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Dr. Deepa Kundur

University of Toronto

N 1

X (k ) = 1 N

x (n)e j 2k N ,

n=0 N 1

k = 0, 1, . . . , N 1

n

x (n ) =

X (k )e j 2k N ,

k =0

n = 0, 1, . . . , N 1

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Circular Convolution

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 j 2ln/N x (n) x1 (n) x2 (n) x1 (n)x2 (n) N 1 n=0 x (n)y (n)

X1 (k )X2 (k )

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Circular Convolution

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. Examples: N = 10 and support: n = 0, 1, . . . , 9

Circular Convolution

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1.

N 1

x1 (n) x2 (n) =

k =0 N 1

k =0

1

4 -3 -2 -1 0 1 2 3 5 6 7 8 9 10 11 12

=

1 2 3 4 5 6 7 8 9 10 11 12

-3

-2

-1

1

-3

-2

-1

10

11

12

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

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

-1 0 1 2 3 4 5 6 7 8 3 0 1 2 3 0 1 2 3 0

-1 0 1 2 3 4 5 6 7 8 3 0 1 2 3 0 1 2 3 0

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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A periodic repetition makes an aperiodic signal x (n), periodic to produce x (n).

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

x (n) =

l =

x (n lN )

there will be no overlap x (n) can be recovered from x (n )

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l=-2 l=-1 l=0 l=1 l=2

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)

x (n)

2

x (n+2N)

x (n+N)

x (n)

+

x (n-N)

x (n-2N)

+

...

1 2 3 4 5 6 7

...

7

...

1 2 3 4 5 6 7

+ +

+

-1 0 1 2 3 4 5 6 7

-7

-6

-5

-4

-3

-2

-1

-7

-6

-5

-4

-3

-2

-1

-7

-6

-5

-4

-3

-2

-1

-7

-6

-5

-4

-3

-2

overlap

x (n)

2 1

~ x (n)

2 1

-7

-6

-5

-4

-3

-2

-1

-7

-6

-5

-4

-3

-2

-1

= x (n)

Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 11 / 58 Dr. Deepa Kundur (University of Toronto)

=x(n)

12 / 58

x(n)

2 1

-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7

l =

x (n lN )

Note: Because the support size and period size are the same, there is no overlap when taking the periodic repetition x ((n))N .

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x(n)

2 1 2 1 0 1

x(n)

2 1 2 1 0 1

x((n))N

-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

1 0

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x(n)

2 1 2 1 0 1

x(n)

2 1 0 1

x((n))N

15 11 7 3 -1

x (n)

2 1

-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 ...

Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 17 / 58 Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 18 / 58

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. To compute

N 1 k =0 x1 (k )x2 ((n

k ))N (or

N 1 k =0 x2 (k )x1 ((n

k ))N ):

N 1 N 1

x 2 (n) =

l =

x2 (n lN )

k =0

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

k =0

x1 (k ) x 2 (n k )

N 1

k =

x1 (k ) x2 (n k ) =

k =0

x1 (k ) x2 (n k )

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14 10 6 2 -2

14 10 6 2 -2

-7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7

15 11 7 3 -1

1

12 8 4 0 -4 13 9 5 1 -3

0

x((n))N

2 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

20 / 58

Assume: x1 (n) and x2 (n) have support n = 0, 1, . . . , N 1. To compute

N 1 k =0 x1 (k )x2 ((n

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

k ))N (or

N 1 k =0 x2 (k )x1 ((n

k ))N ):

N 1

x1 (k )x2 (n k )

l =

xL (n lN )

k =

x1 (k )x2 (n k ) =

k =0

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 .

21 / 58 Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 22 / 58

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

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. 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.

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.

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Recall, for N = 8 the 8-FFT is given by

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

Stage 3

X(0) X(1)

Stage 1

Stage 2

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

W8

-1 W8 -1

2 W8 0

X(2) X(3)

W8 -1 W8

1 0

W8

-1

-1

W8

-1

0 W8 2 W8

-1

-1 W8

0 W8 2

-1 W8

3

-1

-1

-1

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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.

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

Assumptions:

FIR lter h(n) length = M Block length = L M

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

Overlap-Add Method

Overlap-Add Method

Overlap-Add Method

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)

Overlap-Add Method

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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

Input into blocks length

n

x1(n)

=

-3 -2 -1 0

1

10 1 2 3 4 5 6 7 8 9

* h(n)

L=4

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.

x2(n)

+

-3 -2 -1 0

1

4 1 2 3 5 6 7 8 9 10

* h(n)

n

L=4

x3(n)

Each input block xm (n) is individually ltered as it is received to produce the output block ym (n).

+

-3 -2 -1 0

1

10 1 2 3 6 7 8 9

* h(n)

L=4

+ ...

n

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Overlap-Add Method

Overlap-Add Method

Let xm (n) have support n = 0, 1, . . . , L 1. Let h(n) have support n = 0, 1, . . . , M 1. 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.

Length of linear convolution result = Length of DFT

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

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.

2 1

-7

-6

-5

-4

-3

-2

-1

= x (n)

Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 33 / 58 Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 34 / 58

Overlap-Add Method

Overlap-Add Method

x(n)

1

4 -3 -2 -1 0 1 2 3 5 6 7 8 9 10

x(n)

* h(n)

n

L=4

-3 -2 -1 0

1

4 1 2 3 5 6 7 8 9 10

* h(n)

n

L=4 L=4 L=4 L=4

L=4

L=4

L=4

x1(n)

=

-3 -2 -1 0

1

10 1 2 3 4 5 6 7 8 9

* h(n)

n

L=4

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

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.

x2(n)

+

-3 -2 -1 0

1

4 1 2 3 5 6 7 8 9 10

* h(n)

n

L=4

x3(n)

Each input block xm (n) is individually ltered as it is received to produce the output block ym (n).

y2(n)

M-1=2

+

-3 -2 -1 0

4 1 2 3

6 6 7

10

y3(n)

M-1=2

+

-3 -2 -1 0

1

10 1 2 3 6 7 8 9

* h(n)

L=4

+ ...

n

+

-3 -2 -1 0

+ ...

10 8 9

n

M-1=2

L=4

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Overlap-Add Method

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

y1(n)

m=1

xm (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

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.

x (n) h(n) = (x1 (n) + x2 (n) + x3 (n) + ) h(n) = x1 (n) h(n) + x2 (n) h(n) + x3 (n) h(n) +

y2(n)

M-1=2

+

-3 -2 -1 0

=

m=1

xm (n) h(n) =

m=1

ym (n)

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

Input signal:

Overlap-Add Method

=

-3 -2 -1 0

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.

zeros

1 2 3 4 5 6 7 8 9 10

zeros

zeros

Output signal:

Add points Add points

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.

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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Overlap-Add Method

Overlap-Add Method

Output signal:

Add

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?

points

Add points

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Overlap-Add Method

Overlap-Save Method

Overlap-Save Method

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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:

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

overlap since N < L+M-1

yC (n)

2 1

xC ( n ) =

xL (n lN ) ,

l = support=M + N 1

n = 0, 1, . . . , N 1

-7 -6 -5 -4 -3 -2 -1 0

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Overlap-Save Method

Overlap-Save Method

Overlap-Save Method

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

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.

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.

Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 47 / 58

48 / 58

Overlap-Save Method

Overlap-Save Method

Input signal blocks:

x1 (n) = {0,

0, . . .

M 1 zeros

zeros

last M 1 points from x1 (n)

point overlap point overlap

last M 1 points from x2 (n)

. . . 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

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

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.

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.

51 / 58

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Overlap-Save Method

Overlap-Save Method

Length of linear convolution result > Length of DFT

yL(n) linear convolution 2 result

1

yL(n)

+

yL(n+2N)

yL(n+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

overlap since N < L+M-1

yC , m ( n ) =

yC (n)

2 1

-7 -6 -5 -4 -3 -2 -1 0

53 / 58

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Overlap-Save Method

Overlap-Save Method

y1 (n) y2 (n) y3 (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)}

Output signal blocks:

Discard points Discard points Discard points

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).

Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 55 / 58 Dr. Deepa Kundur (University of Toronto) Overlap-Save and Overlap-Add 56 / 58

Overlap-Save Method

Overlap-Save Method

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.

Overlap-Save Method

Input signal blocks:

zeros

point overlap

Discard points Discard points

point overlap

6. Form y (n) by appending the remaining (i.e., last) L samples of each block ym (n).

Discard points

57 / 58

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