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arXiv · 2004.00679

LQG Graphon Mean Field Games: Analysis via Graphon Invariant Subspaces

Shuang Gao·Peter E. Caines·Minyi Huang
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Abstract

This paper studies approximate solutions to large-scale linear quadratic stochastic games with homogeneous nodal dynamics parameters and heterogeneous network couplings within the graphon mean field game framework in [2]-[4]. A graphon time-varying dynamical system model is first formulated to study the finite and then limit problems of linear quadratic Gaussian graphon mean field games (LQG-GMFG). The Nash equilibrium of the limit problem is then characterized by two coupled graphon time-varying dynamical systems. Sufficient conditions are established for the existence of a unique solution to the limit LQG-GMFG problem. For the computation of LQG-GMFG solutions two methods are established and employed where one is based on fixed point iterations and the other on a decoupling operator Riccati equation; furthermore, two corresponding sets of solutions are established based on spectral decompositions. Finally, a set of numerical simulations on networks associated with different types of graphons are presented.

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Shuang Gao, Peter E. Caines, Minyi Huang. 2021-10-21. LQG Graphon Mean Field Games: Analysis via Graphon Invariant Subspaces. https://arxiv.org/abs/2004.00679

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