Sequential decomposition of graphon mean field games
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In this paper, we present a sequential decomposition algorithm to compute graphon mean field equilibrium (GMFE) of dynamic graphon mean field game (GMFG). We consider a large population of players sequentially making strategic decisions where the actions of each player affect their neighbors which is captured in a graph, generated by a known graphon. Each player observes a private state and also a common information as a graphon mean-field population state which represents the empirical networked distribution of other players' types. We consider non-stationary population state dynamics and present a novel backward recursive algorithm to compute GMFE that depend on both, a player's private type, and the current (dynamic) population state determined through the graphon. Each step in this algorithm consists of solving a fixed-point equation. We provide conditions on model parameters for which there exists such a GMFE. Using this algorithm, we obtain the GMFE for a specific security setup in cyber physical systems for different graphons that capture the interactions between the nodes in the system.
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