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Modeling, Estimation and Optimal Filtering in Signal Processing

Mohamed Najim
Copyright 0 2008, ISTE Ltd.

Appendix F

The Schur-Cohn Algorithm

In this appendix, our aim is to present the Schur-Cohn algorithm [1] which is
often used as a criterion for testing the stability of bounded-input bounded-output
systems [2].

To simplify the description of this algorithm, we first take up the analysis
of the stability domain of a 2nd-order transfer function. This particular case
leads to a simplification of the stability criteria imposed on the denominator of
the transfer function. Unfortunately, it cannot be applied to transfer functions
of an order greater than 2. We also present the Schur-Cohn stability algorithm
based on the transfer function of an all-pass filter, allowing us to establish
equivalence relation between the Schur coefficients and the reflection
coefficients.

Let there be a second-order transfer function defined as follows:

1  b1 z 1  b2 z 2 N 2 z

H 2 z .

[F.1] 1  a1 z 1  a2 z 2 D2 z .

1  b1 z 1  b2 z 2 The poles of H 2 z .

1  p z .

1  p z .

are equal to: 1 1 2 1 1ª 1ª p1  a1  a12  4a 2 º and p 2  a1  a12  4a 2 º [F.2] 2 «¬ »¼ 2 «¬ »¼ .

when a12  4a 2 . they are real.1. the poles of the transfer function must be located within the unit circle in the z-plane.5] and [F. Estimation and Optimal Filtering in Signal Processing and its zeros are defined as follows: 1ª 1ª z1  b1  b12  4b2 º and z 2  b1  b12  4b2 º [F.362 Modeling. . To ensure stability.: p1  1 and p2  1 [F.3] 2 «¬ »¼ 2 «¬ »¼ Depending on the values taken by a1 and a 2 . Otherwise.e.4] This constraint implies that the following two inequalities are satisfied: a2 p1 p 2 d p1 p 2  1 [F. the poles are complex conjugates of each other.6] make it possible to define a triangle in the ( a1 . the poles can be real or complex. i.6] Relations [F.5] and: a1 d 1  a 2 [F. is a simple tool for testing the stability as it is based on the values of the filter’s coefficients. This triangle depicted in Figure F. a 2 ) plane where the filter is stable and which is called the stability triangle. For example.

Appendices 363 Figure F.1. The stability triangle Application of the stability triangle Let there be a pth-order transfer function defined as follows: N p z .

H p z .

7] D p z . [F.

– 1  pi z 1 .

. p p p where D p z .

1  ¦ a ip z i ¦ a ip z i i 1 a0p 1 i 0 i 1 The first condition required for the stability is expressed in terms of a pp : p a pp  1.

. Let us develop the transfer function of a pth-order all-pass filter using D p z . p [F. p – p i  1 since p i  1  i 1.8] i 1 In the rest of this stability test.. we will take k p a pp and assume that the first condition [F..8] is satisfied.

p ~ ~ D p z . .

¦ a ppi z i H p z .

i 0 [F.9] D p z .

p ¦ a ip z i i 0 .

we define H p 1 z . Estimation and Optimal Filtering in Signal Processing ~ Furthermore.364 Modeling.

as follows: ~ ~ ~ H p z .

 k p H p z .

 a pp H p 1 z .

z ~ z ~ 1  k p H p z .

1  a pp H p z .

10] (a pp1  a pp a1p )  (a pp 2  a pp a 2p ) z 1  .. [F..  (a pp 2  a pp a 2p ) z  p  2  (a pp1  a pp a1p ) z  p 1 Note 1: ~ We note that H p 1 z ...  (1  (a pp ) 2 ) z  p 1 (1  (a pp ) 2 )  .

and its expression can be simplified by imposing: (a ip  a pp a ppi ) 1 kp a ip 1 a ip  a ppi  i 1.  a1p 1 z  p  2  z  p 1 H p 1 z ... is also an all-pass filter of order p-1. we have: ~ a pp11 z 1  .. p  1 [F...11] (1  (a pp ) 2 ) (1  k 2p ) (1  k p2 ) Thus.

[F.10]. we note that the poles of H p 1 z .  a pp12 z  p  2  a pp11 z  p 1 ~ From equation [F..12] 1  a1p 1 z 1  ..

. ~ pi . are such that: ~ 1  a pp H p ~ pi .

8] into account. 0 [F.13] Thus. we obtain: ~ H p ~ pi . taking equation [F.

14] ~ We now show that satisfying the assertions “ H p z . ! 1 [F.

is the transfer function of a ~ stable all-pass filter” and “ k p2  1 ” is equivalent to saying that “ H p 1 z .

~ To do this. is stable”. we first show that if “ H p z .

is the transfer function of a stable all- ~ pass filter” and “ k p2  1 ”. then “ H p 1 z .

is the transfer function of a stable all-pass filter”. .

Appendices 365 We can easily show that any given all-pass function G z .

satisfies the following properties: ­ G z .

 1 if z ! 1 ° ® G z .

1 if z 1 [F.15] ° G z .

if H p z . ! 1 if z  1 ¯ ~ Consequently.

is in fact the transfer function of a stable all-pass filter. ~ H p ~ pi .

! 1 when ~ pi  1 . However.14]. from equation [F. we see that ~ ~ H p ~ p i .

Therefore. the poles ~ pi of H p 1 z . ! 1 .

lie inside the unit circle in the ~ z-plane and H p 1 z .

is stable. ~ Let us now assume that H p 1 z .

10] and express H p z . Let us take up equation [F. is the transfer function of a stable all-pass filter ~ and that k p2  1 .

as a function of ~ H p 1 z .

We thus obtain: ~ ~ k p  z 1 H p 1 z . .

H p z .

~ [F.16] 1  k p z 1 H p 1 z .

~ If O0 is a pole of H p z .

. it must verify: ~ k p H p 1 O0 .

O 0 [F. we get: ~ H p 1 O 0 .17] As k p2  1 .

18] ~ Since H p 1 z . ! O 0 [F.

equation [F. is the transfer function of a stable all-pass filter.15] gives us: ~ H p 1 z .

 1 if z ! 1 [F.19] .

366 Modeling. Estimation and Optimal Filtering in Signal Processing ~ H p 1 z .

1 if z 1 [F.20] ~ H p 1 z .

19].18] contradicts [F.21] Condition [F. ~ Consequently. O 0  1 and H p z . but is in agreement with [F. ! 1 if z  1 [F.21].

is stable. ~ Using the same development as presented above. we can define H p  2 z .

in ~ ~ ~ terms of H p 1 z .

. then define H p 3 z .

in terms of H p  2 z .

. until we ~ obtain H 0 z . and so on.

we test the value of k p 1 . then k p  2 . At each successive step. 1 . The Schur stability criterion states that H p z . and ~ so on.

11] (1  (a pp ) 2 ) (1  k p2 ) (1  k 2p ) and write it in a matrix form.. Let us now look at the correspondence between Schur coefficients and reflection coefficients.90].11]: (a ip  a pp a ppi ) 1 kp a ip 1 a ip  a ppi  i 1.. is stable if k i2  1 for all values of i. P  1 [F. obtained using the Levinson algorithm. taking into account that k p a pp and a 0p a 0p 1 1 : ª a 0p 1 º ª a 0p º ª a pp º « » « » « » « # » 1 « # » kp « # » [F.. Let us take equation [F.22]  «a » (1  k p2 ) «« a p 1 »» (1  k 2p ) «a » p  1 p p « p 1 » « 1p » ¬« 0 ¼» «¬ a pp »¼ ¬« a 0 ¼» Let us compare this matrix with equation [2. into which we integrate a 0p a 0p 1 1 : .

23] « p 1 » « p 1 » « p 1 » «a p » « a p 1 » « a1 » « p » « 0 » «¬ 1 »¼ ¬« a p ¼» ¬ ¼ The following polynomial is associated with the vector > a 0p a1p " a pp1 a pp T @: p D p z . Appendices 367 ª a 0p º ª a 0p 1 º ª 0 º « p » « p 1 » « a p 1 » « a1 » « a1 » « p 1 » « # » « # » Up« # » [F.

¦ aip z i i 0 Thus. we can associate the following polynomial with the vector >a p p a pp1 " a1p a 0p @: T .

p ¦ a ppi z i z  p D p z 1 i 0 The Schur-Cohn algorithm is written as follows: ª 1 kp º «  » ª D p 1 z .

º 2 « (1  k p ) (1  k p2 ) » ª D p z .

º «  p 1 «¬ z .

D p 1 z 1 » »¼ « « kp z 1 z » «¬ p .

» « z  p D z 1 » »¼ [F.24] 2 2 «¬ (1  k p ) (1  k p ) »¼ while the expression for the Levinson algorithm satisfies: ª D p z .

º ª 1 U p z 1 º ª D p 1 z .

º « p .

1 » ¬« z D p z »¼ « «¬ U p z 1 » «  p 1 »¼ ¬« z .

Thus.25] We note that the matrices in equations [F.25] are the inverses of one another.24] and [F. we have: . » D p 1 z 1 ¼» [F.

3rd edition. Kailath. Digital Signal Processing – a Computer Based Approach. Schur Methods in Operator Theory and Signal Processing). K. Estimation and Optimal Filtering in Signal Processing ª 1 kp º «  » 2 « (1  k p ) (1  k p2 ) » ª 1 U p z 1 º ª1 0º « kp 1 » «U z 1 » «0 1 » [F. Mitra.368 Modeling. Birkhauser.26] « z z » «¬ p »¼ ¬ ¼ «¬ (1  k p2 ) 2 (1  k p ) »¼ so: kp Up [F. References [1] T. 1986. 9-30. McGraw-Hill. 2006. pp.27] This proves the equivalence between the Schur coefficients and the reflection coefficients. Schur and its Impact on Modern Signal Processing”. . “A Theorem of I. [2] S. Operator Theory: Advances and Applications (I. 18.