Extending iLQR method with control delay

Iterative linear quadradic regulator(iLQR) has become a benchmark method to deal with nonlinear stochastic optimal control problem. However, it does not apply to delay system. In this paper, we extend the iLQR theory and prove new theorem in case of input signal with fixed delay. Which could be beneficial for machine learning or optimal control application to real time robot or human assistive device.