8 Overlap Save Add Handouts

Overlap-Save and Overlap-Add for Real-time Processing
Overlap-Save and Overlap-Add for Real-time Processing Overlap-Save and Overlap-Add for Real-time Filtering
Dr. Deepa Kundur
Texas A&M
Reference: Chapter 7 of John G. Proakis and Dimitris G. Manolakis, Digital Signal Processing: Principles, Algorithms, and Applications, 4th edition, 2007.
Fall 2010
Dr. Deepa Kundur (Texas A&M)
Overlap-Save and Overlap-Add for Real-time Filtering Circular and Linear Convolution
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The Discrete Fourier Transform Pair
Important DFT Properties
DFT and inverse-DFT (IDFT):

N1
X (k) = 1 N
x(n)e j2k N ,
n=0 N1
k = 0, 1, . . . , N 1
n
x(n) =
X (k)e j2k N ,
k=0
n = 0, 1, . . . , N 1
Property Notation: Periodicity: Linearity: Time reversal Circular time shift: Circular frequency shift: Complex conjugate: Circular convolution: Multiplication: Parsevals theorem:
Time Domain x(n) x(n) = x(n + N) a1 x1 (n) + a2 x2 (n) x(N n) x((n l))N x(n)e j2ln/N x (n) x1 (n) x2 (n) x1 (n)x2 (n) N1 n=0 x(n)y (n)
Frequency Domain X (k) X (k) = X (k + N) a1 X1 (k) + a2 X2 (k) X (N k) X (k)e j2kl/N X ((k l))N X (N k) X1 (k)X2 (k) 1 X (k) X2 (k) N 1 N1 1 k=0 X (k)Y (k) N
Overlap-Save and Overlap-Add for Real-time Filtering
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Circular and Linear Convolution
Circular Convolution
Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. Examples: N = 10 and support: n = 0, 1, . . . , 9
F
x1 (n) x2 (n) Q: What is circular convolution?
X1 (k)X2 (k)
-3 -2 -1 0
1
4 1 2 3 5 6 7 8 9 10 11 12
-3
-2
-1
10
11
12
-3
-2
-1
10
11
12
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Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1.
N1
Modulo Indices and Periodic Repetition

(n)N = n x1 (k)x2 ((n k))N
k=0 N1
mod N = remainder of n/N
x1 (n) x2 (n) = =
k=0
x2 (k)x1 ((n k))N
Example: N = 4 n -4 -3 -2 (n)4 0 1 2
-1 0 1 2 3 4 5 6 7 8 3 0 1 2 3 0 1 2 3 0
where (n)N = n mod N = remainder of n/N.
nonneg integer < N n = integer + N N 5 1 =1+ 4 4 2 2 = 1 + 4 4
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Modulo Indices and Periodic Repetition

(n)N = n Example: N = 4 -4 -3 -2 n (n)4 0 1 2 mod N = remainder of n/N
Overlap During Periodic Repetition

A periodic repetition makes an aperiodic signal x(n), periodic to produce x (n).
-1 0 1 2 3 4 5 6 7 8 3 0 1 2 3 0 1 2 3 0
x (n) =
l=
x(n lN)
x((n))4 will be periodic with period 4. The repeated pattern will be consist of: {x(0), x(1), x(2), x(3)}. Thus, x((n))N is a periodic signal comprised of the following repeating pattern: {x(0), x(1), x(N 2), x(N 1)}.
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Overlap During Periodic Repetition

A periodic repetition makes an aperiodic signal x(n), periodic to produce x (n). There are two important parameters: 1. smallest support length of the signal x(n) 2. period N used for repetition that determines the period of x (n) smallest support length > period of repetition
there will be overlap
Periodic Repetition: Example N = 4

l=-2 l=-1 l=0 l=1 l=2
x (n)
2 1
x (n+2N)
x (n+N)
+
x (n)
+
x (n-N)
+
x (n-2N)
...
1 2 3 4 5 6 7
...
7
-7
-6
-5
-4
-3
-2
-1
-7
-6
-5
-4
-3
-2
-1
no overlap support length = 4 = N ~ x (n)

2 1
smallest support length period of repetition

there will be no overlap x(n) can be recovered from x (n)
-7 -6 -5 -4 -3 -2 -1 0
= x (n)
Dr. Deepa Kundur (Texas A&M) Overlap-Save and Overlap-Add for Real-time Filtering Fall 2010 11 / 59 Dr. Deepa Kundur (Texas A&M) Overlap-Save and Overlap-Add for Real-time Filtering Fall 2010 12 / 59
Period Repetition: Example N = 4

l=-2 l=-1 l=0 l=1 l=2
Modulo Indices and the Periodic Repetition

x (n-N) x (n-2N)
+ +
x (n)
2 1
x (n+2N)
x (n+N)
x (n)
+
...
1 2 3 4 5 6 7
+ +
Assume: x(n) has support n = 0, 1, . . . , N 1.

n
-7
-6
-5
-4
-3
-2
-1
-7
-6
-5
-4
-3
-2
-1
x((n))N = x(n mod N) = x (n) =

overlap support length = 6 > N
x(n lN)
l=
x (n)
2 1
Note: Because the support size and period size are the same, there is no overlap when taking the periodic repetition x((n))N .
2 3 4 5 6 7
-7
-6
-5
-4
-3
-2
-1
=x(n)
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x(n)
2 1

x(n)
2 1 2 1 0 1
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7
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x(n)
2 1 2 1 0 1

x(n)
2 1 2 1 0 1
x((n))N
x((n))N
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x(n)
2 1 2 1 0 1
Circular Convolution: One Interpretation

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. To compute
N1 k=0 x1 (k)x2 ((n
x((n))N
15 11 7 3 -1
12 8 4 0 -4
1
k))N (or
N1 k=0 x2 (k)x1 ((n
k))N ):
1. Take the periodic repetition of x2 (n) with period N:
x (n)
2 1
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 ...
Therefore x((n))N = x (n).

Dr. Deepa Kundur (Texas A&M) Overlap-Save and Overlap-Add for Real-time Filtering Fall 2010 19 / 59
14 10 6 2 -2
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7
x2 (n) =
l=
x2 (n lN)
2. Conduct a standard linear convolution of x1 (n) and x2 (n) for n = 0, 1, . . . , N 1:

N1
x1 (n) x2 (n) = x1 (n) x2 (n) =

k=
x1 (k)2 (n k) = x
k=0
x1 (k)2 (n k) x
Note: x1 (n) x2 (n) = 0 for n < 0 and n N.
14 10 6 2 -2
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7
1 0
15 11 7 3 -1
1
12 8 4 0 -4
1
-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7
13 9 5 1 -3
0
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13 9 5 1 -3
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Circular Convolution: One Interpretation
Circular Convolution: Another Interpretation

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. To compute
N1 k=0 x1 (k)x2 ((n
k))N (or
N1 k=0 x2 (k)x1 ((n
k))N ):
1. Conduct a linear convolution of x1 (n) and x2 (n) for all n:

N1 N1
N1
x1 (k) x2 ((n k))N =

k=0 k=0
x1 (k) x2 (n k)
xL (n) = x1 (n) x2 (n) =

k=
x1 (k)x2 (n k) =
k=0
x1 (k)x2 (n k)
. . . which makes sense, since x((n))N = x (n).
2. Compute the periodic repetition of xL (n) and window the result for n = 0, 1, . . . , N 1:
x1 (n) x2 (n)
=
l=
xL (n lN),
n = 0, 1, . . . , N 1
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Using DFT for Linear Convolution

Therefore, circular convolution and linear convolution are related as follows:

Let x(n) have support n = 0, 1, . . . , L 1. Let h(n) have support n = 0, 1, . . . , M 1. We can set N L + M 1 and zero pad x(n) and h(n) to have support n = 0, 1, . . . , N 1.
1. Take N-DFT of x(n) to give X (k), k = 0, 1, . . . , N 1.
xC (n) = x1 (n) x2 (n) =

l=
xL (n lN)
for n = 0, 1, . . . , N 1 Q: When can one recover xL (n) from xC (n)? When can one use the DFT (or FFT) to compute linear convolution? A: When there is no overlap in the periodic repetition of xL (n). When support length of xL (n) N.
2. Take N-DFT of h(n) to give H(k), k = 0, 1, . . . , N 1. 3. Multiply: Y (k) = X (k) H(k), k = 0, 1, . . . , N 1. 4. Take N-IDFT of Y (k) to give y (n), n = 0, 1, . . . , N 1.
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Filtering of Long Data Sequences

Recall, for N = 8 the 8-FFT is given by
x(0) x(4) x(2) x(6)
Stage 1
Stage 2
Stage 3
X(0) X(1)
The input signal x(n) is often very long especially in real-time signal monitoring applications. For linear ltering via the DFT, for example, the signal must be limited size due to memory requirements.
W8
-1 W8 -1 W8
2 0
X(2) X(3)
W8 -1 W8
1 0
0 W8
-1
-1
x(1) x(5) x(3) x(7)
X(4) X(5) X(6) X(7)
0 W8
-1 W8 -1 W8
2 0
-1 W8 -1 W8 -1 -1
3 2
W8
-1
Overlap-Save and Overlap-Add for Real-time Filtering Filtering of Long Data Sequences
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Overlap-Save and Overlap-Add for Real-time Filtering Filtering of Long Data Sequences
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All N-input samples are required simultaneously by the FFT operator. Complexity of N-FFT is N log(N). If N is too large as for long data sequences, then there is a signicant delay in processing that precludes real-time processing.
signal input Data Acquisition Delay Data Processing Delay signal output

Strategy:
1. Segment the input signal into xed-size blocks prior to processing. 2. Compute DFT-based linear ltering of each block separately via the FFT. 3. Fit the output blocks together in such a way that the overall output is equivalent to the linear ltering of x(n) directly.
Main advantage: samples of the output y (n) = h(n) x(n) will be available real-time on a block-by-block basis.
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Overlap-Add Method

Goal: FIR ltering: y (n) = x(n) h(n) Two approaches to real-time linear ltering of long inputs:
Overlap-Add Method Overlap-Save Method
Overlap-Add Method
Overlap-Add Method
Assumptions:
FIR lter h(n) length = M Block length = L M
Overlap-Save and Overlap-Add for Real-time Filtering Overlap-Add Method
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Overlap-Add Method
-3 -2
x(n)
1
4 -1 0 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4 L=4 L=4 L=4
Deals with the following signal processing principles: The linear convolution of a discrete-time signal of length L and a discrete-time signal of length M produces a discrete-time convolved result of length L + M 1. Addititvity: (x1 (n)+x2 (n)) h(n) = x1 (n) h(n)+x2 (n) h(n)
+
-3 -2 -1 0
x1(n)
=
-3 -2 -1 0
1
10 1 2 3 4 5 6 7 8 9
* h(n)
n
L=4
Input into blocks length
x(n) is divided non-overlapping xm (n) each of L.
x2(n)
+
-3 -2 -1 0
1
4 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4
x3(n)
1
Each input block xm (n) is individually ltered as it is received to produce the output block ym (n).
* h(n)
10 1 2 3 6 7 8 9
+ ...
n
L=4
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Overlap-Add Method
Overlap-Add Method
Overlap-Add Filtering Stage

Let xm (n) have support n = 0, 1, . . . , L 1. Let h(n) have support n = 0, 1, . . . , M 1.
makes use of the N-DFT and N-IDFT where: N = L + M 1

Thus, zero-padding of x(n) and h(n) that are of length L, M < N is required. The actual implementation of the DFT/IDFT will use the FFT/IFFT for computational simplicity.
We set N L + M 1 (the length of the linear convolution result) and zero pad xm (n) and h(n) to have support n = 0, 1, . . . , N 1.
1. Take N-DFT of xm (n) to give Xm (k), k = 0, 1, . . . , N 1. 2. Take N-DFT of h(n) to give H(k), k = 0, 1, . . . , N 1. 3. Multiply: Ym (k) = Xm (k) H(k), k = 0, 1, . . . , N 1. 4. Take N-IDFT of Ym (k) to give ym (n), n = 0, 1, . . . , N 1.
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Linear Convolution via the DFT

Length of linear convolution result = Length of DFT
l=-2 l=-1 l=0 l=1 l=2
-3 -2
x(n)
1
4 -1 0 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4 L=4 L=4 L=4
x (n)
2 1
x (n+2N)
x (n+N)
+
x (n)
+
x (n-N)
+
x (n-2N)
x1(n)
...
1 2 3 4 5 6 7
...
7
=
n
-3 -2 -1 0
1
10
* h(n)
1 2 3 4 5 6 7 8 9
Input into blocks length

n
x(n) is divided non-overlapping xm (n) each of L.
-7
-6
-5
-4
-3
-2
-1
-7
-6
-5
-4
-3
-2
-1
x2(n)
L=4
no overlap support length = 4 = N
+
x (n)
-3 -2 -1 0
1
4 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4
2 1
x3(n)
Each input block xm (n) is individually ltered as it is received to produce the output block ym (n).
-7
-6
-5
-4
-3
-2
-1
+
-3 -2 -1 0
1
10 1 2 3 6 7 8 9
* h(n)
L=4
+ ...
n
= x (n)
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Overlap-Add Method
Overlap-Add Method
x(n)
1
4 -3 -2 -1 0 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4 L=4 L=4 L=4
Overlap-Add Addition Stage

Output blocks ym (n) must be tted together appropriately to generate: y (n) = x(n) h(n) The support overlap amongst the ym (n) blocks must be accounted for. From the Addititvity property, since:
y1(n)
=
-3 -2 -1 0
These extra M-1 samples (i.e., tail) due to convolution expanding the support must be added to the begininning of the next output block
10
x(n) = x1 (n) + x2 (n) + x3 (n) + =

m=1
xm (n)
y2(n)
L=4 ADD to next block
M-1=2
+
-3 -2 -1 0
x(n) h(n) = (x1 (n) + x2 (n) + x3 (n) + ) h(n) = x1 (n) h(n) + x2 (n) h(n) + x3 (n) h(n) +

4 1 2 3
6 6 7
10
=
m=1
y3(n)
M-1=2
xm (n) h(n) =
m=1
ym (n)
+
-3 -2 -1 0
+ ...
10 8 9
n
M-1=2
L=4
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x(n)
1
4 -3 -2 -1 0 1 2 3 5 6 7 8 9 10
* h(n)
n
L=4 L=4 L=4 L=4
Input signal:
Output blocks ym (n) must be tted together appropriately to generate: y (n) = x(n) h(n) The support overlap amongst the ym (n) blocks must be accounted for.
=
-3
y1(n)
-2 -1 0
These extra M-1 samples (i.e., tail) due to convolution expanding the support must be added to the 4 begininning of the next output 5 6 7 8 9 10 block
10
n n
zeros zeros
-3
-2
-1
y2(n)
M-1=2
+
-3 -2 -1 0
Output signal:
Add points Add points
zeros
4 1 2 3
6 6 7
10
y3(n)
M-1=2
+
-3 -2 -1 0
+ ...
10 8 9
n
M-1=2
L=4
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Overlap-Add Method
Overlap-Add Method
Overlap-Add Method
1. Break the input signal x(n) into non-overlapping blocks xm (n) of length L. 2. Zero pad h(n) to be of length N = L + M 1. 3. Take N-DFT of h(n) to give H(k), k = 0, 1, . . . , N 1. 4. For each block m: 4.1 4.2 4.3 4.4 Zero pad xm (n) to be of length N = L + M 1. Take N-DFT of xm (n) to give Xm (k), k = 0, 1, . . . , N 1. Multiply: Ym (k) = Xm (k) H(k), k = 0, 1, . . . , N 1. Take N-IDFT of Ym (k) to give ym (n), n = 0, 1, . . . , N 1.
Overlap-Add Method: Cautionary Note
If you DO NOT overlap and add, but only append the output blocks ym (n) for m = 1, 2, . . ., then you will not get the true y (n) sequence. Q: What sequence will you obtain instead?
5. Form y (n) by overlapping the last M 1 samples of ym (n) with the rst M 1 samples of ym+1 (n) and adding the result.
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Output signal:
Add points Add points
zeros zeros zeros
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Overlap-Save Method
Overlap-Save Method
Overlap-Save Method
Overlap-Save Method
Deals with the following signal processing principles: The N = (L + M 1)-circular convolution of a discrete-time signal of length N and a discrete-time signal of length M using an N-DFT and N-IDFT. Time-Domain Aliasing:
Overlap-Save Method Overlap-[Discard] Method
xC (n) =
xL (n lN) ,
l= support=M + N 1
n = 0, 1, . . . , N 1
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Overlap-Save Method
yL(n) linear convolution 2 result
1
yL(n+2N)
yL(n+N)
yL(n)
+
yL(n-N)
yL(n-2N)
+
...
n
+ +
...
n
+
-1 0 1 2 3 4 5 6 7
Convolution of xm (n) with support n = 0, 1, . . . , N 1 and h(n) with support n = 0, 1, . . . , M 1 via the N-DFT will produce a result yC ,m (n) such that:
yC ,m (n) = aliasing corruption yL,m (n) n = 0, 1, . . . , M 2 n = M 1, M, . . . , N 1
-7
-6
-5
-4
-3
-2
-1
-7
-6
-5
-4
-3
-2
Add and keep points only at n=0, 1, ..., N-1

overlap since N < L+M-1
yC (n)
2 1
circular convolution result

-7 -6 -5 -4 -3 -2 -1 0
corruption from previous repetitions
where yL,m (n) = xm (n) h(n) is the desired output.
= yL(n) at n=M-1, M, ..., N-1
The rst M 1 points of a the current ltered output block ym (n) must be discarded. The previous ltered block ym1 (n) must compensate by providing these output samples.
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Overlap-Save Method
Overlap-Save Method
Overlap-Save Input Segmentation Stage

1. All input blocks xm (n) are of length N = (L + M 1) and contain sequential samples from x(n). 2. Input block xm (n) for m > 1 overlaps containing the rst M 1 points of the previous block xm1 (n) to deal with aliasing corruption. 3. For m = 1, there is no previous block, so the rst M 1 points are zeros.

Input signal blocks:
zeros
point overlap point overlap
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Overlap-Save Filtering Stage

makes use of the N-DFT and N-IDFT where: N = L + M 1
Only a one-time zero-padding of h(n) of length M required to give it support n = 0, 1, . . . , N 1. L < N is
x1 (n) = {0,
0, . . .
M 1 zeros
0, x(0), x(1), . . . , x(L 1)}
x2 (n) = {x(L M + 1), . . . x(L 1), x(L), . . . , x(2L 1)}

last M 1 points from x1 (n)
x3 (n) = {x(2L M + 1), . . . x(2L 1), x(2L), . . . , x(3L 1)}

last M 1 points from x2 (n)
The input blocks xm (n) are of length N to start, so no zero-padding is necessary. The actual implementation of the DFT/IDFT will use the FFT/IFFT for computational simplicity.
. . . The last M 1 points from the previous input block must be saved for use in the current input block.
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Overlap-Save Method
Overlap-Save Method
Using DFT for Circular Convolution

N = L + M 1. Let xm (n) have support n = 0, 1, . . . , N 1. Let h(n) have support n = 0, 1, . . . , M 1. We zero pad h(n) to have support n = 0, 1, . . . , N 1.
1. Take N-DFT of xm (n) to give Xm (k), k = 0, 1, . . . , N 1. 2. Take N-DFT of h(n) to give H(k), k = 0, 1, . . . , N 1. 3. Multiply: Ym (k) = Xm (k) H(k), k = 0, 1, . . . , N 1. 4. Take N-IDFT of Ym (k) to give yC ,m (n), n = 0, 1, . . . , N 1.
Circular Convolution via the DFT

Length of linear convolution result > Length of DFT
yL(n) linear convolution 2 result
1
yL(n+2N)
yL(n+N)
yL(n)
+
yL(n-N)
yL(n-2N)
+
...
n
+ +
...
n
+
-1 0 1 2 3 4 5 6 7
-7
-6
-5
-4
-3
-2
-1
-7
-6
-5
-4
-3
-2
Add and keep points only at n=0, 1, ..., N-1

overlap since N < L+M-1
yC (n)
2 1
circular convolution result

-7 -6 -5 -4 -3 -2 -1 0
corruption from previous repetitions
= yL(n) at n=M-1, M, ..., N-1
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Overlap-Save Output Blocks
Overlap-Save [Discard] Output Blocks

y1 (n) y2 (n) = {y1 (0), = {y2 (0), = {y3 (0), y1 (1), . . . y2 (1), . . . y3 (1), . . . y1 (M 2), y (0), . . . , y (L 1)} y2 (M 2), y (L), . . . , y (2L 1)} y3 (M 2), y (2L), . . . , y (3L 1)}
M 1 points corrupted from aliasing
yC ,m (n) =
aliasing n = 0, 1, . . . , M 2 yL,m (n) n = M 1, M, . . . , N 1
y3 (n)
where yL,m (n) = xm (n) h(n) is the desired output.
where y (n) = x(n) h(n) is the desired output.
The rst M 1 points of each output block are discarded. The remaining L points of each output block are appended to form y (n).
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Overlap-Save Method
Overlap-Save Method
Overlap-Save Output Stage

Output signal blocks:
Discard points Discard points Discard points
Overlap-Save Method
1. Insert M 1 zeros at the beginning of the input sequence x(n). 2. Break the padded input signal into overlapping blocks xm (n) of length N = L + M 1 where the overlap length is M 1. 3. Zero pad h(n) to be of length N = L + M 1. 4. Take N-DFT of h(n) to give H(k), k = 0, 1, . . . , N 1. 5. For each block m: 5.1 Take N-DFT of xm (n) to give Xm (k), k = 0, 1, . . . , N 1. 5.2 Multiply: Ym (k) = Xm (k) H(k), k = 0, 1, . . . , N 1. 5.3 Take N-IDFT of Ym (k) to give ym (n), n = 0, 1, . . . , N 1.
5.4 Discard the rst M 1 points of each output block ym (n).

6. Form y (n) by appending the remaining (i.e., last) L samples of each block ym (n).
Fall 2010
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Fall 2010
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Overlap-Save Method
Input signal blocks:
zeros
point overlap
Output signal blocks:

Discard points Discard points
point overlap
Discard points
Fall 2010
59 / 59

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Overlap-Save and Overlap-Add for Real-time Processing

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DFT and inverse-DFT (IDFT):

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nonneg integer < N n = integer + N N 5 1 =1+ 4 4 2 2 = 1 + 4 4

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Dr. Deepa Kundur (Texas A&M)

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Periodic Repetition: Example N = 4

no overlap support length = 4 = N ~ x (n)

smallest support length period of repetition

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Modulo Indices and the Periodic Repetition

Assume: x(n) has support n = 0, 1, . . . , N 1.

x((n))N = x(n mod N) = x (n) =

Dr. Deepa Kundur (Texas A&M)

Dr. Deepa Kundur (Texas A&M)

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