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

Ping Liu, Giovanni Samaey, C. William Gear, Ioannis G. Kevrekidis

Research output: Contribution to journalArticle

5 Scopus citations

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 needs to be performed in only 20% of the full agent simulation space, and in only 10% of the temporal domain.

Original languageEnglish (US)
Pages (from-to)54-69
Number of pages16
JournalApplied Numerical Mathematics
Volume92
DOIs
StatePublished - Jan 2015

All Science Journal Classification (ASJC) codes

  • Numerical Analysis
  • Computational Mathematics
  • Applied Mathematics

Keywords

  • Agent-based modeling
  • Equation-free framework
  • Mimetic market models
  • Patch dynamics scheme

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