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H2 optimal reduced-order filtering with frequency weighting

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4 Author(s)
Luowen Li ; Sch. of Electr. & Electron. Eng., Nanyang Technol. Inst., Singapore ; Lihua Xie ; Wei-Yong Yan ; Yeng Chai Soh

This paper is concerned with a frequency-weighted H2 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 H2 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

Published in:

IEEE Transactions on Circuits and Systems I: Fundamental Theory and Applications  (Volume:46 ,  Issue: 6 )