Wiener theory of digital linear-quadratic control

Abstract

The linear quadratic regulator problem is considered for discrete time systems with time delay. The theory forms a close parallel to that for stationary prediction and filtering. For coloured noise disturbance at the plant input it is shown that the optimal control decomposes into the solution for white noise disturbance plus a feedforward controller. For unit time delay the solution becomes equivalent to that given by the stationary Kalman theory.