Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

Minyi Huang · Peter E. Caines · Roland P. Malhamé

1,092 citations0/0 files storedIEEE Transactions on Automatic Control

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Game Theory and Applications Stochastic processes and financial applications Distributed Control Multi-Agent Systems

Abstract

We consider linear quadratic Gaussian (LQG) games in large population systems where the agents evolve according to nonuniform dynamics and are coupled via their individual costs. A state aggregation technique is developed to obtain a set of decentralized control laws for the individuals which possesses an epsiv-Nash equilibrium property. A stability property of the mass behavior is established, and the effect of inaccurate population statistics on an isolated agent is also analyzed by variational techniques.

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1998The Theory of Learning in Games 1995Dynamic noncooperative game theory

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