Hi,
The stack of error above shows the Riccati condition violates during the stabilization of Kalman solution. As it says, In some iteration n, “Rn” happened to become singular and does violate the Positive definite criteria, This things generally happened when trying to find “Ln”. The Kalman gain “Ln” expression requires to take an inverse of some expression (i.e. C*Pstar*C'+R), this matrix should be a well-conditioned matrix. Thus, when an ill conditioned matrix passed this Riccati condition violates.
So, again when Passed a Well-conditioned matrix this error goes away. Now second cmd Window, which shows warning is again because of same reason, but this time the “Rn” does not become singular, it just not symmetric, MATLAB automatically handle this and shows the warning to user.
I hope it helps you.
