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White Noise
White noise is a basic concept underlying the modeling of random disturbances, such as
sensor noise
environmental disturbances
dA
GA
P
GS
dS
for all n,
with E (d[n]) being the expected value of the random variable d[n]. We further define white
noise to have unit variance
E (d[n]d[n]) = 1,
for all n,
which may be scaled as appropriate, see the following example with a uniform distribution.
Lastly, a noise signal d[n] is white if it is independent from sample to sample, i.e. not
correlated in time
E (d[n]d[n k]) = 0,
By the law of large numbers, the above expected value can be expressed as follows:
T
X
1
E (d[n]d[n k]) = lim
d[n]d[n k]
T 2T + 1
n=T
So far, we have said nothing about the underlying probability distribution. The above is
general and applies to many probability distributions.
Example (Uniform Distribution)
(
p(x) =
1
ba
axb
otherwise
p(x)
Matlab: The command rand draws uncorrelated pseudorandom numbers from a uniform distribution with a = 0, b = 1.
Zero mean assumption: a = b.
Unit variance assumption:
Z b
1
x2 dx = 1
ba a
b
Z
1 b 2
x3
b2
x dx =
=
=1
2b b
6b b
3
= b = 3
Therefore, the Matlab command d = 2*sqrt(3)*rand-sqrt(3) draws the pseudorandom number d from a uniform distribution with expected value zero and unit variance.
p(x)
0.24
0.3
0.2
0.1
x
4
Matlab: The command randn draws uncorrelated pseudorandom numbers from a normal distribution with mean 0 and variance 1.
Both probability distributions may be used to generate white noise. We often only care
about mean and variance, so the underlying distribution usually does not matter so much.
See the following figure for a time domain example of white noise.
d[n]
-1
3
0
10
15
20
25
30
35
40
45
50
55
60
n
Figure 8.1: Discrete time representation of white noise with uniform distribution.
The analysis of a white noise signal in the frequency domain poses several problems. White
noise
is not periodic. Fourier Series excluded.
has no finite extent. Discrete Fourier Transform excluded.
has infinite energy. Fourier Transform excluded.
Therefore a rigorous way to handle these types of signals in the frequency domain is needed.
A solution is the power spectral density.
8.2
For the remainder of this chapter, we assume that all time signals are real. We first
define the following:
Definition (Auto-Correlation Function) The auto-correlation function is defined as
Rxx [k] = E (x[n]x[n k]) ,
where x[n] is assumed to be wide sense stationary: Rxx [k] does not depend on n (Similar
to time invariance). This is a general definition, and not just for white noise.
When x[n] is white noise,
Rxx [k] = [k],
the unit impulse. We now define the power spectral density function of a signal x[n]:
Definition (Power spectral density function) The power spectral density function is
the Fourier Transform of the auto-correlation function:
FT
X
Rxx [k]ejk ,
Sxx () =
k=
[k]ejk = 1.
k=
Rxx [k]
1
0.5
0
0
10
15
20
25
30
35
40
45
50
55
60
k
Raw
Filtered
Sxx []
3
2
1
0
2
1.5
0.5
0
[rad]
0.5
1.5
2
102
Figure 8.2: Approximated auto-correlation function and power spectral density function
of white noise generated by a normal distribution. For better readability, only 65 of the
total 8192 samples of the respective approximations are plotted. The smoothed power
spectral density function was obtained using a non-causal moving average filter, which will
be covered in future lectures about filtering.
v(t)
R
i(t)
v(t) = Ri(t)
Power = v(t)i(t) =
v 2 (t)
= i2 (t)R
R
f (t) = bx(t)
Power = x(t)f
(t) =
f 2 (t)
= x 2 (t)b
b
vs
vd
PS
PD
Source Destination
fs
PS
fd
PD
Similar PS = PD + x 2 b. We want really high forces (pressure) and small displacements. When delivering power, motion is bad.
6
Z
Z
X
1
1
Sxx () d =
Rxx [k]ejk d
2
2
k=
Z
X
X
1
=
Rxx [k]
ejk d =
Rxx [k][k] = Rxx [0] = E x2 [n]
2
k=
{z
} k=
|
[k]
Non-negative Sxx () 0 if x[n] is real, as the power of a signal must be positive over
any frequency band.
Definition Given wide sense stationary x[n] and y[n], the cross correlation function is
defined as
Rxy [k] = E (x[n]y[n k]) .
The corresponding Fourier transform results in the cross power spectral density function
FT
h[l]x[n l],
l=
and
h[l]x[n l]
h[p]x[n k p]
p=
l=
l= p=
l= p=
h[l]h[p]Rxx [k + p l].
l= p=
But,
x[n]h[p]x[n k p] =
p=
therefore we obtain
h[p]Rxx [k + p],
p=
Ryy [k] =
h[l]Rxy [k l].
l=
In terms of convolutions
Ryy [k] = h[k] Rxy [k]
X
Rxy [k] =
h[p]Rxx [k + p]
p=
h[p]Rxx [k p]
p=