Probability Theory and Random

Processes (ECE2005)

Dr. Jeetashee Aparajeeta

Assistant Professor (Sr)
SENSE
 Linear Systems With random Inputs

 Module 5
 Linear System with Random Inputs

 The next Important task is to understand the how the random signals
interact with linear systems.
 This will help in understanding how the random waveforms affect
desired output of a system in Communication system Engineering or
control system engineering.
 Linear System Fundamentals

 Single Input Single output Linear System

Linear output y(t)

Input x(t)
System

h(𝑡 ,𝜏 )

 Single Input Single output Linear Time Invariant (LTI) System

Input x(t) LTI System output y(t)

 It is assumed that the input signal x(t) and the response y(t) are
deterministic signals.
 The linear system given above cause the response y(t) to be different
from the input signal x(t).
 The response can be written as,

 Where, L is an operator representing the action of the system on x(t).

 A system is said to be linear if its response to a sum of inputs is
equal to the sum of responses taken separately.
 So, if causes a response , n=1, 2, …, N, then the for a linear
system

 Where, are arbitrary constants and N may be infinite.

 The properties of the impulse function is

 The system response will become

 If is the impulse response of the linear system, then

 Now the response will become

 This proves that the response of a general linear system is completely

determined by its impulse response.
 Linear Time-Invariant Systems

 A linear system is said to be also time-invariant if the form of its

impulse response does not depend on the time that the impulse is
applied.
 Thus, if an impulse , occurring at t=0, causes the response h(t), then an
impulse occurring at t= , must cause the response if the system is
time-invariant.
 i.e.
 For linear time-invariant system,

 This integral is known as convolution integral of and h(t), it is also

written as

 Or
 Time Invariant system Transfer
Function

 A linear time invariant system is completely characterized by its

impulse response, which is a temporal characterization.
 The frequency domain response can be derived by applying FT to y(t).
 and are the respective FTs of y(t), x(t) and h(t).

=
=
 is called the transfer function of the system.
 The derivation presented in the previous slide shows that the FT of
the response of any linear time invariant system is equal to the
product of the transform of the input signal and the transform of the
network impulse response.
 If , then

 , where
 Problem
 Find for the network shown below by
assuming a clockwise current I and no loading
in the output circuit.
 Solution: L

output
Input

R
y(t)
 But , so x(t)

 and
 Let
 Idealized Systems

 To simplify the analysis of many complex systems, the transfer

function of the system, , is always approximated by an idealized one.
Few idealized transfer functions are given below.

|𝐻 (𝜔)| |𝐻 (𝜔)|
|𝐻 (𝜔)|

- 0 𝜔 0 0

Lowpass System Bandpass System Highpass System

 In every case the idealized system has a transfer function magnitude
that is flat within its passband and zero outside this band.
 Its midband gain is unity and its phase is defined to be a linear
function of frequency.
 Causal and Stable Systems

 A linear time invariant system is said to be causal if it does not

respond prior to the application of an input signal.
 Mathematically,
 , where is any real constant.

 This is also called physically realizable system.

 A linear time-invariant system is said to be stable if its response to any
bounded input is bounded; that is, if, where M is some constant , then
for a stable system where I is another constant independent of the
input. Subject to condition,

 This condition will ensure that a system having the impulse response
h(t) will be stable.
 Random Signal Response of Linear
Systems

 System Response – Convolution

 When is a random signal and is the network’s impulse response, the networks
response is the convolutional integral.
 or

 If is an ensemble member of the random process that produces an ensemble

member of a new process Y(t), then we can rewrite the equation as:
 Mean and Mean squared value of
System response

is a constant
 This proves that the mean value of Y(t) is equals to the mean value of
X(t) times the area under the impulse response if X(t) is a wide sense
stationary process.
 If the input is WSS, then

 In case of being independent of t:

 Problem

 Find for a system having white noise at its input and

 , where is a positive constant.
 Solution

 Autocorrelation Function of Response

 Let X(t) be WSS, the autocorrelation function of Y(t) is

 Y(t) is WSS if X(t) is WSS because does not depend on t and E[Y(t)] is a
constant.
 The second way can be represented as the two fold convolution of the input
autocorrelation function with the network’s impulse response.
 Cross-Correlation Function of Input and
Output

 The cross-correlation function of X(t) and Y(t) is,

 If X(t) is WSS,

 This is the convolution of with

 *
 Similarly,

 Or
 *
 The cross-correlation functions depend on and not on absolute time t.
 So, and Y are jointly WSS if is WSS.

 Or
 Similarly,

 Or
 Problem

 Find and for a system having white noise at its input and ,
where is a positive constant.
 Solution
 h()

 h()
Idealized Systems
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