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Jos e C. M. Bermudez

Department of Electrical Engineering Federal University of Santa Catarina Florian opolis SC Brazil

Linear Digital Filters Statistical Linear Filtering Optimal Linear Filtering Adaptive Filtering Adaptive Filter Applications The LMS Adaptive Algorithm

FIR or IIR. Most useful for frequency selective applications. Desired signal and interference are in dierent frequency bands. Example: To extract high frequency noise (> 20 kHz) from speech.

FIR IIR

FIR Filters

Simple to design Can implement linear phase Are always stable Require coecients than IIR lters

IIR Filters

Harder to design than FIR lters Introduce phase distortion May become unstable Require coecients than FIR lters

Many applications more than just frequency band selection Signal and interference are frequently within the same freq. band

1. Filtering Extraction of information at a given time n by using data measured before and at time n. 2. Smoothing Diers from ltering in that data measured both before and after n can be used to extract information at time n. 3. Prediction Predicts how the quantity of interest will be at time n + N for some N > 0 by using data measured up to and including n. (The lter is linear if its output is a linear function of the observations applied to the input.)

We assume some statistical properties of the useful and unwanted signals are available Mean Autocorrelation Cross-correlations etc.

We dene some statistical criterion for the optimization of the lter performance

d(n) u(n) FIR y (n)+ + Linear Filter e(n)

u(n) and d(n) stationary and zero-mean d(n): information plus some interference y (n): estimate of d(n) given some observations of u(n) (n|Un ) wk u(n k) = d

y (n) =

Performance index: Mean-Square Error w = [w1 , . . . , wN ]T y (n) = uT (n)w J (w) = E {e2 (n)} Mean-Square Error u(n) = [u(n), . . . , u(n N + 1)]T

e(n) = d(n) uT (n)w e2 (n) = d2 (n) 2d(n)uT (n)w + wT u(n)uT (n)w

2 (n) 2pT (n)w + w T R(n)w J (w ) = d

2 = E [d2 (n)] d Optimum Weight Vector J (w ) =0 w = wo such that w 2p + 2Rwo = 0

Rwo = p

(Normal Equations)

10

0 w2

10

20

20

10 w1

10

20

wo : Minimum of this surface Solution of the Normal Equations Computationally intensive even with ecient algorithms

In several practical real-time applications:

Normal equations must be solved for each n!?! The algorithms used for the stationary case become inecient What about Kalman Filters?

Requires a dynamics model (state-space) for d(n) Computationally heavy for real-time

Signal statistics may be unknown, and there may be no time to estimate them

Computational complexity between 2 input samples limited by processor speed and by cost

Adaptive Filters

Change their weights as new input samples arrive Weight updating is controlled by an adaptive algorithm Optimal solution is approached by improving performance a little bit at each iteration

Optimal solution is approximated after several iterations (iteration complexity convergence time)

Filter weights become random variables that converge to a region about the optimum weights

2wire 4wire 2wire

speaker A H

speech from A

speaker B

echo from A

H speech from B

speech from A

x(n)

Alg.

w(n)

_

h echo y (n)

+ +

y (n)

+

r (n)

e(n)

d(n)

speech from B

Transmitted symbols

Channel + + _ + Adaptive Equalizer

noise

decision error

wo y (n) + x(n)

input signal

+ +

w(n)

Optimization Problem Determine w that minimizes

2 J (w )|w=w(n) = d (n) 2pT (n)w(n) + w(n)T R(n)w(n)

LMS Algorithm

Steepest descent needs p and R !? Instantaneous approximation of the gradient E [e2 (n)] e2 (n) = 2e(n)u(n) w(n) w(n)

Mean Weight Error Vector

E [v (n)] = E [w (n)] w o

0.15 0.13 0.11 0.09 0.07 0.05 0.03 0.01 0.01 0.03

E[V(n)]

2e3 4e3 6e3 8e3 10e3 12e3 14e3 16e3 18e3 20e3

iterations

MSE (dB) MeanSquare Error

30 10 10

= 0, 001 = 0, 002

30

= 0, 004

50 70 90 110 0 2e3 4e3 6e3 8e3 10e3 12e3 14e3 16e3 18e3 20e3 iterations

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