An algorithm for designing constrained least squares filters

This paper describes a practical computer algorithm for the solution of constrained least squares (CLS) filtering equations. This algorithm exploits the block-Toeplitz and block-circulant properties of the filtering equations. Specifically, these properties are utilized to adapt Kutikov´s and Akaike´s algorithms for the solution of block-Toeplitz systems. Our approach leads to an economical algorithm for computing the coefficients of the CLS filters proposed by Claerbout. This algorithm is well suited for solving large systems.