Optimal Control of Interconnected Systems with Time-Correlated Measurement Noises and Random Communication Delays

This paper investigates the optimal decentralized output-feedback linear quadratic Gaussian (LQG) control problem for the discrete-time interconnected system. First, the interconnected system is modeled as a linear dynamic system subject to time-correlated measurement noises. In particular, the information transmission suffers from random communication delays in the interconnected system. Then, the augmented vector method is employed to eliminate the time-correlation of noises. Subsequently, an explicit optimal output-feedback LQG control strategy, which effectively minimizes the quadratic cost function, is formulated using the Hadamard product method. Ultimately, a numerical example is provided to demonstrate the validity of the designed controller.