Wavelet or sub–band coding has been quite successful in compression applications, and this success can be attributed in part to the good approximation properties of wavelets. In this paper, we revisit rate–distortion (RD) bounds for the wavelet approximation of piecewise smooth functions, and piecewise polynomial functions in particular. We contrast these results with RD bounds achievable using an oracle–based method. We then introduce a practical dynamic programming algorithm, which achieves performance similar to the oracle method, and present experimental results.