new file mode 100644
--- /dev/null
+++ b/scripts/control/lqe.m
@@ -0,0 +1,39 @@
+function [k, p, e] = lqe (a, g, c, sigw, sigv, zz)
+
+# Usage: [k, p, e] = lqe (A, G, C, SigW, SigV {,Z})
+#
+# Linear quadratic estimator (Kalman filter) design for the 
+# continuous time system
+#
+#   dx/dt = A x + B u + G w
+#       y = C x + D u + w
+#
+# where w, v are zero-mean gaussian noise processes with respective
+# intensities SigW = cov (w, w) and SigV = cov (v, v).
+#
+# Z (if specified) is cov(w,v); otherwise cov(w,v) = 0.
+#
+# Observer structure is dz/dt = A z + B u + k( y - C z - D u).
+#
+# Returns:
+#
+#   k = observer gain, (A - K C) is stable
+#   p = solution of algebraic Riccati equation
+#   e = closed loop poles of (A - K C)
+
+# Written by A. S. Hodel (scotte@eng.auburn.edu) August, 1993.
+
+  if (nargin != 5 && nargin != 6)
+    error ("lqe: illegal number of arguments");
+  endif
+
+# The problem is dual to the regulator design, so transform to lqr
+# call.
+
+  if (nargin == 5)
+    [k, p, e] = lqr (a', c', g*sigw*g', sigv);
+  else
+    [k, p, e] = lqr (a', c', g*sigw*g', sigv, g*zz);
+  endif
+
+endfunction