RECURSIVE PROCEDURES FOR CONSTRAINED OPTIMIZATION PROBLEMS AND ITS APPLICATION IN SIGNAL-PROCESSING

Many filter design problems in signal processing can be formulated as a quadratic programming problem with linear inequality constraints. Th e authors present new recursive procedures for solving this kind of pr oblem. Using a constraint transcription technique, this inequality con strained quadratic programming problem can be approximated as an uncon strained minimisation problem. Two types of optimisation methods are d eveloped to serve this unconstrained problem in a recursive adjusting manner. Analysis and simulation results on the proposed recursive proc edures applied to the design of envelope-constrained filters are prese nted.