For quantum systems with linear dynamics in phase space much of classical feedback control theory applies. However, there are some questions that are sensible only for the quantum case: Given a fixed interaction between the system and the environment what is the optimal measurement on the environment for a particular control problem? We show that for a broad class of optimal (state-based) control problems (the stationary linear-quadratic-Gaussian class), this question is a semidefinite program. Moreover, the answer also applies to Markovian (current-based) feedback.