2013/10/13

MMVCLAB

3.1

2013/10/13

MMVCLAB

3.1

:x(n-1),x(n-2),,x(n-N)
: x(n) x (n)
:
N

x (n) = ai x(n i )
:

i =1

e(n) = x(n) x (n) = x(n) ai x(n i )

i =1

: H ( z ) = 1

i
a
z
i = A( z )
i =1

x(n)

H(z)=A(z)

e(n)

2013/10/13

MMVCLAB

e( n ) = x ( n ) x ( n ) = x ( n ) ai x ( n i )
i =1

y (n) +

x(n)

x(n 1)

:*
*

x (n)

e(n)

N 1

i
a
z
i +1
i =0

x(n)y(n)
x(n-1)x(n)

*(): x (n) y (n)

,,
,
2013/10/13

MMVCLAB

A = A N = [ a1

a2 ... aN ]

ryx = E[ y (n)x(n)] rNa = E[ x(n)x(n 1)]

rNa = [r (1) r (2) ... r ( N )]T

E[e 2 (n)] = min H opt = R 1ryx

r (1)
r (0)
r (1)
r (0)
RN =
...
...

r ( N 1) r ( N 2)

rNa R N A = 0

... r ( N 1)
...
...
...
...

...
r (0)

r ( j ) ai r ( j i ) = 0,1 j N

1 EaN
=
R N +1

A N 0

i =1

EaN = E[e 2 (n)] = E[ x 2 (n)] ATopt rNa

N

= r (0) ai r (i )
i =1

2013/10/13

r (1)
r (0)
r (1)
r (0)
R N +1 =
.
.

r ( Na ) r ( N 1)
rN

...
...
.
...

RN

(rNa )T
r( N )
r ( N 1)
.

r (0)

1 EaN
A = 0

N
MMVCLAB


1.

N ,

e(n) = x(n) ai x(n i )

i =1

E[e2(n)]ai

E[e(n) x(n i )] = 0, i 1

e(n i ) = x(n i ) ai x(n i i)

E[e(n)e(n i )] = 0, i 1

i =1

e(n)Innovation,
)
(whitening)
2013/10/13

MMVCLAB

x(n)ARx(n)
e(n)

e(n)
x(n)
B(z)
e2

1
B( z ) =
=
A( z )

1 ai z i
i =1

1
N

x(n) = e(n) + ai x(n i ) e(n) = x(n) ai x(n i )

i =1

i =1

E[e(n) x(n j )] = E[ x(n) x(n j ) ai E[ x(n i ) x(n j )]

i =1

1) j 1; r ( j ) ai r ( j i ) = 0
i =1

2) j = 0; E[e(n) x(n)] = E[ x ( n)] ai E[ x(n i ) x(n)]

2

N i =1

E[e(n) x(n)] = E{e(n)[e(n) + ai x(n i )]} = e2

i =1

2013/10/13

1 EaN
=
R N +1

A
0

N
N

r (0) ai r (i ) = e2
i =1

e2 = EaN

MMVCLAB

1
B( z ) =
=
A( z )

1
N

1 ai z i
i =1

1)NAR,
NAR
;
2)(AR),AR
N,,
e(n);
B( z ) =

AR e(n)
N
x(n)

2013/10/13

1
A( z )

x(n)

B(z)
A(z)
8

e(n)
MMVCLAB

e(n)

x(n)

B(z)

x(n) = e(n) + ai x(n i )

i =1

3)ARx(n)
j

Px (e ) =

Px (e ) =

2
e

1 ai e j i

k =

r ( k )e

k =

j k

i =1

x(n)ai,
.,

2013/10/13

MMVCLAB

A( z ) = 1 ai z i
i =1

2.

A(z),Z
().
(

z 1 z0* z 1 z0
A( z ) = A( z )
z z0 z z0*
z 1 z
z z0

*
0

z 1 z0
z z0*

z = e j

e j 1 z0* e j 1 z0
1
= j
=
2
*
j
e z0 e z0
z0

=
z =e

1
z0

1
z0

A(e ) = A(e )

1
z0

2013/10/13

1
z0*

10

< A(e )

z0

z0*

MMVCLAB

A ( e

= A (e

1
z0

< A (e

x(n)

A(z)

e(n)

x(n)

A(z)

e(n)

1.FT
k =

Px (e ) =

r ( k )e

k =

1
rx (k ) =
2

j k

Px (e )e

j k

1
rx (0) = E[ x (n)] = =
2

2
x

Px (e j )d

2.
j

Pe (e ) = A(e ) Px (e )
2

Pe (e j ) = A(e j ) Px (e j )

1
j 2
j
A
e
P
e
(
)
(
) d
x

2
1
j 2
j
= e2 = E[e2 (n)] =

EaN
A
e
P
e
(
)
(
) d
x

2
EaN = e2 = E[e 2 (n)] =

2013/10/13

< EaN
EaN

11

A(e j ) < A(e j )

MMVCLAB

x(n)

e(n)

A(z)

3.
N

1
EaN=0 Ea =
2

A(e ) Px (e j )d = 0

x(n) = ai x(n i )
i =1

,
N

Px (e ) = S i ( i ), Si i
j

i =1

j
1 A( z ) = (1 e i z 1 )

1
2

i =1

A(e ) Px (e )d = 0
j

A( z )N

2013/10/13

EaN=0

12

Px (e j )
N

MMVCLAB

4. IIR
,FIR;
IIR, N ,
L

H(z) =

1 - a i z i
i =1
K

1 - b k z k
k =1

x(n)

e(n)

aiz

i =1

k
b
z
k
k =1

i =1

k =1

e(n) = x(n) ai x(n i ) + bk e(n k )

2013/10/13

13

MMVCLAB

3.2

2013/10/13

14

MMVCLAB

ea (n) = x(n) x (n) = x(n) ai x(n i )

i =1

eb (n) = x(n N ) x (n N ) = x(n N ) bi x(n N + i )

i =1

x(n N )

x(n 1)

.
x(n N + 1)

x(n)

1:
2:MMVCLAB
2013/10/13
15

ea ( n ) = x ( n )

a x(n i)
i =1

eb ( n ) = x ( n N )

b x(n N
i =1

+ i)

,:

ea (n) = x(n) ATN x(n 1)

eb (n) = x(n N ) BTN x(n)
:

x ( n)

x(n 1)

x( n) =

...

x(n N + 1)

a1
a
AN = 2
...

a N

bN
b
B N = N 1
...

b
1

,
N

A( z ) = 1 ai z i
i =1

N 1

i =1

i =1

B( z ) = z N bi z ( N i ) = z N [1 bi z i ]
2013/10/13

16

MMVCLAB

ea ( n ) = x ( n )

x(n)

a x(n i)
i =1

bN

bN 1

a0 (= 1) a1

ea (n)

eb ( n ) = x ( n N )

b x(n N
i =1

b
z

aN 1

b0 (= 1)

x(n-N)

aN

,

1 EaN
2
E ea (n) min R N +1
=

A
0

B N 0
=
E e (n) min R N +1

E
1

bN

2013/10/13

2
b

17

+ i)

eb (n)

MMVCLAB


0 0 ... 1
0

JN =

1
0
...
0

J N +1

B N 0
=
R N +1

E
1

bN

1 EbN
=
R N +1

J
B
0

N N

a i = bi
2013/10/13

bN
b
B N = N 1
...

b
1
b1
b
J NBN = 2
...

bN

JNRN = RNJN

1 EaN
R N +1
=

A
0
N

A N = J N B N , EaN = EbN = Ea
18

MMVCLAB

:
,,
,.,
,,
,(RN+1),
.
R,.

2013/10/13

19

MMVCLAB


1);
N

AN = J N BN

i =1

A( z ) = 1 ai z i
N

B( z ) = z [1 bi z i ]
N

ai = bi

i =1

z 0A(z) z B(z);
-1
0

A(z), z 0 < 1 z0-1 > 1,

B( z )
2013/10/13

20

MMVCLAB

 bN
b
eb i ( n ) = x ( n i )
b j x ( n i + j ) ebi ( n) = x (n i ) BTi x( n)
N 1
B
=
N
j =1
...

b
2), 1
i

,.

ebi (n), 0 i N 1

[eb (n)]T = [ eb 0 (n) eb1 ( n) ... ebN 1 ( n) ] =

1 B1
0 1

0 0

xTN (n)

0 0

0:eb 0 (n) = x(n)

1:eb1 (n) = x(n 1) b11 x(n)
2:eb 2 (n) = x(n 2) b22 x(n) b12 x(n 1)

B 2
1
B N 2
0

1
0

B N 1
1

MB

N-1:ebN 1 (n) = x(n ( N 1)) bNN11 x(n).... b1N 1 x(n N + 2)

2013/10/13

21

MMVCLAB

r (1)
r (0)
r (1)
r (0)
RN =
...
...

r ( N 1) r ( N 2)

... r ( N 1)
...
...
...
...

r (0)
...

B N 0
R N +1
=

E
1

bN

[eb (n)]T = xTN (n)M B

E{[eb (n)][eb (n)]T } = MTB E[x N (n)xTN (n)]M B = MTB R N M B

1 B1
0 1

0 0

RNMB = RN

0 0

=
B 2
1
B N 2
1
0

Eb 0
*

*

=


B N 1
1 *

i=N-2

0
Eb1

0
0

Eb 2
0

R N 1
B N 2 0 N 2 R N =
R N 1
=

1 EbN 2
r ( N 1)

2013/10/13

22

EbN 2
*

0
EbN 1

r ( N 1)
r ( N 2)

r (1)
r (0)
MMVCLAB

3.3
( Livinson - Dubin )

2013/10/13

23

MMVCLAB

 1 EaN
E e (n) min R N +1
=

A
0

2
a

j,:
1 E j
R j =
A 0
j

p,j=p.
Levinson:,Aj,Ej j-1
Aj-1,Ej-1 .
Eaj E j
A j A j = [a1j , a2j ,..., a jj ]T
r (1)
r (0)
r (1)
r (0)
j

R j +1 R =

r ( j ) r ( j 1)
2013/10/13

24

r( j)
r ( j 1)

r (0)
MMVCLAB

r (1)
r ( j)
0 ... 1
r (2)
r ( j 1)
, rbj = J j raj = ... ... ... raj =

raj =

...
...
1 ... 0

r ( j)
r (1)
b jj
a jj
j
j
b j 1
a j 1
j
j

= J jA =
B =
...
...
j
j
b1
a1

2013/10/13

25

MMVCLAB

 1 E j
R j =
A 0
j

j 1

: 1 E j 1

j
j 1
0
R
A
=
1)
j 1

Kj

J j+1

1 E j 1

A j 1 =
0

k 2j E j 1
0

2)
j 1

R j B k = 0 j 1

j
1 K j
j 1

r( j)
r ( j 1)
j

rb =
...

r
(1)

j
1

j
R j =
A 0

k = Kj /E
0 Kj j
3) 1) - 2)
R j B j 1 = 0 j 1
2
j 1
j 1
1
0
1 E j 1
E k j E

j 1

j
j 1
j B j 1

j 1
0
0
R
A
R

=
K j = r ( j ) ai r ( j i )

k j j 1 j 1
i =1

R
j T
(rb )
j 1

j 1

1
E

j
rb j 1

A = 0 j 1
r (0)
0 K j

2013/10/13

j A j 1 B j 1
A =

k j

0 1
E j = E j 1 k 2 E j 1
j

26

Kj Kj

MMVCLAB

j 1
j A j 1 B j 1
j 1
K
=
r
(
j
)

i r ( j i)
EaN = r (0) ai r (i )
A =

k j j
i =1

0 1
i =1
E j = E j 1 k 2 E j 1 k j = K j / E j 1
j

Livinson - Dubin

j=p,r(0),r(1),,r(p)
1),E0=r(0)
a1j
a1j 1
b jj11 a jj11
j
j 1
j 1 j 1
2)j=1
a
2
b j 2 a j 2

A j 1 = a2
j 1

=
=
B
...
... ...
a11 = k1 = r (1) / r (0) A j = ...
E = (1 k )r (0)
1

2
1

a
j
a j

j
j 1

3)2=<j<=p
j 1
1
k j = j 1 [r ( j ) aij 1r ( j i )]
E
i =1=
a = kj
j
j

ai = ai
j

j 1

j 1
j i

k ja

j 1
j i

j 1
b1

j 1
a1

4)p

k p2,...,
; a11 =pk1
ai = ak1ip, ,ki2 ,....
= 1,
p
For j=2....,p
{

k pj , E

, i = 1, 2,..., j 1

E j = (1 k 2j ) E j 1

2013/10/13

j 1
a j 1

aj = kj
1
k j a jji1 , i = 1, 2,..., j 1
aij = aij

E j = (1 k 2j ) E j 1 }

27

MMVCLAB