Large-population cost-coupled LQG problems: generalizations to non-uniform individuals

We consider LQG games in large population conditions where the agents have non-uniform dynamics and are coupled by their individual costs. A state aggregation technique is developed to obtain a set of decentralized control laws which possesses an ε-Nash equilibrium property. An attraction property of the mass is also established. The methodology and the results contained in this paper illuminate individual and mass behaviour in such large complex systems.