Large-population cost-coupled LQG problems with nonuniform agents:: Individual-mass behavior and decentralized ε-Nash equilibria

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 epsilon-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.