In the first days of life, the daily evaporative loss from premature neonates can reach up to 20% of body mass. Such loss can be reduced by increasing the air humidity inside the incubator. Neither passive humidification nor open loop systems allow high humidity rates to be maintained or easily controlled: at 34 degrees C, the maximum levels vary with the system from 40% to 77% of relative humidity. The skin evaporative exchanges between the neonate and the environment are directly proportional to the water vapour partial pressure difference between the neonate's skin and the air. An active closed loop system has been designed, which permits reliable and accurate control of humidity according to the water vapour partial pressure set, between 1 and 6 kPa, in an air temperature range of 28-39 degrees C. It is characterised by variations of about 0.05 kPa around the set value and a maximum humidification speed of 0.25 kPa min-1. The algorithm is based on optimal control and the dynamic programming principles. Test results place this active system above usual systems for its power, precision and adaptability. It is an exploitable tool in fundamental and clinical research, to precisely study the humidity effects on neonatal comfort and thermo-regulation evolution.