H/sub 2/ optimal reduced-order filtering with frequency weighting

This paper is concerned with a frequency-weighted H/sub 2/ optimal reduced-order filtering for a stable linear discrete-time signal model. By an orthogonal parameterization, we formulate the problem as that of minimizing the H/sub 2/ norm of the frequency-weighted filtering error transfer function over a set of orthogonal matrices. Two algorithms, namely the continuous and iterative algorithms, are then derived to compute an optimal reduced-order filter.