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

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3 Author(s)
Minyi Huang ; Carleton Univ., Ottawa ; Caines, P.E. ; Malhame, R.P.

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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Automatic Control, IEEE Transactions on  (Volume:52 ,  Issue: 9 )