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A self-tuning relay control scheme based on the linear quadratic regulator (LQR) method is proposed for MIMO linear systems. It is shown that, by adjusting the control penalty in the LQR solution, the eigenvalues of the relay-controlled system quickly converge to the system transmission zeros. An auxiliary output is then designed to give rise to a set of desired transmission zeros so that fast convergence can be achieved. Simulation results are presented to show the effectiveness of the scheme.