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Static PSM (power-saving mode) schemes employed in the current IEEE 802.11 implementations could not provide any delay-performance guarantee because of their fixed wakeup intervals. In this paper, we propose a smart PSM (SPSM) scheme, which directs a wireless station to sleep/wake up according to an "optimal" sequence, such that the desired delay performance is guaranteed with minimum energy consumption. Instead of constructing the sequence directly, SPSM takes a unique two-step approach. First, it translates an arbitrary user-desired delay performance into a generic penalty function. Second, it provides a generic algorithm that takes the penalty function as the input and produces the optimal station action sequence automatically. This way, the potentially-complicated energy-consumption-minimization problem subject to delay-performance constraints is simplified and solved systematically. Our simulation results show that, with a two-stair penalty function, SPSM achieves delay performance similar to the BSD (bounded slowdown) protocol under various scenarios, but always with less energy consumption, thanks to its capability to adapt to changes in the response-time distribution. Moreover, because of SPSM's two-step design feature, it is more flexible than BSD in the sense of being able to meet arbitrary user-desired delay requirement, e.g., providing soft delay-bound guarantees with power penalty functions.