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

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.