2020/04/01 by Shuang Gao, Gao, Shuang, Peter E. Caines +3 · 3 citations
Computer Science · Engineering · Mathematics · #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Systems and Control (eess.SY) #cs.SY #eess.SY #electronic engineering #information engineering #math.OC
paper · pdf · doi:10.48550/arxiv.2004.00679
arxiv created 2021/10/21 · arxiv updated 2021/10/22
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.