Linear Quadratic Gaussian Synthesis for a Heated/Cooled Rod Using Point Actuation and Point Sensing

We consider a rod that is heated/cooled and sensed at multiple point locations. To stabilize it to a constant temperature we set up a Linear Quadratic Regulator that we explicitly solve by the method of completing the square to find the optimal linear state feedback for the point actuators. But we don’t assume that the whole state is measureable so we construct an infinite dimensional Kalman filter to estimate the whole state from a finite number of noisy point measurements. These two components yield a Linear Quadratic Gaussian (LQG) Synthesis for the heat equation under point actuation and point sensing.