What are the possible reasons if Kalman filter can not calculate a stabilizing Kalman gain?

Dear All, I have a question about Kalman filter. I am using kalman filter for a state space model as following: X(k+1)=A(k)x(k)+B(k)u(k)+w(k), w(k) ∼ N(0,Q) Y(k)=C(K)x(k)+D(k)u(k)+v(k), v(k) ∼...

01 August 2016 8,636 13 View