Computing the reduced rank Wiener filter by IQMD

The reduced-rank Wiener filter (RRWF) is a generic tool for data compressio n and filtering, This letter presents an iterative quadratic minimum distan ce (IQMD) algorithm for computing the RRWF, Although it is iterative in nat ure, the IQMD algorithm is shown to be globally and exponentially convergen t under some weak conditions. While the conventional algorithms for computi ng the RRWF require an order of n(3) hops, the IQMD algorithm requires only an order of n(2) flops at each iteration where n is the dimension of data. The number of iterations required in practice is often small due to the ex ponential convergence rate of the IQMD.