Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
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- 17 September 2007
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 52 (9), 1560-1571
- https://doi.org/10.1109/tac.2007.904450
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.Keywords
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