The Extended Kalman filter is more or less a mathematical "hack" that allows you to apply these techniques to mildly nonlinear systems.
The problem with Extended Kalman Filter is if I initialize the filter with poor conditions (i.e., the initial state), it will quickly diverge. If propagation and/or measurement updates happen at too great a timestep, it will quickly diverge.
I my view, EKF is not good for control engineering, due to the risk of diverging.
So my question is if Unscented Kalman Filter(UKF) is a better choise for me if I want to be sure that my controller is stable?
Or should i use the static original Kalman-Bucy Filter? I'm working with feedback systems.