Buckingham Palace said that the Queen was not in the building when the man tried to get in, but would make no further comment.
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The Prime Minister has praised the former soldier's "huge professionalism" in trying to save the life of Pc Keith Palmer.
The man who carried out the Westminster attack is thought to be British born and was once investigated by MI5, the Prime Minister has said.
Jason Day, who lost his father to stomach cancer at the age of 12, broke down in tears as he explained his shock exit during the WGC event.