I have a state space model: A is 4X4 matrix B is 4X1 vector, C is 4X5 matrix and I am using Kalman filter and LQ-controller. The model have 4 state and 5 output, the controller give of course 4 K-values (gain), because of 4 states. I understand how this kind of design works when it is about SISO system and understand the math behind it. But how this design works with MIMO, I mean if I multiply the output of a model ( C and possible D matrixes) so there is 2 or three output (control input) the K-values will be different, why? how Kalman have combined them?