Optimal Control Policy for Linear-Quadratic Control Problems with Delay and Intermediate State Constraints

In this paper, we consider a terminal, linear control system with delay, subject to unknown but bounded disturbances. For this system, we consider the problem of constructing a worst-case optimal feedback control policy, which can be corrected at fixed, intermediate time instants. The policy should guarantee that for all admissible uncertainties the system states are in prescribed neighborhoods of predefined system states, at all fixed, intermediate time instants, and in the neighborhood of a given state at a terminal time instant, and the value of the cost function is the best guaranteed value. Simple explicit rules (which can be easily implemented on-line) for constructing the optimal control policy in the original control problem are derived.