CONTROL OF TIME-DELAY LINEAR-SYSTEMS WITH GAUSSIAN WHITE-NOISE

Recurrence formulas are developed for finding mean, variances, and oth er statistics of the state vector of linear systems with random time d elay and Gaussian white noise input. These statistics are used to defi ne optimal control functions for these systems. Lyapunov exponents are used to evaluate the stability of the stationary solution when the co ntrol algorithm is based on the stationary statistics of the state vec tor. Two numerical examples are presented to illustrate the determinat ion of the optimal control function and of the conditions required for the existence of the stationary solution for systems with random time delay. (C) 1997 Elsevier Science Ltd.