure from strict utility maximisation. Behaviour is learnt through repeated simulations with policy gradients to adjust action likelihoods. To allow efficient computation, we use parameterised shared policy learning with distributions of agent skill levels. Shared policy learning avoids the need for agents to learn individual policies yet still enables a spectrum of bounded rational behaviours. We validate our model's effectiveness using real-world data on a range of canonical $n$-agent settings, demonstrating significantly improved predictive capability.

Near-Optimal Fair Resource Allocation for Strategic Agents without Money: A Data-Driven Approach

We study learning-based design of fair allocation mechanisms for divisible resources, using proportional fairness (PF) as a benchmark. The learning setting is a significant departure from the classic mechanism design literature, in that, we need to learn fair mechanisms solely from data. In particular, we consider the challenging problem of learning one-shot allocation mechanisms -- without the use of money -- that incentivize strategic agents to be truthful when reporting their valuations. It is well-known that the mechanism that directly seeks to optimize PF is not incentive compatible, meaning that the agents can potentially misreport their preferences to gain increased allocations. We introduce the notion of "exploitability" of a mechanism to measure the relative gain in utility from misreport, and make the following important contributions in the paper: (i) Using sophisticated techniques inspired by differentiable convex programming literature, we design a numerically efficient approach for computing the exploitability of the PF mechanism. This novel contribution enables us to quantify the gap that needs to be bridged to approximate PF via incentive compatible mechanisms. (ii) Next, we modify the PF mechanism to introduce a trade-off between fairness and exploitability. By properly controlling this trade-off using data, we show that our proposed mechanism, ExPF-Net, provides a strong approximation to the PF mechanism while maintaining low exploitability. This mechanism, however, comes with a high computational cost. (iii) To address the computational challenges, we propose another mechanism ExS-Net, which is end-to-end parameterized by a neural network. ExS-Net enjoys similar (slightly inferior) performance and significantly accelerated training and inference time performance. (iv) Extensive numerical simulations demonstrate the robustness and efficacy of the proposed mechanisms.

O3D: Offline Data-driven Discovery and Distillation for Sequential Decision-Making with Large Language Models

Recent advancements in large language models (LLMs) have exhibited promising performance in solving sequential decision-making problems. By imitating few-shot examples provided in the prompts (i.e., in-context learning), an LLM agent can interact with an external environment and complete given tasks without additional training. However, such few-shot examples are often insufficient to generate high-quality solutions for complex and long-horizon tasks, while the limited context length cannot consume larger-scale demonstrations. To this end, we propose an offline learning framework that utilizes offline data at scale (e.g, logs of human interactions) to facilitate the in-context learning performance of LLM agents. We formally define LLM-powered policies with both text-based approaches and code-based approaches. We then introduce an Offline Data-driven Discovery and Distillation (O3D) framework to improve LLM-powered policies without finetuning. O3D automatically discovers reusable skills and distills generalizable knowledge across multiple tasks based on offline interaction data, advancing the capability of solving downstream tasks. Empirical results under two interactive decision-making benchmarks (ALFWorld and WebShop) demonstrate that O3D can notably enhance the decision-making capabilities of LLMs through the offline discovery and distillation process, and consistently outperform baselines across various LLMs with both text-based-policy and code-based-policy.

Sequential Fair Resource Allocation under a Markov Decision Process Framework

We study the sequential decision-making problem of allocating a limited resource to agents that reveal their stochastic demands on arrival over a finite horizon. Our goal is to design fair allocation algorithms that exhaust the available resource budget. This is challenging in sequential settings where information on future demands is not available at the time of decision-making. We formulate the problem as a discrete time Markov decision process (MDP). We propose a new algorithm, SAFFE, that makes fair allocations with respect to the entire demands revealed over the horizon by accounting for expected future demands at each arrival time. The algorithm introduces regularization which enables the prioritization of current revealed demands over future potential demands depending on the uncertainty in agents' future demands. Using the MDP formulation, we show that SAFFE optimizes allocations based on an upper bound on the Nash Social Welfare fairness objective, and we bound its gap to optimality with the use of concentration bounds on total future demands. Using synthetic and real data, we compare the performance of SAFFE against existing approaches and a reinforcement learning policy trained on the MDP. We show that SAFFE leads to more fair and efficient allocations and achieves close-to-optimal performance in settings with dense arrivals.

Inapplicable Actions Learning for Knowledge Transfer in Reinforcement Learning

Reinforcement Learning (RL) algorithms are known to scale poorly to environments with many available actions, requiring numerous samples to learn an optimal policy. The traditional approach of considering the same fixed action space in every possible state implies that the agent must understand, while also learning to maximize its reward, to ignore irrelevant actions such as $\textit{inapplicable actions}$ (i.e. actions that have no effect on the environment when performed in a given state). Knowing this information can help reduce the sample complexity of RL algorithms by masking the inapplicable actions from the policy distribution to only explore actions relevant to finding an optimal policy. This is typically done in an ad-hoc manner with hand-crafted domain logic added to the RL algorithm. In this paper, we propose a more systematic approach to introduce this knowledge into the algorithm. We (i) standardize the way knowledge can be manually specified to the agent; and (ii) present a new framework to autonomously learn these state-dependent action constraints jointly with the policy. We show experimentally that learning inapplicable actions greatly improves the sample efficiency of the algorithm by providing a reliable signal to mask out irrelevant actions. Moreover, we demonstrate that thanks to the transferability of the knowledge acquired, it can be reused in other tasks to make the learning process more efficient.

Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations

We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange. We show how a suitable design of parameterized families of reward functions coupled with associated shared policy learning constitutes an efficient solution to this problem. Precisely, we show that our deep-reinforcement-learning-driven agents learn emergent behaviors relative to a wide spectrum of incentives encompassing profit-and-loss, optimal execution and market share, by playing against each other. In particular, we find that liquidity providers naturally learn to balance hedging and skewing as a function of their incentives, where the latter refers to setting their buy and sell prices asymmetrically as a function of their inventory. We further introduce a novel RL-based calibration algorithm which we found performed well at imposing constraints on the game equilibrium, both on toy and real market data.

Phantom -- An RL-driven framework for agent-based modeling of complex economic systems and markets

Agent based modeling (ABM) is a computational approach to modeling complex systems by specifying the behavior of autonomous decision-making components or agents in the system and allowing the system dynamics to emerge from their interactions. Recent advances in the field of Multi-agent reinforcement learning (MARL) have made it feasible to learn the equilibrium of complex environments where multiple agents learn at the same time - opening up the possibility of building ABMs where agent behaviors are learned and system dynamics can be analyzed. However, most ABM frameworks are not RL-native, in that they do not offer concepts and interfaces that are compatible with the use of MARL to learn agent behaviors. In this paper, we introduce a new framework, Phantom, to bridge the gap between ABM and MARL. Phantom is an RL-driven framework for agent-based modeling of complex multi-agent systems such as economic systems and markets. To enable this, the framework provides tools to specify the ABM in MARL-compatible terms - including features to encode dynamic partial observability, agent utility / reward functions, heterogeneity in agent preferences or types, and constraints on the order in which agents can act (e.g. Stackelberg games, or complex turn-taking environments). In this paper, we present these features, their design rationale and show how they were used to model and simulate Over-The-Counter (OTC) markets.

Certifiably Robust Policy Learning against Adversarial Communication in Multi-agent Systems

Communication is important in many multi-agent reinforcement learning (MARL) problems for agents to share information and make good decisions. However, when deploying trained communicative agents in a real-world application where noise and potential attackers exist, the safety of communication-based policies becomes a severe issue that is underexplored. Specifically, if communication messages are manipulated by malicious attackers, agents relying on untrustworthy communication may take unsafe actions that lead to catastrophic consequences. Therefore, it is crucial to ensure that agents will not be misled by corrupted communication, while still benefiting from benign communication. In this work, we consider an environment with $N$ agents, where the attacker may arbitrarily change the communication from any $C<\frac{N-1}{2}$ agents to a victim agent. For this strong threat model, we propose a certifiable defense by constructing a message-ensemble policy that aggregates multiple randomly ablated message sets. Theoretical analysis shows that this message-ensemble policy can utilize benign communication while being certifiably robust to adversarial communication, regardless of the attacking algorithm. Experiments in multiple environments verify that our defense significantly improves the robustness of trained policies against various types of attacks.

Mixture of basis for interpretable continual learning with distribution shifts

Continual learning in environments with shifting data distributions is a challenging problem with several real-world applications. In this paper we consider settings in which the data distribution(task) shifts abruptly and the timing of these shifts are not known. Furthermore, we consider a semi-supervised task-agnostic setting in which the learning algorithm has access to both task-segmented and unsegmented data for offline training. We propose a novel approach called mixture of Basismodels (MoB) for addressing this problem setting. The core idea is to learn a small set of basis models and to construct a dynamic, task-dependent mixture of the models to predict for the current task. We also propose a new methodology to detect observations that are out-of-distribution with respect to the existing basis models and to instantiate new models as needed. We test our approach in multiple domains and show that it attains better prediction error than existing methods in most cases while using fewer models than other multiple model approaches. Moreover, we analyze the latent task representations learned by MoB and show that similar tasks tend to cluster in the latent space and that the latent representation shifts at the task boundaries when tasks are dissimilar.

Towards a fully RL-based Market Simulator

We present a new financial framework where two families of RL-based agents representing the Liquidity Providers and Liquidity Takers learn simultaneously to satisfy their objective. Thanks to a parametrized reward formulation and the use of Deep RL, each group learns a shared policy able to generalize and interpolate over a wide range of behaviors. This is a step towards a fully RL-based market simulator replicating complex market conditions particularly suited to study the dynamics of the financial market under various scenarios.