LQG with cross coupling

[NZG]

In Matlab I can compute an LQG using the robust toolbox's lqg function,
which is of the form [af,bf,cf,df]=lqg(A,B,C,D,W,V)
This function can handle cross coupling between the state and input such
that the loss function is of the form:

l(x,u)=x'Qx + 2u'Nc'x +u'Ru

I looked into the Octave-forge lqg function, but it only provides inputs for
Q and R, assuming that they are not coupled and the loss function is 
of the form:

l(x,u)=x'Qx +u'Ru

Has anyone else had to deal with this problem before?
How did you solve it?

thanks,
NZG.



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