Achieving ultimate bounds in estimation processes is the main objective of quantum metrology. Finding the optimal strategies to tune the control parameters during the estimation process is a non-trivial problem, and machine learning techniques are a natural solution to address such task. Here, we investigate and implement experimentally an adaptive Bayesian multiparameter estimation technique tailored to reach optimal performances with very limited data. We employ a compact and flexible integrated photonic circuit, fabricated by femtosecond laser writing, which allows to implement different strategies with high degree of control.