LQGSP—A CAD Software Package for the LQG Systems

A CAD software package,LQGSP,has been developed,by analysis of the LQG problem.The structure,functions and the subroutines of the package are presented.A New trial and iterative method is proposed to solve the algebraic Riccati equation.Atrial method is given to determine P₀ in the D.L.Kleinman's iterative method.And the iterative process starts with P₀.LQGSP has been used to solve engineering problem effectively.