On the acceleration of spatially distributed agent-based computations: a patch dynamics scheme

DOI10.1016/J.APNUM.2014.12.007MaRDI QIDQ491486zbMATH OpenOpenAlexFDO

Authors Giovanni Samaey, C. William Gear, Ping Liu, I. G. Kevrekidis

Publication date 26 August 2015

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.7199

zbMATH Keywords

agent-based modelingequation-free frameworkmimetic market modelspatch dynamics scheme

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: In recent years, individual-based/agent-based modeling has been applied to study a wide range of applications, ranging from engineering problems to phenomena in sociology, economics and biology. Simulating such agent-based models over extended spatiotemporal domains can be prohibitively expensive due to stochasticity and the presence of multiple scales. Nevertheless, many agent-based problems exhibit smooth behavior in space and time on a macroscopic scale, suggesting that a useful coarse-grained continuum model could be obtained. For such problems, the equation-free framework [16-18] can significantly reduce the computational cost. Patch dynamics is an essential component of this framework. This scheme is designed to perform numerical simulations of an unavailable macroscopic equation on macroscopic time and length scales; it uses appropriately initialized simulations of the fine-scale agent-based model in a number of small "patches", which cover only a fraction of the spatiotemporal domain. In this work, we construct a finite-volume-inspired conservative patch dynamics scheme and apply it to a financial market agent-based model based on the work of Omurtag and Sirovich [22]. We first apply our patch dynamics scheme to a continuum approximation of the agent-based model, to study its performance and analyze its accuracy. We then apply the scheme to the agent-based model itself. Our computational experiments indicate that here, typically, the patch dynamics-based simulation requires only 20% of the full agent-based simulation in space, and need occur over only 10% of the temporal domain.

Recommendations

• Equation-free computation: An overview of patch dynamics
• Computational features of agent-based models
• Equation-free model reduction in agent-based computations: coarse-grained bifurcation and variable-free rare event analysis
• Agent-based computational economics
• Agent-based simulation of a financial market

Cited in

(9)

• Equation-free analysis of agent-based models and systematic parameter determination
• Adaptive algorithms for the dynamic distribution and parallel execution of agent-based models
• Equation-free model reduction in agent-based computations: coarse-grained bifurcation and variable-free rare event analysis
• Convergence of equation-free methods in the case of finite time scale separation with application to deterministic and stochastic systems
• Couple microscale periodic patches to simulate macroscale emergent dynamics
• scientific article; zbMATH DE number 2087826 (Why is no real title available?)
• Multiscale modeling and simulation of traveling waves in biology: a review
• Two novel families of multiscale staggered patch schemes efficiently simulate large-scale, weakly damped, linear waves
• Generalised patch dynamics schemes in equation-free multiscale modelling

This page was built for publication: On the acceleration of spatially distributed agent-based computations: a patch dynamics scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491486)