Abstract: Suppose KY and KX are large sets of observed and
reference signals, respectively, each containing N signals. Is it possible to construct a filter F : KY → KX that requires a priori
information only on few signals, p N, from KX but performs better than the known filters based on a priori information on every
reference signal from KX? It is shown that the positive answer is
achievable under quite unrestrictive assumptions. The device behind
the proposed method is based on a special extension of the piecewise
linear interpolation technique to the case of random signal sets. The proposed technique provides a single filter to process any signal from
the arbitrarily large signal set. The filter is determined in terms of pseudo-inverse matrices so that it always exists.
Abstract: A theory for optimal filtering of infinite sets of random
signals is presented. There are several new distinctive features of the
proposed approach. First, a single optimal filter for processing any
signal from a given infinite signal set is provided. Second, the filter is
presented in the special form of a sum with p terms where each term
is represented as a combination of three operations. Each operation
is a special stage of the filtering aimed at facilitating the associated
numerical work. Third, an iterative scheme is implemented into the
filter structure to provide an improvement in the filter performance at
each step of the scheme. The final step of the scheme concerns signal
compression and decompression. This step is based on the solution of
a new rank-constrained matrix approximation problem. The solution
to the matrix problem is described in this paper. A rigorous error
analysis is given for the new filter.