Solution:
Since ∠BAC and ∠BDC subtend the same arc, we can let α=∠BAG=∠GAC=∠CDG=∠GDB. Since ∠BAG=∠BDG, then G is a point on the circumcircle.
Let x=∠FHI and y=∠FIH. Since AHID is cyclic (∠HAI=∠IDH=α), then ∠IAD=x and ∠HDA=y. Since ABCD is cyclic, we also have ∠FBC=x and ∠FCB=y.
Since FHGI is cyclic, then ∠FGI=x and ∠FGH=y. By adding the angles of △AGD, we get as a result: x+y+α=90∘.
Extend GF, intersecting AD at J1, and the circumcircle of the pentagon at E1. One consequence we get is that GJ1⊥AD (because the highlighted angles of △AJ1G, α+x+y, already add up to 90∘). Similarly, DH⊥AG and AI⊥DG.

The equation now implies
JDJA=FCFB⋅GHGI=FIFH⋅GHGI=FI/GIFH/GH=FJ1/J1AFJ1/J1D=J1DJ1A
This forces J=J1 and so E=E1. Therefore, G,F and E are collinear.