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derived in this presentation.

Contents:

Linear optimal filtering

Principle of orthogonality

Minimum mean squared error

Wiener-Hopf equations

Error-performance surface

Multiple Linear Regressor Model

Numerical example

Channel equalization

Linearly constrained minimum variance filter

Summary

Generalized Sidelobe Cancellers

1

Linear Optimum Filtering: Statement

Linear discrete-time filter, w0, w1, w2, ... (IIR or FIR (inherently

stable))

y(n) is the estimate of the desired response d(n)

e(n) is the estimation error, i.e., difference bw. the filter output

and the desired response

2

Linear Optimum Filtering: Statement

Problem statement:

Given

Filter input, u(n),

Desired response, d(n),

Find the optimum filter coefficients, w(n)

To make the estimation error as small as possible

How?

An optimization problem.

3

Linear Optimum Filtering: Statement

Optimization (minimization) criterion:

1. Expectation of the absolute value,

2. Expectation (mean) square value,

3. Expectation of higher powers of the absolute value

of the estimation error.

Minimization of the Mean Square value of the Error (MSE) is

mathematically tractable.

Problem becomes:

Design a linear discrete-time filter whose output y(n) provides an

estimate of a desired response d(n), given a set of input samples

u(0), u(1), u(2) ..., such that the mean-square value of the

estimation error e(n), defined as the difference between the

desired response d(n) and the actual response, is minimized.

4

Principle of Orthogonality

Filter output is the convolution of the filter IR and the input

that in complex terminology, the term wk*u (n k )

represents the scalar version of an inner product of

the filter coefficient wk and the filter input u(n - k).

5

6

Principle of Orthogonality

Error:

Minimum is attained when

7

Derivative in complex variables

Let

Hence

or

the cost function J is

a scalar independent

of time n.

8

Principle of Orthogonality

Partial derivative of J is

Hence

b k

n 9

Principle of Orthogonality

Since , or

attain its minimum value is, for the corresponding value of the

estimation error eo(n) to be orthogonal to each input sample that

enters into the estimation of the desired response at time n.

A good basis for testing whether the linear filter is operating in its

optimum condition.

10

Principle of Orthogonality

Corollary:

the desired response defined by the filter output yo(n) and the

corresponding estimation error eo(n) are orthogonal to each other.

11

Minimum Mean-Square Error

Let the estimate of the desired response that is optimized in the MSE sense,

depending on the inputs which span the space

i.e. so

Then the error in optimal conditions is

or

relation from the corollary.

12

Minimum Mean-Square Error

Normalized MSE: Let

Meaning

that there is complete agreement bw. d(n) and .

(Optimum case)

(Worst case)

13

Wiener-Hopf Equations

We have (principle of orthogonality)

i i

i

i

Rearranging k 0, 1, 2, ...

Wiener-Hopf

Equations

(set of infinite

eqn.s)

where

14

Wiener-Hopf Equations

Solution of Wiener-Hopf Equations for Linear Transversal (FIR) Filter

Storage, multiplication and addition, as described here: 15

1. The storage is represented by a cascade of M-1 one-sample

delays, with the block for each such unit labeled z -1. We refer

to the various points at which the one-sample delays are

accessed as tap points. The tap inputs are denoted by u(n),

u(n - 1), ... ,u(n M + 1). Thus, with u(n) viewed as the

current value of the filter input, the remaining M - 1 tap inputs,

u(n - 1), ... , u(n - M + 1), represent past values of the input.

2. The scalar inner products of tap inputs u(n), u(n - 1), ... ,

u(n - M + 1) and tap weights w0, w1, , wM-1 are respectively

formed by using a corresponding set of multipliers. In

particular the multiplication involved in forming the scalar

product of u(n) and w0 is represented by a block labeled w0*,

and so on for the other inner products.

3. The function of adders to sum the multiplier outputs to

produce an overall output for the filter.

16

Wiener-Hopf Equations (Matrix Form)

Let

Then

and

17

Wiener-Hopf Equations (Matrix Form)

Then the Wiener-Hopf equations can be written as

where

18

Error-Performance Surface

Substitute

Rewriting

19

Error-Performance Surface

Quadratic function of the filter coefficients convex function, then

k

or

Wiener-Hopf

Equations

20

Minimum value of Mean-Squared Error

We calculated that

Then w oH p p H w o

At wo.

(Jmin is independent of w)

21

Canonical Form of the Error-Performance Surface

Then, by substituting

In other words,

22

Canonical Form of the Error-Performance Surface

Observations:

J(w) is quadratic in w,

Minimum is attained at w=wo,

Jmin is bounded below, and is always a positive quantity,

Jmin>0

23

Canonical Form of the Error-Performance Surface

Transformations may significantly simplify the analysis,

Use Eigen-decomposition for R

Then

Let

a vector

and the optimum solution wo

Substituting back into J

Canonical form

24

Canonical Form of the Error-Performance Surface

wo J(w)=c curve v2 J(v)=c curve

w2 J(wo)=Jmin (2)

Jmin

Q

v1

Transformation

(1)

w1

25

Multiple Linear Regressor Model

Wiener Filter tries to match the filter coefficients to the model of the

desired response, d(n).

1. a linear model, a

2. with noisy observable data, d(n)

3. noise is additive and white.

Model order is m, i.e. a [ a0 a1 a m 1 ]T

MSE?

26

Multiple Linear Regressor Model

The variance of the desired response is

, R m E um (n )umH (n )

But we know that

length M. The only adjustable term;

1. Underfitted model: M < m Quadratic in M

Performance improves quadratically with increasing M.

Worst case: M=0,

2. Critically fitted model: M = m

wo=a, R=Rm,

27

Multiple Linear Regressor Model

3. Overfitted model: M > m

u m (n )

u( n ) ,

u M m ( n )

uM-m(n) is an (M-m)-by-l vector made up of past data

samples immediately preceding the m-by-l vector um(n).

28

Numerical Example (Ch2:P11)

The desired response d(n) is modeled as an AR process of order 1;

that is, it may be produced by applying a white-noise process v(n) of

zero mean and variance 12=0.27 to the input of an all-pole filter of

order 1;

1

H1 ( z )

1 + 0.8458z -1

The process d(n) is applied to a communication channel modeled by

the all-pole transfer function

1

H 2 ( z)

1 - 0.9458z -1

The channel output x(n) is corrupted by an additive white-noise

process v2(n) of zero mean and variance 22 = 0.1, so a sample of the

received signal u(n) equals u(n) = x(n) + v2(n)

29

+

+

response d(n); (b) model of noisy

communication channel.

30

The requirement is to specify a Wiener filter consisting of a

transversal filter with two taps, which operates on the received

signal u(n) so as to produce an estimate of the desired response that

is optimum in the mean-square sense.

Statistical Characterization of the Desired Response d(n) and

the Received signal u(n)

d(n) + a1 d(n - 1) = v1(n)

where a1 = 0.8458. The variance of the process d(n) equals

12 0.27

d

2

0.9486

1 a1

2

1 0.8458

2

The process d(n) acts as input to the channel. Hence, from Fig. (b).

we find that the channel output x(n) is related to the channel input

d(n) by the first-order difference equation

x(n) + b1x(n - 1) = d(n)

31

where b1 = -0.9458 . We also observe from the two parts of Fig. that

the channel output x(n) may be generated by applying the white-

noise process v1(n) to a second-order all-pole filter whose transfer

function equals.

1

H (z ) H 1 (z )H 2 (z )

(1 + 0.8458z -1 )(1 - 0.9458z -1 )

X (z ) H (z )V (z )

the difference equation

x(n) a1 x(n 1) a2 x(n 2) v(n)

where a1= -0.1 and a2 = -0.8. Note that both AR processes

d(n) and x(n) are wide-sense stationary.

32

Since the process x(n) and v2(n) are uncorrelated, it follows

that the correlation matrix R equals the correlation matrix of

x(n) plus the correlation matrix of v2(n). R=Rx+R2

rx (0) rx (1)

Rx

x

r (1) rx (0)

1 a2 1 2

a1 2

x rx (0)

2

. rx (1) x

1 a2

1 a2 (1 a2 ) a1

2 2

0.1

1 0.8 0.27 0.5

1 1 0.8

1 0.8 (1 0.8) (0.1)

2 2

Experiments). 33

1 0.5

Rx

0.5 1

Next we observe that since v2(n) is a white-noise process of zero

mean and variance 22= 0.1

0.1 0

R2

0 0.1

1.1 0.5

R R x R2

0.5 1.1

34

x(n) + b1x(n - 1) = d(n)

p(0)

p

u(n)=x(n)+v2(n)

Since these two processes

p(1)

are real valued

p (0) rx (0) b1rx (1) 1 - 0.9458 0.5 0.5272

p (1) rx (1) b1rx (0) 0.5 0.9458 1 0.4458

0.5272

p

-0.4458 35

Error Performance Surface

1 0.8360

1 r (0) r (1) 1

wo R p

R 0.7853

r (1) r (0)

J min d2 p H wo

1 r (0) r (1)

2 0.8360

r (0) r 2 (1) r (1) r (0) 0.9486 [0.5272, 0.4458]

0.7853

1.1456 0.5208 0.1579

0.5208 1.1456 36

37

38

Canonical Error-Performance Surface

we know that

where for M=2

Then

v2

(2)

Jmin

v1

(1)

39

* Application Channel Equalization

of channel equalization.

When data are transmitted over the channel by means of discrete

pulse-amplitude modulation combined with a linear modulation

scheme (e.g., quadriphase-shift keying) the number of detectable

levels that the telephone channel can support is essentially

limited by intersymbol interference (ISI) rather than by additive

noise. Criterion: 1. Zero Forcing (ZF)

2. Minimum Mean Square Error (MMSE)

40

Equalizer

41

The impulse response of the equalizer

connection of the channel and the equalizer is

equivalent to a single tapped-delay-line filter

where the sequence Wk is equal to the convolution of the sequences cn and hk, i.e.

42

Let the data sequence u(n) applied to the channel input consist of a white-noise

sequence of zero mean and unit variance.

channel input as follows

1, l 0

r (l )

0, l0

For d(n) supplied to the equalizer, we assume the availability of a delayed

"replica" of the transmitted sequence. This d(n) may be generated by using

another feedback shifter of identical design to that used to supply the original

data sequence u(n). The two feedback shift registers are synchronized with each

other such that we may set

d(n) = u(n)

Thus the cross-correlation between the transmitted sequence u(n) and the desired

response d(n) is defined by

1, l0

p(l )

0, l 1, 2, ..., N 43

1, l 0

wl

0, l 1, 2, ..., N

N

1, l 0

hc k l k

l 1, 2, ..., N

k N 0,

44

Given the impulse response of the channel

characterized by the coefficients c-N , ,c-1, , c0, c1,

, cN we may use above Eq. to solve for the

unknown tap-weights h-N , ,h-1, , h0, h1, , hN of

the equalizer.

In the literature on digital communications, an

equalizer designed in accordance the above Eq. is

referred to as a zero-forcing equalizer. The equalizer

is so called because, with a single pulse transmitted

over the channel, it "forces" the receiver output to

be zero at all the sampling instances, except for the

time instant that corresponds to the transmitted

pulse.

45

Application Channel Equalization - MMSE

L v(n) M

x(n) y(n) z(n) (n)

Channel, h + Filter, w - +

x(n-)

Delay,

corrupted version (both channel & noise) of x(n) arrives at the

receiver.

Problem: Design a receiver filter so that we can obtain a delayed

version of the transmitted signal at its output.

46

Application Channel Equalization

MMSE cost function is:

47

Application Channel Equalization

Combine last two equations Convolution

hL-1

x

Toeplitz matrix performs convolution -2 ???

Compact form of the filter output

48

Application Channel Equalization

Rewrite the MMSE cost function

n,k)

49

Application Channel Equalization

Quadratic function gradient is zero at minimum

And Jmin is

50

Application Linearly Constrained

Minimum Variance (LCMV) Filter

Problem:

1. We want to design an FIR filter which suppresses all frequency

components of the filter input except o, with a gain of g at o.

51

51

Application Linearly Constrained

Minimum - Variance Filter

Problem:

2. We want to design a beamformer which can resolve an incident

wave coming from angle o (with a scaling factor g), while at the same

time suppress all other waves coming from other directions.

Application Linearly Constrained

Minimum - Variance Filter

Although these problems are physically different, they are

mathematically equivalent.

Suppress all components (freq. or dir. ) of a signal while

setting the gain of a certain component constant (o or o)

Cost function: variance of all components (to be minimized)

Constraint (equality): the gain of a single component has to be g.

Observe that there is no desired response!.

53

Application Linearly Constrained

Minimum - Variance Filter

Mathematical model:

Filter output | Beamformer output

Minimize the MS beamformer output

Constraints: y(n) subject to linear constraint:

Normalized angular freq. with respect

to the sampling rate

g is a complex valued gain

54

Application Linearly Constrained

Minimum - Variance Filter

Cost function: output power quadratic convex

Constraint : linear

Method of Lagrange multipliers can be utilized to solve the problem.

Solution: Set the gradient of J to zero

*

55

Application Linearly Constrained

Minimum - Variance Filter

Rewrite the equations in matrix form:

* j0 j0 ( M 1) T

Rw o s(0 ) where s(0 ) 1 e e

2

Hence *

to find

For o, wo is

the linearly Constrained Minimum-Variance (LCMV) beamformer

For o, wo is

the linearly Constrained Minimum-Variance (LCMV) filter

56

Minimum-Variance Distortionless Response

Beamformer/Filter

Distortionless set g=1, then

antenna array along the direction 0.

Generalize the result to any direction (angular frequency ):

An estimate of the power of the signal coming from direction

An estimate of the power of the signal coming from frequency

57

Minimum Variance Distortionless Response Spectrum

constrained optimization is popular in

array signal processing in spatial rather than

temporal domain.

Therefor one can include multiple constraints

to result in generalized sidelobe canceler.

58

Summary

For stationary signals, the MSE is a quadratic function of

linear filter coefficients.

optimal linear filter in the MMSE sense is found by

setting gradients to zero

orthogonality principle

Wiener filter.

It depends on the second order statistics.

It can be used as an approximation, if the signals are

locally stationary.

A competing optimization criterion is to minimize the filter

output mean

power (variance) given constraints on desired outputs

optimization by the method of Lagrange multipliers.

59

Generalized Sidelobe Cancellers

Continuing with the discussion of the LCMV narrowband beamformer

defined by the linear constraint of Eq.(2.76), we note that this constraint

represents the inner product

in which w is the weight vector and s(0 ) is the steering vector pointing

along the electrical angle 0 . The steering vector is an M-by-1 vector,

where M is the number of antenna elements in the beamformer. We

may generalize the notion of a linear constraint by introducing multiple

linear constraints defined by

CHw=g (2.91)

60

Generalized Sidelobe Cancellers

termed the gain vector, has constant elements. Assuming that there

are L linear constraints, C is an M-by-L matrix and g is an L-by-1

vector; each column of the matrix C represents a single linear

constraint. Furthermore, it is assumed that the constraint matrix C

has linearly independent columns. For example, with

1

[ s(0 ), s(1 )] w ,

H

0

the narrowband beamformer is constrained to preserve a signal of

interest impinging on the array along the electrical angle o and, at

the same time, to suppress an interference known to originate along

the electrical angle l.

61

Generalized Sidelobe Cancellers

Let the columns of an M-by-(M - L) matrix Ca be defined as a basis

for the orthogonal complement of the space spanned by the columns

of matrix C. Using the definition of an orthogonal complement, we

may thus write

CH Ca 0 (2.92)

or, just as well,

Ca H C 0 (2.93)

The null matrix 0 in Eq.(2.92) is L-by-(M - L), whereas in Eq.(2.93)

it is (M - L)-by-L; we naturally have M > L. We now define the M-

by-M partitioned matrix

U [C Ca ] (2.94)

whose columns span the entire M-dimensional signal space. The

inverse matrix U-1 exists by virtue of the fact that the determinant of

matrix U is nonzero.

62

Generalized Sidelobe Cancellers

Next, let the M-by-1 weight vector of the beamformer be written in

terms of the matrix U as w Uq (2.95)

Equivalently, the M-by-1 vector q is defined by

q U-1w (2.96)

Let q be partitioned in a manner compatible with that in Eq.(2.94),

as shown by v

q

(2.97)

w a

where v is an L-by-1 vector and the (M - L)-by-l vector wa is that

portion of the weight vector w that is not affected by the constraints.

We may then use the definitions of Eqs. (2.94) and (2.97) in

Eq.(2.95) to write v

w [C Ca ] Cv C w

a a (2.98)

w a 63

Generalized Sidelobe Cancellers

We may now apply the multiple linear constraints of Eq.(2.91),

(CHw=g) obtaining

C Cv C Ca w a g

H H

2.99

But, from Eq.(2.92), we know that CH Ca is zero; hence, Eq.(2.99)

reduces to

C Cv g

H

2.100

Solving for the vector v, we thus get

v C C g

H 1

(2.101)

which shows that the multiple linear constraints do not affect wa

64

Generalized Sidelobe Cancellers

wq=Cv=C(CHC)-1g (2.102)

which is orthogonal to the columns of matrix Ca by virtue of the

property described in Eq.(2.93); the rationale for using the subscript

q in wq will become apparent later. From this definition, we may use

Eq.(2.98) to express the overall weight vector of the beamformer as

w=wq-Cawa (2.103)

65

Generalized Sidelobe Cancellers

CHwq=g (2.104)

Equation (2.104) shows that weight vector wq is that part of the

weight vector w which satisfies the constraints. In contrast, the

vector wa is unaffected by the beamformer.

the block diagram shown in Fig. 2.11(a). The beamformer described

herein is referred to as a generalized sidelobe cenceller (GSC).

66

Generalized Sidelobe Cancellers

minimization of the mean-square value of the beamformer output

y(n) with respect to the adjustable weight vector wa . According to

Eq.(2.75), the beamformer output is defined by the inner product

where

67

FIGURE 2.11 (a) Block diagram of generalized sidelobe

canceller. (b) Reformulation of the generalized sidelobe

cancelling problem as a standard optimum filtering problem.

68

Generalized Sidelobe Cancellers

defined by the direction of arrival of the incoming plane wave

and u0 (n) is the electrical signal picked up by antenna element 0 of

the linear array in Fig. 2.10 at time n. Hence, substituting Eq. (2.103)

into Eq. (2.105) yields

69

Generalized Sidelobe Cancellers

If we now define

and

Wiener filter exactly, as shown by

where d(n) plays the role of a desired response for the GSC and

x(n) plays the role of input vector, as depicted in Fig.2.11(b).

70

Generalized Sidelobe Cancellers

We thus see that the combined use of vector wq and matrix Ca has

converted the linearly constrained optimization problem into a

standard optimum filtering problem.

In particular, we now have an unconstrained optimization problem

involving the adjustable portion wa of the weight vector, which may

be formally written as

71

Generalized Sidelobe Cancellers

The cost function of Eq.(2.111) is quadratic in the unknown vector

wa , which, as previously stated, embodies the available degrees of

freedom in the GSC.

Most importantly, this cost function has exactly the same

mathematical form as that of the standard wiener filter defined in

Eq.(2.50).

Accordingly, we may readily use our previous results to obtain the

optimum value of wa as

may express the vector px as

Generalized Sidelobe Cancellers

express the matrix Rx as

The matrix Ca has full rank, and the correlation matrix R is positive

definite, since the incoming data always contain some form of

additive sensor noise, with the result that Rx is nonsingular.

Accordingly, we may rewrite the optimum solution of Eq.(2.114) as

73

Generalized Sidelobe Cancellers

Let Po denote the minimum output power of the GSC attained by using

the optimum solution wao. Then adapting the previous result derived in

Eq.(2.49) for the standard Wiener filter and proceeding in a manner

similar to that just described, we may express Po as

Now consider the special case of a quiet environment, for which the

received signal consists of white noise acting alone. Let the

corresponding value of the correlation matrix R be written as

74

Generalized Sidelobe Cancellers

where I is the M-by-M identity matrix and 2 is the noise variance.

Under this condition we readily find, from Eq.(2.117),that

matrix Ca. It follows, therefore, that the optimum weight vector wao is

identically zero for the quiet environment described by Eq.(2.119).

Thus, with wao equal to zero, we find from Eq.(2.103) that w = wq It is

for this reason that wq is often referred to as the quiescent weight vector

-hence the use of subscript q to denote it.

75

Generalized Sidelobe Cancellers

Filtering Interpretations of Wq and Ca

The quiescent weight vector wq and matrix Ca play critical roles of their

own in the operation of the GSC. To develop physical interpretations of

them, consider an MVDR spectrum estimator (formulated in temporal

terms) for which we have

and

Hence, the use of these values in Eq. (2.102) yields the corresponding

value of the quiescent weight vector, viz.,

76

Generalized Sidelobe Cancellers

which represents an FIR filter of length M-Be frequency response of

this filter is given by

and 0=1. From this figure, we clearly see that the FIR filter

representing the quiescent weight vector wq acts like a bandpass filter

tuned to the angular frequency 0, for which the MVDR spectrum

estimator is constrained to produce a distortionless response.

77

Generalized Sidelobe Cancellers

Consider next a physical interpretation of the matrix Ca. The use of

Eq.(2.120) in Eq.(2.92) yields

represents an FIR filter with an amplitude response that is zero at 0, as

illustrated in Fig.2.12(b) for 0 =1, M = 4, L = 1,and

filters, each of which is tuned to 0. Thus, Ca is referred to as a signal

blocking matrix , since it blocks (rejects) the received signal at the

angular frequency 0.The function of the matrix Ca is to cancel

interference that leaks through the sidelobes of the bandpass filter

representing the quiescent weight vector wq 78

Generalized Sidelobe Cancellers

79

Generalized Sidelobe Cancellers

FlGURE 2.12(a) Interpretation of wHq s() as the response of an FIR filter. (b) Interpretation of

each column of matrix Ca as a band-rejection filter. In both parts of the figure It is assumed

that 0 =1

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