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Signal Processing 86 (2006) 10611075 www.elsevier.com/locate/sigpro

A simple design method of reduced-order lters and its applications to multirate lter bank design$
Zhisheng Duana,,1, Jingxin Zhangb, Cishen Zhangc, Edoardo Moscad
a

State Key Laboratory for Turbulence and Complex Systems and Department of Mechanics and Engineering Science, Peking University, Beijing 100871, PR China b Department of Electrical and Computer Systems Engineering, Monash University, Claydon, Vic 3800, Australia c School of Electrical and Electronic Engineering, Nanyang Technological University, Singapore, Singapore d Dipartimento di Sistemi e Informatica, Universita di Firenze, Italy Received 23 December 2004; accepted 25 July 2005 Available online 6 September 2005

Abstract Based on linear matrix inequality (LMI) technique, a new design method is proposed for the reduced-order lters of continuous and discrete time linear systems. The method is derived from decomposing the key matrix in LMIs which determines the order of designed lters. Different from the existing methods, the proposed method rst minimizes the upper bound of the key matrix and then eliminates its near-zero eigenvalues, which results in a simpler, more direct and reliable design procedure. The proposed method can be used to design H 2 and H 1 reduced-order lters and multirate lter banks. Its effectiveness is illustrated by several examples. r 2005 Elsevier B.V. All rights reserved.
Keywords: Linear matrix inequality (LMI); Reduced-order lter; Multirate lter banks

1. Introduction Common lter/controller design methods such as H 2 and H 1 optimal design often, if not always, yield high order lters/controllers, especially in the design of multirate lter banks, see [14] and references therein for various ltering and control techniques. Since a high order lter/controller tends to incur implementation difculties, the effective design methods for reduced order lter/controller are obviously important from a practical point of view. Over the past few decades, there has been some progress in developing design algorithms for the optimal reduced-order lters/controllers. For example, xed-order controller and model reduction problems have been
Work supported by the National Science Foundation of China under grant 60204007, 60334030 and Australian Research Council under Grant DP03430457. Corresponding author. Tel.: +861062765037; fax: +861062764044. E-mail addresses: duanzs@pku.edu.cn (Z. Duan), jingxin.zhang@eng.monash.edu.au (J. Zhang), ecszhang@ntu.edu.sg (C. Zhang), mosca@dsi.uni.it (E. Mosca). 1 Currently on leave at Department of Electrical and Computer Systems Engineering, Monash University, Australia. 0165-1684/$ - see front matter r 2005 Elsevier B.V. All rights reserved. doi:10.1016/j.sigpro.2005.07.029
$

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studied extensively, see [59] and references therein. Also some algorithms for reduced-order lter design were developed in [1014]. Although reduced-order lters and controllers have been extensively studied, the design problem is far from being solved. The key difculty in LMI based reduced-order design methods [15,16] stems from the feasibility of rank-constrained LMI. Because of the non-convexity, it is extremely hard to nd the globally optimal solutions to the generic design problems of reduced-order lters and controllers. Multirate lter banks (FBs) have found a wide range of applications in signal processing and telecommunications and have aroused the interest of control community in recent years, see [1,2,1719]. In [1], the design problem of FBs is cast into that of optimal model matching. The advantages of optimal model matching approach are that the design problems of FBs can be handled in a unied framework as in robust control and ltering, and that there are reliable algorithms and software for globally optimal solutions. The main limitation of this approach is that the structural features of FBs are ignored, which generally results in the FBs with very high-order. To make this approach practically applicable, optimal model matching with reduced-order FBs is required. This paper is devoted to developing a simple LMI-based design method for the reduced-order lters and FBs. Compared with the reduced-order control problem, the reduced-order ltering problem is a little easier. In the LMI formulae, the key matrix which determines the order of lters can be written out linearly. Based on this simplicity, we have developed a simple method for the design of reduced-order lters. This paper is inspired by [14]. But we will present a much simpler algorithm for the search of the positive semi-denite matrix which determines the order of the designed lters. The rest of this paper is organized as follows. In Section 2, a simple design method is given for H 2 and H 1 reduced order lters of continuous-time linear systems. In Section 3, the proposed method in Section 2 is generalized to discrete-time systems. Section 4 applies the result of Section 3 to the design of multirate lter banks. In Section 5, several examples are given to illustrate the proposed design method and to compare it with the results of [12,14,17]. The comparison shows that the method proposed in this paper gives better results in most cases. The last section concludes the paper. 2. A simple H 2 and H 1 reduced-order ltering method for continuous-time linear systems The standard ltering problem is formulated as follows. Consider the following linear stable system: _ x Ax Bw1 , y Cx Dw2 , z Lx,
n q p

(1)

where x 2 R is the system state vector, y 2 R is the measurement, z 2 R is the signal to be estimated, w1 2 Rm1 is the input noise and w2 2 Rm2 is the measurement noise. w1 and w2 are assumed to be mutually independent zero-mean Gaussian white noises with unit power spectrum density matrix. The canonical ltering problem is to nd a stable lter of the form: _ xF AF xF BF y, zF LF xF , which minimizes Ez zF T z zF , where Ez denotes mathematical expectation of the random variable z. The lter (2) is called a full-order lter when xF 2 Rn , or a reduced-order lter when xF 2 Rr with ron. The obvious meaning in ltering is to design an efcient lter to estimate the output z from the noise corrupted output y [12]. It is well-known that Kalman lter is a full-order optimal lter. In order to consider reduced-order lters, we formulate the ltering problem above in terms of LMIs. Rewrite (1) and (2) in the following compact form: _ xcl Acl xcl Bcl w, (2)

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z zF C cl xcl , where x xcl Bcl xF B 0 ! ; 0 BF D Acl ! ; A BF C w w1 w2 0 AF ! , ! ,

(3)

C cl L LF . It is a standard result, e.g. [12,14], that for a given g2 40, Ez2 og2 , cl 2 if and only if, the following matrix inequalities are feasible in the variables P; Z; AF ; BF and C F : ! PAcl AT P PBcl cl o0, BT P I cl P C cl CT cl Z ! 40; trZog2 . 2 (6) (4)

(5)

By the canonical LMI method, the above feasibility problem of matrix inequalities can be converted to the problem shown below, which is proved in [14]. Theorem 1. For a given g2 40, if there are S ST 40; Q QT X0 and Z Z T 40 such that ! SA AT S SB o0, BT S I 0 NT C
D0

(7)

S QA AT S Q S QB0 BT S Q 0 I

1 A 8

NC and

D0 o0,

S Q LT L Z

! 40; trZog2 , 2
D0

(9) is any basis of the nullspace of C D0 , then there exists a lter in the

where B0 B 0; D0 0 D and NC form (2) such that (4) holds.

From Theorem 1, we can get the following simplied result when D I. Corollary 1. If D I in (1), then (8) holds if, and only if, ! S QA AT S Q C T C S QB o0. BS Q I Proof. By the canonical LMI method [20], (8) holds if, and only if, there exists a scalar l40 such that 0 1 S QA AT S Q S QB0 @ A BT S Q I 0 lC D0 T C D0 o0. 11

(10)

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Using Schur complement and the supposition D I and taking l sufciently large, the above inequality holds if and only if (10) holds. & Remark 1. From Corollary 1, we can see that by the condition D I and the use of (11), the matrices NT D0 C and NC D0 in (8) are reduced to C T C in (10). Hence the formula (10) is much simpler and we can see the effect of the matrices NT D0 and NC D0 clearly in (10). C The matrix Q in (8) and (9) is crucial to the determination of the order of designed lter. In fact, the order of designed lter is equal to the rank of Q. In order to design reduced-order lters, we have to get a singular matrix Q that satises the matrix inequalities in Theorem 1. This is the well-known rank constraint in reducedorder lter/controller design, which is non-convex in nature and greatly increases design difculty. Intuitively, we can get reduced-order lters by tailoring Q. For example, when we get Q by solving the LMIs in Theorem 1, we decompose Q as Q USU T , where U satises UU T I and S is a diagonal matrix. Replacing small eigenvalues of Q in S by zeros, we can get a singular matrix S1 . With this S1 , we can get a positive semi-denite matrix Q1 US1 U T , which will yield a reduced-order lter. Based on this simple idea, we can derive a design algorithm for reduced-order lters. But generally, this method is rather conservative if there is no other constraint on Q. Therefore, we introduce an upper bound constraint on Q to reduce the conservativeness. This leads to the following algorithm. Design algorithm for reduced-order lters: Step 1: Compute the optimal value g2fo for full-order lters by solving the LMIs in Theorem 1. Step 2: Take a scalar g2 a little larger than g2fo . Then solve the inequalities (7), (8) and (9) again with the chosen g2 and minimize the upper bound a such that 0oQpaI. (12) In this way, we can get a positive denite matrix Q. Step 3: Decompose Q as Q USU T , where S diagl1 ; . . . ; lr ; lr1 ; . . . ; ln . Suppose l1 X Xlr Xlr1 X Xln without loss of generality and let U 1 be the matrix composed of the rst r columns of U. Step 4: Minimize trZ subject to (7) and 0 1 S U 1 RU T A AT S U 1 RU T S U 1 RU T B0 1 1 1 A NT D0 @ C BT S U 1 RU T I 0 1 NC
D0 o0

13 ! LT 40 Z (14)

S U 1 RU T 1 L

with matrix variables S40; R40 and Z40. Then we can get a positive semi-denite matrix U 1 RU T and the 1 corresponding optimal value g2ro ( trZ) for reduced-order lters. Using this U 1 RU T , we can get a lter with 1 order r and estimation performance g2ro by the traditional LMI method given in [14,16]. Step 5: If this g2ro is not satisfactory, then go back to Step 2 to increase g2 a little and repeat the other steps above, stop when we get a comparatively optimal g2ro . Remark 2. Compared with the reduced-order lter design method in [12], the method given above is more direct and can achieve better result. The method in [12] is an indirect method. It designs the reduced order lter by a closed-loop order reduction of the full order Kalman lter. Because the order reduction imposes some structural constraints inherited from full order Kalman lter, this method does not always give the best results, see [14] and Section 5 for demonstrative examples. Remark 3. Compared with reduced-order lter design method in [14], the method given above is simpler and more reliable. In [14], to nd the Q that satises the rank constraint, a slack variable R satisfying Q RRT is introduced and three optimization algorithms are suggested to minimize TrQ RRT . All these algorithms require searching (all the elements of) a positive semi-denite matrix Q with dimension n n and a rectangular

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matrix R with dimension n r. These searches must be carried out at each computation of LMIs (7)(9). Thus they greatly increases computational requirements. Because these algorithms are coupled with LMIs (7)(9), and because TrQ RRT is nonlinear in R and non-convex in terms of Q and R, the entire optimization problem becomes nonlinear and non-convex. It is not only computationally very intensive and very hard to solve, but also may not reliably generate the required suboptimal solution. In contrast, the algorithm proposed above is based on minimizing the upper bound of Q during the normal LMI computation and on eliminating the small eigenvalues of Q after the minimization. Before each computation of LMIs (7)(9), only a single parameter g2 needs to be adjusted and the additional nonlinear computation of TrQ RRT is completely avoided. Since the initial value of the parameter g2 is g2fo , which is obtained from the full order lter design in Step 1 and is the global minimum value of ltering error, the adjustment of g2 is almost certain (normally to a larger value) and can be easily and reliably conned to the vicinity of the global minima by controlling the size of adjustment. Also, once the parameter g2 is specied, only the conventional LMI optimization is involved in the subsequent computations, which is convex and guarantees a suboptimal solution if it exists. The constraint QoaI in Step 2 is crucial. This constraint guarantees that some eigenvalues of Q are near zero, so we can eliminate these eigenvalues to obtain reduced-order lters. If Q 0, it corresponds a zero lter. As will be shown in Section 5, the proposed method has an acceptable conservativeness. Obviously the method above can also be applied to the H 1 optimal ltering problem which is to nd a stable lter of the form: _ xF AF xF BF y, zF LF xF DF y (15)

to minimize the worst case estimation error energy kz zF k2 over all bounded energy disturbances w1 and w2 . Again, we formulate the H 1 ltering problem above in terms of LMIs. Rewrite (1) and (15) in the following compact form: _ xcl Acl xcl Bcl w, z zF C cl xcl Dcl w, where x xcl Bcl xF B 0 ! ; 0 BF D Acl ! ; A BF C w w1 w2 0 AF ! , ! , (16)

C cl L DF C LF ; D0 0 D.

Dcl DF D0 ,

It is a standard result, e.g. [10], that for given a g1 40, the following inequality holds for all non-zero w 2 L2 0; 1: kzcl k2 og1 kwk2 , if and only if, the following matrix inequality is feasible in the variables P; AF ; BF ; C F and DF : 0 1 PAcl AT P PBcl CT cl cl B BT P g1 I DT Co0. @ cl cl A C cl Dcl g1 I (17)

(18)

By the canonical LMI method, the above feasibility problem of matrix inequalities can be converted to the problem shown below.

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Theorem 2. For a given g1 40, if there are S ST 40 and Q QT X0 such that ! SB SA AT S o0, BT S g1 I 0 NT C
D0

(19)

S QA AT S Q g1 LT L 1 BT S Q 0
D0 o0, D0

S QB0 g1 I

1 A 20

NC

where B0 ; D0 and NC

are given as in Theorem 1, then there exists a lter as in (15) such that (17) holds.  ,

Proof. Write P and P1 as    Y X M 1 P ; P T NT M

(21)

where denotes the submatrix which needs not to be written out. Then (18) can be written as 0 1 PAd AT P PBd CT d d B C B BT P g1 I DT C d 0 A @ Cd D0 g1 I ^ ^ ^ ^ ^ ^ BK C BK CT o0, where A Ad 0 0 0 0 P ! ; 0 I 0 0 Bd !1 C C C C; C A B 0 0 0 ! , ! , 22

B 0 B ^ B B B B 0 @ I
F ^ K DF B

^ C

C 0

0 I

D0 0

0 0

and D0 is as given above. By the well-known projection lemma, (22) holds if and only if, ! YA AY B o0 (23) BT g1 I
T

LF AF

and NT C

0
D0

XA AT X g1 LT L 1 BT X 0

XB0 g1 I

1 A 24

NC

D0 o0,

where B0 is as given in Theorem 1. By (21), we know that X Y 1 Q, where QX0. Let S Y 1 , obviously (19) is equivalent to (23) and (20) is equivalent to (24). & Similar to Corollary 1, we can get the following simplied result when D I. Corollary 2. If D I in (1), then (20) holds if and only if, S QA AT S Q g1 LT L g1 C T C 1 BS Q S QB g1 I ! o0. (25)

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Apparently the design algorithm for reduced-order lters carries over easily to the optimal H 1 ltering problem stated in Theorem 2. We just need to replace, in the algorithm, the LMIs (7), (8) and (9) with (19) and (20), and replace g2 with g1 .

3. H 2 and H 1 reduced-order ltering for discrete-time systems This section generalizes the result above to H 2 and H 1 ltering of discrete-time systems. Consider the following discrete-time stable system: xk1 Axk Bw1k , yk Cxk Dw2k , zk Lxk ,
n q p

(26)

where xk 2 R is the system state vector, yk 2 R is the measurement, zk 2 R is the signal to be estimated, w1k 2 Rm1 is the input noise and w2k 2 Rm2 is the measurement noise. The ltering problem is to nd a stable lter described as ^ ^ xk1 AF xk BF yk , ^ ^ zk LF xk DF yk , (27)

where the matrices AF ; BF ; LF ; DF are to be designed. Assume that w1k and w2k are mutually independent Gaussian white noises with zero-mean and unit covariance. The aim of design is to minimize ^ ^ Ez zT z z, where Ez denotes mathematical expectation of the random variable z. The lter (27) is called a full-order lter when xF 2 Rn , or a reduced-order lter when xF 2 Rr with ron. In order to consider reduced-order lters, we formulate the ltering problem above in terms of LMIs. Rewrite (26) and (27) in the following compact form: xk1 Acl xk Bcl wk , ^ zk zk C cl xk Dcl wk , where xk given g2 40, xk ; ^ xk wk w1k , w2k (28)

and Acl ; Bcl ; C cl ; Dcl are as given in (16). It has been established in [3,21] that for (29)

^ ^ Ez zT z zog2 , 2 if and only if, the following matrix inequalities are feasible in the variables P; Z; AF ; BF and C F : 0 1 1 P Acl Bcl B AT P 0 C40 @ cl A BT 0 I cl and 0 Z B CT @ cl DT cl C cl P 0 1 Dcl 0 C40; A I trZog2 . 2

(30)

(31)

Following the same line as the proof of Theorem 2 and Corollary 1, it is easy to establish the following theorem.

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Theorem 3. For a given g2 40, if there are S S T 40, Q QT X0 and a scalar l40 such that !   S 0 AT SA B40, 0 I BT 0 B B @ SQ 0 0 0 0 0 I 0
T

(32)

C B C 0 C B BT CS QA B 0 A @ A 1 I 0 33

AT

C B C lB 0 CC 0 D40, @ A T D and 0 1 0 1

L SQ 0

0 DT

B T BL @ 0

C B C 0 C lB C T C0 C D40, A @ A I 34

trZog2 , 2 then there exists a lter in the form (27) such that (29) holds. Similar to Corollary 1, we get Corollary 3. If D I, then (33) is equivalent to ! ! S Q CTC 0 AT S QA B40, 0 I BT and (34) is equivalent to Z LT L S Q CTC ! 40; trZog2 , 2

(35)

(36)

Obviously, the method above is also applicable to the following H 1 ltering problems: Assume that wk 2 l 2 0; 1 in (28). Given a prescribed scalar g1 , design a lter of the form (27) such that for all non-zero wk 2 l 2 0; 1, ^ kz zk2 og1 kwk2 . It is well known that (37) holds if and only if there exists P P 40 such that 0 1 1 P 0 Acl Bcl B C g1 I C cl Dcl C B 0 B T C40. T BA P 0 C @ cl C cl A BT DT 0 g1 I cl cl
T

(37)

(38)

The above condition can be described equivalently in the following form which is the H 1 counterpart of Theorem 3. Theorem 4. Given g1 40, if there are S ST 40, Q QT X0 and a scalar l40 such that ! ! S 0 AT SA B40, 0 g1 I BT

(39)

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and 0 B B @ C B C 0 C B BT C A @ A 0 0 g1 I 0 0 T1 C B C B 0 CC 0 D40, S QA B 0 l@ A T D 0 g1 I S Q g1 LT L 1 0 0 1 0 AT 1

40

then there exists a lter of the form (27) such that (37) holds. Corollary 4. If D I, then (40) is equivalent to ! ! S Q g1 LT L g1 C T C 0 AT 1 0 g1 I BT S QA B40. 41

Design algorithm for H 2 and H 1 reduced-order lter: Obviously, the algorithm given in Section 2 is also suitable for the H 2 and/or H 1 reduced-order lter design of discrete-time linear systems based on the LMIs given in Theorems 3 and 4. Under an upper bound constraint of Q, if Q 0, it corresponds a constant lter DF in discrete-time systems.

4. Application to multirate lter bank design As shown in [1], the design of synthesis lters in FBs can be cast into the following model matching problem: given transfer function matrices W z and Ez with compatible dimensions, nd a transfer function matrix Rz that minimizes kW z RzEzk1 . In the above formula, Ez, Rz and W z are, respectively, the polyphase representations of analysis lters H i z, synthesis lters F i z; i 0; 1; . . . ; m 1, and the required time delay between input and output signals, which are proper rational transfer functions, see [1] for details. To simplify presentation, in the sequel we will consider only two channel FBs. The results of this section carry over easily to multichannel FBs. In two-channel FBs, Ez, Rz and W z are 2 2 transfer function matrices. Generally, W z is a transfer function matrix composed of time-delay operators only and takes on the following form [1]: ! zd 0 W z if m 2d 1, 0 zd 0 zd zd1 0 ! if m 2d,

W z

where m is the desired value of time delay. For full-order design, orderRz orderEz orderW z; see [1]. In this section, we design reduced-order Rz for the model-matching problem minRz kW z RzEzk1 . The reduced-order synthesis lters can be obtained directly from the designed Rz using the formulae given in [1].

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Suppose that the state-space realizations of W z, Ez and Rz are W (z ) :=

AW CW

BW 0

E (z ) :=

AE CE

BE DE

; R (z ) :=

AR CR

BR DR

;respectively. Then the state space realization of

AW 0 0 CW 0 AE B R CE D R CE 0 AR CR B B R DE DR DE ; 0 0 AR CR BW BE B R DE DR DE

A cl C cl

B cl D cl

:=

W z RzEz

is
A := B R CE 0 CW 0 D R CE 0

where

A B C E0 0 C E ; C W 0 C W 0. Using Theorem 4, we can establish the following result. Theorem 5. Suppose that Ez and W z are given as above. Then for a given g1 40, there exists Rz such that kW z RzEzk1 og1 , if and only if there are S S T 40, Q QT X0 and a scalar l40 such that S 0 and 0 @ S Q g1 C T 0 C W 0 lC T C E0 1 W E0 AT BT ! lDT C E0 E lC T DE E0 g1 I lDT DE E 1 A 0 g1 I ! AT BT ! SA B40, (42)

W A0

0 AE ;

BW ; BE

S QA B40.

43

Remark 4. Obviously, the key matrix Q which determines the order of Rz is linearly separated in the formulae of Theorem 5. So the algorithm given in Section 2 can be used to design reduced-order synthesis lter banks. This method can also be generalized to H 2 reduced-order design of multi-rate lter banks. Remark 5. The FBs designed with H 1 norm optimization [1] do not necessarily remove all aliasing. However, the aliasing distortion, measured by the H 2 norm of aliasing component, is bounded by kW z RzEzk1 , and it will be small if kW z RzEzk1 is small [22]. This is also true for the reduced order FBs designed with Theorem 5 and the algorithm in Section 2, since they are based on the same H 1 norm criterion. Thus, the prescribed g1 in the algorithm controls both the maximum ltering error and aliasing distortion of the designed FBs, and the H 2 norm of the FBs aliasing component is always less than or equal to the achieved kW z RzEzk1 : g1ro . For two channel FBs, the aliasing component is given by [18] H 0 zF 0 z H 1 zF 1 z, and its H 2 norm satises kH 0 zF 0 z H 1 zF 1 zk2 pg1ro , see Section 5 for demonstrative examples.

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5. Examples Example 1. Consider the following example system borrowed from [12,14]: 0 1 0 1 0 1 0:5 0 B C B C _ x @ 5 0:020 Ax @ 1 Aw1 , 1:5 0 0:1 1 y 1 1 2x w2 , z 1 1 2x. (44)

For this example, the optimal full-order H 2 ltering performance is g2fo 1:87. In the reduced second-order case, the satisfying H 2 ltering performance is g2ro 2:4183 obtained by the algorithm in Section 2 with g2 2:02 and the constraint 0oQo5:2I. The corresponding singular matrix is 0 1 2:5658 0:4796 1:7438 B C 0:2989 0:5272 A. U 1 RU T @ 0:4796 1 1:7438 0:5272 1:3788 borrowed from [12,14]: 1 1 0C C C 0 Cw1 , C C 0A 1 Example 2. Consider the following example system 1 0 0 0 0 0:1 0 0 0 B 1 0:3 0 B0 0 0 C C B B C B B 0 0:016 Cx B 1 _ B x B 0 0:2 0 C B C B B 0 0:06 A @ 0 0:3 1 @0 0 0 0:1 0:1 1:5 0:9  y  z 0:1 0 0 0:5 1:6  x w2 ,

0:1 0:2 0 0:1 0 0 0:1 0:2 0

0:3 0:12

 0:5 1:6 x. 0:3 0:12

(45)

For this example, the optimal full-order H 2 ltering performance is g2fo 1:78: In the reduced third-order case, the satisfying H 2 ltering performance is g2ro 1:93 obtained by the algorithm in Section 2 with g2 1:81 and the constraint 0oQo1:93I. Its corresponding singular matrix is U 1 RU T 1 0 0:3152 0:2997 0:2853 0:1820 0:0857 0:1166 0:1880 0:1820 0:1997 0:0059 0:4261 0:0754 0:0857 0:0059 0:6878 0:2040 0:0999 1

B B 0:2997 B B B 0:1880 B B B 0:0754 @ 0:0999

C 0:1166 C C C 0:4261 C. C C 0:2040 C A 1:7465

Observations: Table 1 compares the performance of the reduced-order lters designed for Examples 1 and 2 using different methods. As seen from the table, for Example 1, the proposed method gives a better performance than the existing methods [14,12]. Note that for this example, the performance of our reduced order lter is also better than the true global optimal value 2.4253 calculated in [14] with the BB method. For Example 2, the performance is better than that of [12] but slightly worse than that of [14]. However, for this example, the optimal full order ltering performance we calculated is g2fo 1:78, whereas that calculated in [14] is g2fo 1:77. This discrepancy indicates some slight numerical errors in either calculations. Thus the

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1072 Z. Duan et al. / Signal Processing 86 (2006) 10611075 Table 1 Comparison of H 2 reduced-order ltering performances obtained by different methods Method Example 1, 2nd-order 2, 3rd-order This paper 2.4183 1.93 [14] 2.4503 1.912 [12] 4.74 2.06

relative ratio g2fo =g2ro might be a fairer comparison. For the proposed method g2fo =g2ro 0:9222, while for the method of [14] g2fo =g2ro 0:9257. The performances of the proposed method and that of [14] are almost the same. In addition, we can see that for both examples, the reduced order ltering cost given by [12] is generally worse, particularly for Example 1, it is far from its real global optimal value. This demonstrates that the method of [12], which is based on a closed-loop order reduction of the full order Kalman lter, may not minimize the ltering error of the reduced order lter due to the structural constraints imposed in the order reduction. Example 3. Consider the following discrete-time system in the form of (26) with 1 0 0:6 0:1 0:2 0:3 0:2 0 C B B 0 0:4 0:3 0:2 0:1 0:1 C C B C B B 0:3 0:2 0:1 0:1 0 0:2 C C B AB C, B 0:1 0:3 0:1 0:3 0:1 0:05 C C B C B B 0:1 0:2 0:1 0:1 0:3 0:1 C A @ 0:3 0 1 1 B C B0C B C B C B0C B C B B C; B0C B C B C B1C @ A 0 0:2 0 1 2 B C B0C B C B C B2C B C T C B C; B0C B C B C B0C @ A 0 0:1 0:3 0:2 0:3 0 1 1 B C B0C B C B C B0C B C T L B C; D 1, B0C B C B C B0C @ A 1

which is adapted from [21]. Note that we have taken D 1 here for simplicity of LMI formulae. The optimal full-order H 2 ltering cost is g2fo 0:4803. In the reduced third-order case, the satisfying H 2 ltering performance is g2ro 0:4809 obtained by the algorithm in Section 2 with g2 0:4809 and the constraint 0oQo25I. For this example, the optimal full-order H 1 ltering cost is g1fo 0:56162. In the reduced thirdorder case, the satisfying H 1 ltering value is still g1ro 0:56162 obtained by the algorithm in Section 2 with g1 0:56163 and the constraint 0oQo5I. From this example, we can see that our reduced-order H 2 ltering cost is very close to the full-order ltering cost, and our reduced order H 1 lter has achieved the global optimal value of ltering performance. So the conservativeness of the proposed method is acceptable. Example 4 (FB design). This is Example 2 of [17]. The analysis lters are third-order IIR lters given by H 0 z 0:1412z3 0:3805z2 0:3805z 0:1412 , z3 0:3011z2 0:3694z 0:0250

H 1 z H 0 z.

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Using the proposed method (Theorem 5 plus Design Algorithm), we can obtain synthesis lters F 0 z and F 1 z with the order 19, the maximum reconstruction error g1ro 0:015 and the aliasing distortion kH 0 zF 0 z H 1 zF 1 zk2 0:0037, by taking the values of time delay m 10, g1 0:015 and the constraint 0oQo68I in the algorithm given in Section 2. For this example, the maximum reconstruction error resulting from full-order H 1 design is g1fo 0:002, and the order of this full-order H 1 design is 31, see [1] for calculation of the order. So the order of our synthesis lters is reduced by 12 at the sacrice of maximum reconstruction error. Figs. 1 and 2 show the frequency responses of the designed synthesis lters which are similar to those of [17] obtained by mixed H 2 =H 1 optimization design, but our H 1 reconstruction error is less than 0.0186 given in [17]. Compared with the lters given in [17], the order of our synthesis lters is lower and the frequency responses are better than those of [17] by H 1 norm optimization. Example 5 (FB design). In this Example H 0 z is a low-pass elliptic lter obtained by MATLAB function ellip, and H 1 z H 0 z, H 0 z 0:1396z3 0:3686z2 0:3686z 0:1396 . z3 0:4276z2 0:6066z 0:1626

Fig. 1. jH 0 zj and jH 1 zj in decibels versus w=2p.

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Fig. 2. jF 0 zj and jF 1 zj in decibels versus w=2p.

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Using the proposed method (Theorem 5 plus Design Algorithm), we can obtain synthesis lters F 0 z and F 1 z with the order 23, the maximum reconstruction error g1ro 0:005 and the aliasing distortion kH 0 zF 0 z H 1 zF 1 zk2 0:0036, by taking the values of time delay m 10, g1 0:01 and the constraint 0oQo110I in the algorithm given in Section 2. For this example, the maximum reconstruction error resulting from full-order H 1 design is g1fo 0:002, and the order of this full-order H 1 design is 31, see [1] for calculation of the order. So the order of our synthesis lters is reduced by 8 with some minor sacrice of maximum reconstruction error. Figs. 3 and 4 show the frequency responses of the analysis and designed synthesis lters. It is worth pointing out that for this example, the order reduction method suggested in [1] does not work. Firstly, there are no zero-pole cancellation in the full-order lters designed with the H 1 optimization method [1]. That is, the order of the designed lters cannot be reduced by zero-pole cancellation. Secondly, using the balanced truncation tool of model reduction (Matlab function balmr), we can only get synthesis lters with the order 29 and the maximum reconstruction error g1ro 0:05. The benet of the proposed method is obvious.

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Fig. 3. jH 0 zj and jH 1 zj in decibels versus w=2p.

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Fig. 4. jF 0 zj and jF 1 zj in decibels versus w=2p.

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6. Conclusion Compared with H 2 and H 1 control problems, H 2 and H 1 ltering problems are easier. The key matrix Q which determines the order of the designed lters can be separated explicitly. Using this property, a new method is proposed for the design of reduced-order lters. Different from the positive semi-denite matrix search method given in [14], the proposed method rst minimizes the upper bound of Q and then eliminates its near-zero eigenvalues. Therefore, it greatly simplies the design procedure. The proposed method is applicable to both continuous and discrete systems, to H 2 and H 1 ltering problems, and to multirate lter bank design. The effectiveness of the method has been demonstrated by examples. References
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