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Convolution

Digital Signal Processing. Slide 4.1

Aim

How to perform convolution in real-time systems efficiently? Is convolution in time domain equivalent to multiplication of the transformed sequence?

6 5 4 x1(n) 3 2 1 0 -2 -1 0 1 sample 2 3 4

x1 (n)

DFT DFT

20

X 1 (k )

x

x2 (n) X 2 (k )

Linear Convolution

X 3 (k )

4

IDFT

x3 (n)

3 x2(n)

2

1

0 -2

-1

0

1 samples

2

3

4

x1 (n) ∗ x2 (n)

15 10 5 0 -2 20 15 10 5 0 -2 -1 0 1 2 samples 3 4 5 x3 -1 0 1 2 3 samples IFFT(X1.*X2) 4 5 6 7 x3

Digital Signal Processing. Slide 4.2

3 Introduction 0 δ ( n) h( n) LTI system Let δ (n) be the unit impulse sequence δ (n) = ⎨ We can write ⎧1. Slide 4. otherwise x ( n) = k =-∞ ∑ x(k )δ (n .4 . Slide 4.k ) ∞ represent x(n) as sum of delayed and weighted impulse Let h(n) be the output for δ (n) input h(n) is the impulse response Then h(n − k ) is the output for δ (n − k ) input LTI – linear time invariance Digital Signal Processing. n = 0 ⎩0.Contents Review of convolution techniques Linear convolution and circular convolution relationship to filtering Fast algorithms for digital filters block filtering Digital Signal Processing.

6 ∞ . y ( n) = x ( n) * h( n) = m =−∞ ∑ x ( m) h( n − m) Digital Signal Processing.5 Linear Convolution x ( n) Filter y ( n) h( n) Consider unit step input: x(n) = u (n) And example filter: h( n) = a n u ( n) Task: find y(n) Filtering is the operation of convolving a signal with the filter’s impulse response. Slide 4. Slide 4.x ( n) LTI system y ( n) h( n) Then by superposition y (n) = k =−∞ ∑ x ( k ) h( n − k ) ∞ y(n) is sum of lots of delayed impulse responses This equation is called the CONVOLUTION SUM Digital Signal Processing.

8 (all other terms are zero) y ( n) = 1 + a + a 2 + … + a 3 .5 0 4 y(n) 2 0 0 5 0 0 1 x(n) 0.7 Periodic and Circular Convolution Develop ideas in terms of periodic signals and DFS.3 1 x(n) 0.7 10 samples 15 20 5 10 samples 15 20 10 samples 15 20 5 10 samples 15 20 15 20 samples 25 30 35 40 10 15 20 samples 25 30 35 40 Digital Signal Processing. Slide 4. n > 0 1 − a n +1 = u ( n) 1− a x(n) ∗ h(n) for a=1.For this example: y (n) = 0.5 0 1 h(n) 0 -1 1 y(n) 0 -1 0 5 10 15 20 samples 25 30 35 40 0 5 10 samples 15 20 0 5 10 samples 15 20 x(n) ∗ h(n) for a= .0.8 . then extend to aperiodic signals. Slide 4.5 0 200 h(n) 100 0 1000 y(n) 500 0 0 5 10 0 5 0 5 x(n) ∗ h(n) for a=0. Given 2 periodic signals x1 p (n) and x2 p (n) with discrete Fourier series coefficients given by X 1 p (k ) and X 2 p (k ) what is x3 p (n) formed from x3 p (n) = IDFS{ X 3 p (k ) = X 1 p (k ) X 2 p (k )} x1 p (n) x2 p (n) DFS DFS X 1 p (k ) x X 2 p (k ) X 3 p (k ) IDFS x3 p (n) Digital Signal Processing. n < 0 y (0) = x(0)h(0) = 1 1 x(n) 0.5 0 1 h(n) 0.

10 . l =0 N −1 Compare to linear convolution x3 (n) = Linear convolution: Sum over infinite extent of signals m =−∞ ∑ x ( m) x ( n − m) 1 2 ∞ Periodic convolution: Sum over one period Digital Signal Processing. Slide 4.9 Example A Digital Signal Processing.Write X 3 p (k ) = ∑∑ x1 p (l ) x2 p (r ) e l =0 r =0 N −1 N −1 j 2π ( − lk − rk ) N then 2π j nk 1 N −1 x3 p (n) = ∑ X 3 p (k ) e N N k =0 and finally (proof-tutorial question) x3 p (n) = ∑ x1 p (l ) x2 p (n − l ). Slide 4.

as before Digital Signal Processing. π π 3e + j 6 ] 3e j 6 ] π π π π X 2 p (k ) = [6. 10] .12 . 3e − j 3 .j n=0 2 2π 3 .nk 3 k =0 = [13. 3e j 3 ] Hence x3 p (n) = 2π 1 2 ∑ X 3 p (k ) e j 3. nk = [6.Example B So far we have x3 p (n) from a convolution of x1 p (n) with x2 p (n) Since X 3 p (k ) = X 1 p (k ) X 2 p (k ) we can also obtain x3 p (n) from the IDFS of X 3 p (k ) X 1 p (k ) = ∑ x1 p (n) e. Slide 4. 3e − j 6 .11 Periodic . ∴ X 3 p (k ) = [36.Aperiodic So far we have considered periodic signals Periodic convolution • Direct • Via DFS Now consider aperiodic signals Circular convolution Treat aperiodic signals as one period of periodic signals Digital Signal Processing. Slide 4. Similarly 3e − j 6 . 13.

13 Example Consider Linear convolution of x1 (n) ∗ x2 (n) Consider Circular convolution of x1 ( n) ⊗ x2 ( n) • different length • different values Digital Signal Processing.14 . Slide 4. ⎧ N -1 ⎫ x3 (n) = one period of ⎨∑ x1 p (l ) x2 p (n − l ) ⎬ ⎩ l =0 ⎭ x3 (n) = x1 (n) ⊗ x2 (n) DFT { x3 (n)} = DFT { x1 (n) ⊗ x2 (n)} = X 1 (k ) X 2 (k ) The symbol ⊗ means circular convolution Perform periodic extension Take one period of the result of periodic convolution Digital Signal Processing.Circular Convolution Consider aperiodic signals x1 (n) and x2 (n) x1 p (n) and x2 p (n) are periodic extensions of x1 (n) and x2 (n). Slide 4.

Relationship between Linear Convolution and Circular Convolution Why are we interested? Linear convolution is the filtering operation Filters are a very important application of DSP Would like to implement filters efficiently FFT is a fast DFT Maybe we can use FFTs to implement filters (?) Digital Signal Processing. Slide 4.16 .15 We desire that circular and linear convolution give identical results. then we can use FFTs for fast filtering This can be achieved by applying zero-padding to the signals before performing circular convolution For a signal x1 (n) of length N1 and signal x2 (n) of length N 2 Zero-pad x1 (n) with N 2 − 1 zeros Zero-pad x2 (n) with N1 − 1 zeros Digital Signal Processing. Slide 4.

Slide 4. Slide 4.18 .Example For a signal x1 (n) of length N1 and signal x2 (n) of length N 2 Zero-pad x1 (n) with N 2 − 1 zeros to give x1' (n) ' Zero-pad x2 (n) with N1 − 1 zeros to give x2 (n) Equivalent to linear convolution Digital Signal Processing.17 Summary ' ' x1 (n) * x2 (n) = x1' (n) ⊗ x2 (n) = IDFT { X 1' (k ) X 2 (k )} given that X 1 (k ) = DFT { x ( n)} and x1' (n) is a zero-padded version of x1 (n) * means Linear Convolution ⊗ means Circular Convolution Digital Signal Processing.

.20 .5 2 1.5 Number of multiplications 3 2. Slide 4.*X2) 6 x3 10 0 -2 0 2 samples 4 6 Digital Signal Processing..19 Complexity Direct implementation N 2 multiplies DFT Implementation 4 × [2 × (2 N ) 2 for complex multiplications + 2N + (2 N ) 2 ] = 1 IDFT 48 N 2 + 8 N 2 DFTs of 2N-1 points Product of 2 sequences of length 2N 4 3.6 5 4 x1(n) 3 2 1 0 -2 -1 0 1 sample 2 3 4 N2 − 1 x1 (n) 00.00 x '1 (n) DFT X 1 (k ) x x2 (n) X 3 (k ) 4 IDFT x3 (n) 3 x2(n) 2 00.00 x ' (n) DFT 2 N1 − 1 20 X 2 (k ) 1 0 -2 -1 0 1 samples 2 3 4 Linear Convolution x1 (n) ∗ x2 (n) x3 10 0 -2 20 0 2 4 samples IFFT(X1.5 x 10 4 FFT Implementation Direct Implementation ⎡ ⎛ 2N ⎞ ⎛ 2N ⎞⎤ 4 × ⎢2 × ⎜ log 2 2 N ⎟ + 2 N + ⎜ log 2 2 N ⎟ ⎥ ⎠ ⎝ 2 ⎠⎦ ⎣ ⎝ 2 = 12 N log 2 2 N + 8 N FFT Implementation 50 100 N 0 0 150 200 Digital Signal Processing.5 1 0. Slide 4.

21 Overlap-add Procedure y ( n) = m =−∞ ∑ x ( m) h ( n − m) ∞ x(n) : data.Block Filtering FFT-based convolution has advantage of lower computational complexity But if data is long. must wait until all the data is captured Long delay Solution Use block filtering Use FFT-based convolution on short blocks of data Then join blocks together Sectioned convolution: two main methods Overlap add Overlap save Digital Signal Processing.22 . length M Perform linear convolution using FFT Each block of x( n) padded with M-1 zeros Each block of h( n) padded with L-1 zeros y1 ( n) = IFFT { X '1 (k ) H '(k ) } First block Computed once and stored Size of FFT: next integer power of 2 greater than or equal to L+M-1 M is fixed by the filter impulse response Choose to obtain convenient size of FFT Digital Signal Processing. divide into blocks of length L h(n) : impulse response. Slide 4. Slide 4.

length M Perform linear convolution using FFT Each block of x( n) consists of the last M-1 data points from previous data block follow by L new points Each block of h( n) padded with L-1 zeros y1 ( n) = IFFT { X '1 (k ) H '(k ) } First block Computed once and stored Size of FFT: next integer power of 2 greater than or equal to L+M-1 M is fixed by the filter impulse response Choose to obtain convenient size of FFT Digital Signal Processing.23 Overlap-save Procedure y ( n) = m =−∞ ∑ x ( m) h ( n − m) ∞ x(n) : data.Note that the length of y1 ( n) is L+M-1 first L samples are true values M-1 samples are in the overlap y2 (n) = IFFT { X '2 (k ) H '( k )} second block y2 (n) is added to y1 ( n) with a shift of L samples L L L M − 1 zeros M − 1 zeros M − 1 zeros + + Digital Signal Processing. Slide 4. divide into blocks of length L h(n) : impulse response. Slide 4.24 .

26 . only last L samples are saved M − 1 zeros L L L L x1[ n] M −1 M −1 x2 [n] x3[n] M −1 y1[n] M −1 M −1 y2 [ n ] y3 [n] Digital Signal Processing... l is the index of the correlation function rxy (l ) and is referred to as “lag” Autocorrelation is the special case when x( n) = y ( n) Digital Signal Processing..25 Correlation Operation to determine some measure of similarity between two signals Correlation of two signals x(n) and y ( n) is defined as rxy (l ) = n =−∞ ∑ x ( n) y ( n − l ) . Slide 4. ±2. Slide 4. ∞ l = 0.Note that the length of y1 ( n) is L+M-1 last L samples are true values M-1 samples are in the overlap y2 (n) = IFFT { X '2 (k ) H '( k )} second block Discard the first M-1 samples. ±1.

Relationship between correlation and convolution Convolution s ( n) = m =−∞ ∑ x ( m) y ( n − m) Time reversed and delayed samples of y[m] ∞ ∞ = x ( n) ∗ y ( n) Correlation rxy (l ) = = n =−∞ ∞ n =−∞ ∑ x ( n) y ( n − l ) Delayed samples of y[n] ∑ x(n) y(−(l − n)) = x(l ) ∗ y (−l ) Therefore. ±2. ∑ y ( n) x ( n − l ) l = 0. ±1. = ∑ y(n + l ) x(n). ∞ ∑ x(n + l ) y(n). Slide 4. correlation can be implemented by a convolution algorithm providing one of the inputs is given time-inversed Digital Signal Processing.... n =−∞ ∞ n =−∞ Similarly. ±2. we can deduce that rxy (l ) = ryx (−l ) For the autocorrelation function. Slide 4. ±1. From which..27 Property of Correlation We can write rxy (l ) = = ryx (l ) = n =−∞ ∞ n =−∞ ∞ ∑ x ( n) y ( n − l ) l = 0. we obtain an even function rxx (l ) = rxx (−l ) Digital Signal Processing.28 .

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