scholarly journals Modelling stock-market investors as Reinforcement Learning agents

Author(s):  
Alvin Pastore ◽  
Umberto Esposito ◽  
Eleni Vasilaki
2009 ◽  
Vol 10 (4) ◽  
pp. 329-341 ◽  
Author(s):  
Aleksandras Vytautas Rutkauskas ◽  
Tomas Ramanauskas

In this paper we propose an artificial stock market model based on interaction of heterogeneous agents whose forward-looking behaviour is driven by the reinforcement-learning algorithm combined with some evolutionary selection mechanism. We use the model for the analysis of market self-regulation abilities, market efficiency and determinants of emergent properties of the financial market. Distinctive and novel features of the model include strong emphasis on the economic content of individual decision-making, application of the Q-learning algorithm for driving individual behaviour, and rich market setup. Along with that a parallel version of the model is presented, which is mainly based on research of current changes in the market, as well as on search of newly emerged consistent patterns, and which has been repeatedly used for optimal decisions’ search experiments in various capital markets.


Biomimetics ◽  
2021 ◽  
Vol 6 (1) ◽  
pp. 13
Author(s):  
Adam Bignold ◽  
Francisco Cruz ◽  
Richard Dazeley ◽  
Peter Vamplew ◽  
Cameron Foale

Interactive reinforcement learning methods utilise an external information source to evaluate decisions and accelerate learning. Previous work has shown that human advice could significantly improve learning agents’ performance. When evaluating reinforcement learning algorithms, it is common to repeat experiments as parameters are altered or to gain a sufficient sample size. In this regard, to require human interaction every time an experiment is restarted is undesirable, particularly when the expense in doing so can be considerable. Additionally, reusing the same people for the experiment introduces bias, as they will learn the behaviour of the agent and the dynamics of the environment. This paper presents a methodology for evaluating interactive reinforcement learning agents by employing simulated users. Simulated users allow human knowledge, bias, and interaction to be simulated. The use of simulated users allows the development and testing of reinforcement learning agents, and can provide indicative results of agent performance under defined human constraints. While simulated users are no replacement for actual humans, they do offer an affordable and fast alternative for evaluative assisted agents. We introduce a method for performing a preliminary evaluation utilising simulated users to show how performance changes depending on the type of user assisting the agent. Moreover, we describe how human interaction may be simulated, and present an experiment illustrating the applicability of simulating users in evaluating agent performance when assisted by different types of trainers. Experimental results show that the use of this methodology allows for greater insight into the performance of interactive reinforcement learning agents when advised by different users. The use of simulated users with varying characteristics allows for evaluation of the impact of those characteristics on the behaviour of the learning agent.


2021 ◽  
Vol 11 (4) ◽  
pp. 1514 ◽  
Author(s):  
Quang-Duy Tran ◽  
Sang-Hoon Bae

To reduce the impact of congestion, it is necessary to improve our overall understanding of the influence of the autonomous vehicle. Recently, deep reinforcement learning has become an effective means of solving complex control tasks. Accordingly, we show an advanced deep reinforcement learning that investigates how the leading autonomous vehicles affect the urban network under a mixed-traffic environment. We also suggest a set of hyperparameters for achieving better performance. Firstly, we feed a set of hyperparameters into our deep reinforcement learning agents. Secondly, we investigate the leading autonomous vehicle experiment in the urban network with different autonomous vehicle penetration rates. Thirdly, the advantage of leading autonomous vehicles is evaluated using entire manual vehicle and leading manual vehicle experiments. Finally, the proximal policy optimization with a clipped objective is compared to the proximal policy optimization with an adaptive Kullback–Leibler penalty to verify the superiority of the proposed hyperparameter. We demonstrate that full automation traffic increased the average speed 1.27 times greater compared with the entire manual vehicle experiment. Our proposed method becomes significantly more effective at a higher autonomous vehicle penetration rate. Furthermore, the leading autonomous vehicles could help to mitigate traffic congestion.


Author(s):  
Ju Xie ◽  
Xing Xu ◽  
Feng Wang ◽  
Haobin Jiang

The driver model is the decision-making and control center of intelligent vehicle. In order to improve the adaptability of intelligent vehicles under complex driving conditions, and simulate the manipulation characteristics of the skilled driver under the driver-vehicle-road closed-loop system, a kind of human-like longitudinal driver model for intelligent vehicles based on reinforcement learning is proposed. This paper builds the lateral driver model for intelligent vehicles based on optimal preview control theory. Then, the control correction link of longitudinal driver model is established to calculate the throttle opening or brake pedal travel for the desired longitudinal acceleration. Moreover, the reinforcement learning agents for longitudinal driver model is parallel trained by comprehensive evaluation index and skilled driver data. Lastly, training performance and scenarios verification between the simulation experiment and the real car test are performed to verify the effectiveness of the reinforcement learning based longitudinal driver model. The results show that the proposed human-like longitudinal driver model based on reinforcement learning can help intelligent vehicles effectively imitate the speed control behavior of the skilled driver in various path-following scenarios.


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