On the LQG and LQG/LTR methodology

The paper considers the well-known linear quadratic Gaussian with loop transfer recovery (LQG/LTR) methodology as a special case of standard LQG methodology. In another words, problems solved using LQG/LTR methodology can equally be solved by the standard LQG methodology. In this way we can directly tackle the problem we want to solve. Proof is given to show how LQG/LTR methodology is related to LQG methodology.