Derivation of the Optimal Solution
Let us just take the derivative of J (Eq. 1.30) with respect to the weights,
using matrix operations.
since the transpose of R is equal to itself because of its Toeplitz strucutre). If we equate this to
zero, we obtain the optimal weights,
which is the equation in the text.
since the transpose of R is equal to itself because of its Toeplitz strucutre). If we equate this to
zero, we obtain the optimal weights,
which is the equation in the text.