Delay Sensitivity of Quadratic Controllers: A Singular Perturbation Approach
The sensitivity of quadratic controllers to delays in both the state and control is considered. In particular, a linear delay system of the form \[ \begin{aligned} \dot x(t) &= A_0x(t)+ \sum^I_{i=1} A_i x(t- k_i)+ B_0u(t)+ \sum^J_{j=1} B_ju(t- h_j),\quad\text{a.e. }t,\\ x(0) &= x_{00}\end{aligned} \] with \(L^2\) initial conditions, together with a standard quadratic cost functional \(J_T\) is studied. If \(\widehat J_T(k, h)\) denotes the optimal value of the cost as a function of the delay vectors \(k= (k_1,\dots, k_I)\), \(h= (h_1,\dots, h_J)\), then it is shown by a singular perturbation approach that the sensitivity is given explicitly by \[ {\partial\widehat J_T\over \partial h_j} (0,0)= \langle x_{00}, P_T(0) B_jR^{-1} B^T_jP_T(0) x_{00}\rangle, \] where \(P_T\) satisfies a standard Riccati equation and \[ {\partial\widehat J_T\over\partial k_i} (0,0)= -\langle P_T x_{00}, A_ix_{00}\rangle. \]
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