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at/courses/adaptive

Adaptive Systems - Problem Class 2 Wiener Systems

Signal Processing and Speech Communication Laboratory Graz University of Technology Inffeldgasse 16c/II http://www.spsc.tugraz.at March 28, 2007

Problem 2.1 - Non-white input process

Consider the following identication problem: w[n] v [n] F (z ) x[n] H (z ) [n] d

+
d[n]

y [n] C (z )

e[n]

Figure 1: Adaptive system.

2 A white Gaussian noise process v [n] with zero mean and variance v = 2 is ltered by an FIR lter F (z ), which has an impulse response of f [n] = 1 [n] 0.4 [n 1] (moving average (MA) process). The resulting output x[n] is used to identify the system H (z ), which has an impulse response of h[n] = 0.9 [n] + 0.5 [n 1], by an adaptive lter C (z ) of order 1, i.e., a lter with 2 coefcients. The desired output d[n] is corrupted by the additive white Gaussian noise w[n] with zero 2 mean and variance w = 0.01. The input x[n] and the noise w[n] are jointly statistical independent.

(a) Derive the autocorrelation function rxx [k ] for the MA process. (b) Determine the autocorrelation matrix Rxx of x[n]. (c) Determine the cross-correlation vector p. (d) Determine the Wiener solution copt .

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Problem 2.2 - Non-white noise process

x[n] G(z ) w[n] x[n] H (z ) [n] d

+
d[n]

y [n] C (z )

e[n]

Figure 2: Adaptive system.

2 The input x[n] is a white Gaussian noise process x[n] with zero mean and variance x = 1 The unknown system H (z ) has an impulse response of h[n] = 0.9 [n] + 0.3 [n 1]. The desired output d[n] is corrupted by the correlated noise w[n]. It is a moving average process of the input process x[n], where the lter G(z ) has the impulse response g [n] = 0.03 [n] + 0.2 [n 1]. The adaptive lter C (z ) is of order 1, i.e., a lter with 2 coefcients.

(a) Determine the autocorrelation matrix Rxx . (b) Determine the cross-correlation vector p. (c) Determine the Wiener solution copt . Can we identify the unknown system H (z )?

Problem 2.3 - Undermodeling

x[n] H (z ) d[n] C (z ) y [n] e[n]

Figure 3: Untermodeled adaptive system without noise. The unknown system H (z ) has an impulse response of order M 1, i.e., it consists of M coefcients. The adaptive lter C (z ) is of order N 1, i.e., it consists of N coefcients. We assume that N < M. (a) Derive the autocorrelation matrix Rxx of the system. (b) Derive the cross-correlation vector p.

http://www.spsc.tugraz.at/courses/adaptive (c) Derive the Wiener solution copt for the given system. (d) Derive the Wiener solution copt for the given system and a white-noise input process x[n].