LQG Graphon Mean Field Games: Analysis via Graphon Invariant Subspaces

This work 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. 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 and subspace decompositions. *Joint work with Peter Caines and Minyi Huang