Optimal control of continuous-time linear systems with a time-varying, random delay

We study a finite horizon optimal control problem for a class of linear sys tems with a randomly varying time-delay. The systems of this type may arise in embedded control applications and in certain applications in economics, The delay value is treated as an unknown variable but with known statistic al properties, modelled by a Markov process with a finite number of states. The "probabilistic delay averaging" approach is employed to determine the optimal control in the form which is independent of the delay value. (C) 20 01 Elsevier Science B.V. All rights reserved.