Infinite horizon LQR for systems with multiple delays in a single input channel

摘要

This paper is concerned with the linear quadratic regulation (LQR) problem for both linear discrete-time systems and linear continuous-time systems with multiple delays in a single input channel.Our solution is given in terms of the solution to a two-dimensional Riccati difference equation for the discrete-time case and a Riccati partial differential equation for the continuous-time case.The conditions for convergence and stability are provided.