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The author investigates the question of approximation of the function \\(f \\in B_{K}\\) on arbitrary compact sets \\(S \\subset \\mathbb{R}^n\\) by finite exponential sums  \\[ P_m(x) = \\sum_\\nu C^{(m)}_\\nu e^{i\\langle \\alpha^{(m)} \\nu, x\\rangle},\\;\\nu \\in \\mathbb{Z},\\;\\alpha^{(m)} \\in (0,\\varepsilon), \\]  which additionally satisfy the condition \\(\\sup \\{|P_m(x) |: x \\in \\mathbb{R}^n\\} \\leq \\sup \\{|f(x)|: x\\in \\mathbb{R}^n\\}\\). Some estimates of the rate of the approximation are given. 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