He will have waited there until the lights went out.
He will have waited there until the lights have all gone out.
He will have waited there until the lights goes out.
Are those sentences possible? Are there any differences in meaning?
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Take your statements in two parts.
The first part of each is about the expected behaviour in the past of a person who was waiting until lights went out. At the time of speaking, the lights have gone out and the person is presumably no longer waiting.
So the first statement is correct:
He will (or would) have waited there until the lights went out.
The second statement confuses tenses. Using the present perfect indicates that the lights have not yet all gone out. The action is not completed. But the sense of the statement is that the lights have indeed gone out. So it's wrong.
If he is still waiting there and some lights are still on, you would have to say:
He will be waiting there until all the lights have all gone out.
The third statement is also wrong. Lights is plural and thus would go out, not goes out. So the way to write this is:
He will be waiting there until all the lights go out.
Which means very much the same as until all the lights have gone out.