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You are on page 1of 32

www.ee.hacettepe.edu.tr/~toker/ELE774-Homepage.html

1.

Textbook: S.Haykin, Adaptive Filter Theory, 4th Ed., Prentice Hall, 2002

Introduction BACKGROUND REVIEW 2. Discrete-time and random signals 3. Mathematical Tools OPTIMAL LINEAR FILTERS 4. Wiener Filters 5. Linear Prediction ADAPTIVE FILTERING 6. Stochastic Gradient Descent Algorithms 7. Family of LMS Algorithms 8. Method of Least Squares 9. Recursive Least Squares (RLS) Algorithm 10. Square-Root Algorithms 11. LMS and RLS Algorithms: Practical Issues 12. Kalman Filtering (?) APPLICATIONS 13. Spectrum Estimation 14. Array Processing ELE 774 - Adaptive Signal Processing

Definition of filtering

A filter is commonly used to refer to a system that is designed to extract information about a prescribed quantity of interest from noisy data.

Applications

Communications; radar, sonar, Control Systems; navigation, Speech/Image Processing; echo and noise cancellation, biomedical engineering Others; seismology, financial engineering, etc.

Applications

!!! Noise and errors are statistical in nature !!! We will use statistical tools.

ELE 774 - Adaptive Signal Processing

Filtering (real-time operation)

Filter

Linear

A filter is linear if the filtered, smoothed or predicted quantity at the output of the filter is a linear function of the observations applied to the filter input. u(t) u(n) Filter y(t) y(n) Non-linear or

Non-Linear

Otherwise, it is non-linear.

Linear

or

Optimum Filter

Definition: Solution of an optimization problem wrt. a certain criterion with statistical parameters.

Nonlinear: Maximum Likelihood (ML) sense (very difficult to implement) Linear: Minimum Mean Square Error (MMSE) sense

Etc.

ELE 774 - Adaptive Signal Processing 8

Adaptive Filters

-estimation (knowledge of the system) is needed before filtering -inversion of a huge matrix

-computationally inefficient!

If the environment is stationary converges to the Wiener soln. non-stationary tracks the changes.

ELE 774 - Adaptive Signal Processing 9

Rate of convergence (to the optimum Wiener soln.) Misadjustment (deviation from the optimum Wiener soln.) Tracking (the variations in a non-stationary environment) Robustness(to disturbances of small energy) Computational Requirements/Cost Numerical Properties (Numerical stability & accuracy)

10

IIR

11

Transversal Filter

unit-delay element Convolution Sum

multiplier

adder

ELE 774 - Adaptive Signal Processing 12

Transversal Filter

13

Lattice Predictor

14

Lattice Predictor

Backward prediction error m: the mth reflection coefficient Input seq. u(n) is correlated, backward prediction error b(n) is uncorrelated Together with m, b(n) approximates d(n) (innovations process).

ELE 774 - Adaptive Signal Processing 15

Systolic Array

Boundary cell

Internal cell

s

16

Systolic Array

17

IIR Filter

May have stability problems, We will prefer FIR filters for Adaptive filtering.

18

Error

Difference

Weighted

Filter

y(n) d(n)

(n) : Error + -

Error Squares

19

Cost Function depends on Mean-Square Error criterion (!!! Stochastic, depends on second order statistics !!!) Solution of Wiener-Hopf Equations

Results in Wiener soln. but with an iterative approach Requires Expectations E{.}

updated value old value learning rate gradient of tap - weight = of tap - weight parameter of (step size) cost function vector vector

updated value old value learning rate tap - error of tap - weight = of tap - weight parameter input signal (step size) vector vector vector

ELE 774 - Adaptive Signal Processing 20

Least-Squares Estimation

Cost Function depends on sum of weighted error squares Low computational complexity due to recursive operation

Three

categories

Relies on Matrix Inversion Lemma Numerically unstable, high computational complexity Based on QR-decomposition Numerically stable Exploits certain matrix structures to reduce complexity.

ELE 774 - Adaptive Signal Processing 21

Standard RLS

Applications

Four Classes

Identification

system identification layered earth modeling deconvolution adaptive and blind equalisation linear predictive coding adaptive differential PCM spectrum analysis signal detection noise canceling echo cancellation adaptive beamforming

22

Inverse modeling

Prediction

Interference cancellation

System Identification

Observing the output of a plant(system), given the input signal, tries to estimate the IR of the plant. Filter coefficient are found by an adaptive algorithm.

23

Adaptive Equalization

Removes intersymbol interference (ISI). Filter coefficient are found by an adaptive algorithm.

24

input: white noise output: observed signal aim: find the model parameters by an adaptive algorithm.

25

26

Echo Cancellation

Coupling due to imperfect balancing in hybrid transformer creates an echo in analog telephone lines. Echo signal can be estimated by an adaptive filter and the subtracted out.

27

Adaptive Beamforming

Multiple sensors (antenna, microphone, etc) used to steer the beam to a specific position. Radar, sonar Commun. systems, Astrophysical exploration, Biomedical signal processing, etc.

28

Historical Notes

Method of least squares, Gauss, 1795 Minimum mean square error estimation, late 1930s Discrete-time Wiener-Hopf equation, Levinson, 1947 Kalman filter, Swerling, 1958 and Kalman, 1960 Stochastic approximation, Robins and Monro, 1951 LMS algorithm, Widrow and Hoff, 1959 Gradient adaptive lattice (GAL) algorithm, Griffiths, 1977-8

29

Historical Notes

Kalman filter, Godard Algorithm, Godard, 1974 Relationship between RLS and Kalman, Sayed and Kailath, 1994 QR decomposition based systolic array, Gentleman & Kung, 1981 Fast RLS algorithm, 1970s, Morf Logical calculus for neural networks, McCulloch and Pitts, 1943 Perceptron, Rosenblatt, 1958 Back-propagation algorithm, Rumelhart, et al., 1986 Radial basis function network, Broomhead and Lowe, 1988

Neural Networks

30

Applications

Zero-forcing equaliser, Lucky, 1965 MMSE equaliser, Gersho, 1969, Proakis&Miller, 1969 Godard Algorithm, Godard, 1974 Fractionally Spaced Equaliser (FSE), Brady, 1970 Decision Feedback Equaliser (DFE), Austin 1967, MMSE, Monsen, 1971. Maximum Likelihood speech prediction, Saito and Itakura, 1966 Linear Predictive Coding (LPC), Atal and Hanauer 1970-1 Adaptive Lattice Predictor, Nakhoul and Cossell, 1981

Speech Coding

31

Applications

Maximum entropy method, Burg, 1967 Method of multiple windows, Thomson, 1982

Intermediate Frequency (IF) sidelobe canceller, Howells, 1950 Control law for adaptive array antenna, Applebaum, 1966 Application of LMS, Widrow et al., 1967 Minimum Variance Distortionless Response (MVDR) beamformer, Capon, 1969

32

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