Optimal control of systems with random delay

Abstract

An optimal control problem for systems with random time-delay is discussed. As a model of the random delay process, a distributed parameter system with random coefficients is introduced, which is a state description of the delay process and is preferable to input—output description in optimal control problems. Relation between the state model and the input—output model is discussed in detail. Based on the state description of the system, the optimal control is obtained in an explicit form for a linear system with a quadratic cost functional.