Institute for Circuit Theory and Signal Processing

Munich University of Technology

Prof. Dr. techn. Josef A. Nossek

Midterm

Adaptive and Array Signal Processing

2005-12-14

Name: First Name: Matriculation-Nr.:

This list of tasks contains 9 pages. Use of books, notes, calculators is prohibited. Only one sheet of paper size A4 with arbitrary notes is allowed. Tasks marked with * can be solved without knowing the solution of the previous subtask.

The derivation to each solution must be comprehensible.

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Task 19 pts

Matr.-Nr.:

Consider the following system of equations: where y 2 C m and H 2 C mn m n are given and x 2 C n is unkown and v 2 C m. a* What condition must hold for the vector v such that y 2 im fH g?

y = Hx + v;

1

In the following assume that y 62 im H . Now consider the following optimization problem: b* How is the solution x of the optimization problem given in 2 called? min ky , Hxk2 ; 2 x 2

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Matr.-Nr.: min J x x

Let us now consider instead the following optimization problem: 3 where J x = kWy , WHxk2 and W 2 C mm is a positive de nite matrix. 2 @J x = 0, the solution to the optimization problem given in c* Show that by solving @ x 3 can be expressed as follows:

xopt = H HW HWH ,1H HW HWy

4

Name: d* Compute Jmin = J xopt .

Matr.-Nr.:

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Task 26 pts

Matr.-Nr.:

Consider the following AWGN additive white Gaussian noise channel

s y n

with

y =s+n 5 where s; n; y 2 C M with the transmitted signal s having zero mean and being uncorrelated with theonoise n. The noise n is a zero mean random process with correlation matrix n 2 E nnH = n1M , where 1M is an M  M identity matrix. a* If the estimate s of the transmitted signal is taken to be s = y , what is the mean ^ ^ 2 g, expressed in terms of 2 . square error achieved with this estimate, i.e. E fks , sk2 ^ n Hint: trxH y  = tryxH  where x and y are vectors of the same dimensions.

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Matr.-Nr.:

Consider now a di erent scenario where the additive white Gaussian noise is passed rst through a lter Q 2 C M M that produces the new noise term n0 as shown in the following gure:
s n Q y

with

where s; n; n0; y 2 C M with the transmitted signal s having zero mean and being uncorrelated with the noise n. Again consider that the noise n is a zero mean random n o 2 process with correlation matrix E nnH = n1M , where 1M is an M  M identity matrix. b* If the estimate s of the transmitted signal is taken to be s = y , what is now the ^ ^ 2 mean square error achieved with this estimate, i.e. E fks , sk2 g, expressed in terms of n ^ 2 and Q. Hint: trxH y  = tryxH  where x and y are vectors of the same dimension.

n y = s + n0 = s + Qn

6

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Matr.-Nr.:

c What condition must hold for Q so that the mean square error achieved in subtask b is the same as the mean square error achieved in subtask a?

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Task 310 pts

Matr.-Nr.:

Let us consider the following minimization problem: where B 2 C M N M N  and is full rank. In addition, we have the singular value decomposition of B given as: B = U 11V H 1 a* What is the dimension of the nullspace of B ? min kBwk2 ; subject to kwk2 = 1; 2 2 w 7 8

b* Show that by using singular value decomposition from 8, the cost function kBwk2 2 given in the optimization problem from 7 can be expressed as vH Dv, where v 2 C N is a unit norm vector and D 2 C N N is a diagonal square matrix. Express v and D in terms of U 1, 1 and V 1.

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Matr.-Nr.:

Let us denote in the following the singular values of B as s1 s2


sN . c Show that

vHDv  s2 N

9

Hint: aH Tc = Pi aTi ci , where T is a diagonal matrix and ai is the ith element of the i vector a, Ti is the ith element along the diagonal of the matrix T , and ci is the ith element of the vector c.

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Matr.-Nr.:

d* For which vector v is the expression given in 9 an equality?

e* What is the solution w given in terms of V 1 to the optimization problem given in 7?