A generalised minimum variance controller for time-varying MIMO linear systems with multiple delays

In this paper we study optimal control of time-varying multi-input multi-output stochastic systems and develop a generalised minimum variance controller. The system to be controlled is described using a multi-input multi-output time-varying autoregressive moving average model that has multiple delays between the output and input. The controller minimises the sum of output tracking error variances and squared current control variables.