Abstract
The application of Pontryagin's maximum principle to the optimization of linear systems with time delays results in a system of coupled two-point boundary-value problems involving both delay and advance terms. The exact solution of this system of TPBV problems is extremely difficult, if not impossible. In this paper, a fast-converging iterative approach is developed for obtaining the suboptimal control for nonstationary linear systems with multiple state and control delays and with quadratic cost. At each step of the proposed method, a linear nondelay system with an extra perturbing input must be optimized. The procedure can be extended for the optimization of nonlinear systems with multiple time-varying delays, provided that some of the nonlinearities satisfy the Lipschitz condition.
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