Linear quadratic regulation for systems with time‐varying delay

Abstract In this paper we study the linear quadratic regulation (LQR) problem for discrete‐time systems with time‐varying delay in the control input channel. We assume that the time‐varying delay is of a known upper bound, then the LQR problem is transformed into the optimal control problem for systems with multiple input channels, each of which has single constant delay. The optimal controller is derived by establishing a duality between the LQR and a smoothing estimation for an associated system with a multiple delayed measurement. Copyright © 2009 John Wiley & Sons, Ltd.