Software

LQG optimal control

Matlab (Control Systems Toolbox):

• lqg, lqgreg, lqgtrack, kalman (and some more description in Linear-Quadratic-Gaussian (LQG) Design)

Julia (RobustAndOptimalControl.jl):

• LQGProblem

\mathcal H_2-optimal control

Matlab (Robust Control Toolbox):

• h2syn

Julia (RobustAndOptimalControl.jl):

• h2synthesize

Loop Transfer Recovery (LTR)

Matlab (Robust Control Toolbox):

• ltrsyn