Optimal control for linear systems with multiple time delays in control input

This note presents the optimal linear-quadratic (LQ) regulator for a linear system with multiple time delays in the control input. Optimality of the solution is proved in two steps. First, a necessary optimality condition is derived from the maximum principle. Then, the sufficiency of this condition is established by verifying that it satisfies the Hamilton-Jacobi-Bellman equation. Using an illustrative example, the performance of the obtained optimal regulator is compared against the performance of the optimal LQ regulator for linear systems without delays and some other feasible feedback regulators that are linear in the state variables. Finally, the note establishes a duality between the solutions of the optimal filtering problem for linear systems with multiple time delays in the observations and the optimal LQ control problem for linear systems with multiple time delays in the control input.