Although strongly related, in the literature these steps are hardly ever considered as one integrated problem.
Most authors restrict themselves to the study of one of the three topics.
The method we propose is based on subspace identification techniques. Starting from an unknown system, it provides the user with a finite horizon LQG-controller, directly from a set of measurements of the inputs and the outputs of the system. The system identification step, the Kalman filter step and the LQ controller design are inherent to the way of solving the problem and are replaced by elementary operations of linear algebra such as QR and SV decompositions.