A state space approach to the design of globally optimal FIR energy compaction filters

We introduce a new approach for the least squared optimization of a weighted FIR filter of arbitrary order under the constraint that its magnitude squared response be Nyquist( ). Although the new formulation is general enough to cover a wide variety of applications, the focus of the paper is on optimal energy compaction filters. The optimization of such filters has received considerable attention in the past due to the fact that they are the main building blocks in the design of principal component filter banks (PCFBs). The newly proposed method finds the optimum product filter ( ) = ( ) ( ) corresponding to the compaction filter ( ). By expressing ( ) in the form ( )+ ( ), we show that the compaction problem can be completely parameterized in terms of the state-space realization of the causal function ( ). For a given input power spectrum, the resulting filter ( ) is guaranteed to be a global optimum solution due to the convexity of the new formulation. The new algorithm is universal in the sense that it works for any , arbitrary filter length , and any given input power spectrum. Furthermore, additional linear constraints such as wavelets regularity constraints can be incorporated into the design problem. Finally, obtaining ( ) from ( ) does not require an additional spectral factorization step. The minimum-phase spectral factor min( ) can be obtained automatically by relating the state space realization of ( ) to that of ( ).