Professional Documents
Culture Documents
2
a
3
a
n
a
d(k)
x(k)
( ) x k
( ) { }
{ }
( ) ( )
{ }
1
2
2
( ) Prediction error ( ) ( ) ( ) .
Adaptive algorithms minimize mean square prediction error:
( )
n
i
i
x k a x k i d k x k x k
E d k E x k x k
=
= =
= (
V
Vary and Martin, 2006, Ch. 6, Haykin,
1996, Ch. 6.
13
Optimum Linear Prediction.
{ }
( ) ( )
{ }
{ }
( )
( )
( ) ( ) { }
{ }
( )
{ }
( ) ( ) { } ( ) ( ) ( )
2
2
2
2 2
2
2
1
Minimize mean square error: ( ) ( ) .
( )
2 2 0 1, 2,... .
( )
2 0 Minimum.
=
n
i
i
E d k E x k x k
E d k
d k
E d k E d k x k n
a a
E d k
E x k
a
E d k x k E x k a x k i x k
E
=
=
= = = =
`
)
| |
=
`
|
\
)
( ) ( ) { } ( ) ( )
1
1
{ }
( ) ( ) 0
n
i
i
n
xx xx
i
x k x k a E x k i x k
R R i
=
=
= =
14
Optimum Linear Prediction.
1
2
(1) (0) ( 1) (1 )
(2) (1) (0) (2 )
( ) ( 1) ( 2) (0)
In vector matrix notation:
is a positive defi
xx xx xx xx
xx xx xx xx
xx xx xx xx n
R R R R n a
R R R R n a
R n R n R n R a
( ( (
( ( (
( ( (
=
( ( (
( ( (
= =
1
xx xx opt xx xx xx
R a a R R
( )
1 2
2 2 2
2 2
2
2
nite, Toeplitz matrix.
( ) ( 1) ( 1) ( 1), ( 2),..., ( )
( , ,..., )
2 2
prediction gain
T
T
n
d x x
x x
x
p
d
x k k k x k x k x k n
a a a
G
=
= + = +
= =
=
T
T T T 1 T 1 1
xx xx xx xx xx xx xx xx xx xx
T 1 T
xx xx xx xx
a x x
a
a a R a R R R R
R a
.
15
Linear Prediction and Speech Coding.
0
N
Noise
generator
Variable
Filter
Impulse
generator
( ), ( ) h k H z
Filter parameters
Discrete time speech production model.
( ) u k
( ) v k
( ) x k
g
S
0
: pitch period
: voiced/unvoiced
: gain
( ) : impulse response
( ) : excitation signal
( ) :speech signal
N
S
g
h k
v k
x k
i
1
Autoregressive (AR) model for speech.
1
( )
1 ( )
C(z)= - c
m
i
i
H z
C z
z
=
=
16
Example of application of Linear Predictor to Speech
Coding.
Transmitter Channel Receiver
-
+
+
+
+
+
( )
k a ( )
k a
Linear Prediction Filter Coefficients.
Adaptive Analysis Filter Speech Synthesis
x(k)
( ) x k
d(k)
y(k)
= = =
= = =
=
y=8 kHz, transmision rate in bits/sec. B
Vary and Martin,
2006, Ch. 8.
18
Adaptive Noise Canceller.
Primary input
Signal
Source s(k)
Noise
Source n(k)
+
Adaptive
Filter
LMS algorithm
Noise Reference
Noise estimate
( ) n k
Output
s(k)+n(k)
n(k)
Auxiliary noise sensor obtains signal free noise sample.
Widrow and Sterns, 1985.
19
Echo Cancellation for Hands-free Telephone Systems.
Local speaker
M
LS
A/D
D/A
( ) distant speaker echo x t
s(t)
n(t)
Adaptive algorithm.
Signal from distant speaker.
( ) ( ) ( ) ( ) y k s k n k x k = + +
( ) x k
( ) x k
-
( ) s k
| |
( ) ( ) ( ) ( ) ( ) s k s k n k x k x k = + +
( ) y k
+
Received
signal
u(n)
y(n)
x^(n)
+
-
e(n)
Error
(Haykin,1996)
24
Finite Impulse Response (FIR) Wiener Filters.
( ) s k
( ) n k
( ) x k
( ), ( ) h k H z
( ) s k
( ) ( ) d k s k =
( ) k
( )
{ }
( )
{ }
0
2
2
( ) ( ) ( )
( ) ( )
N
l
s k h l x k l
E k E s k s k
=
=
=
25
Finite Impulse Response (FIR) Wiener Filters.
( )
{ }
( )
( )
( )
( )
( )
( )
( ) ( ) ( ) ( ) ( ) { }
( ) ( ) ( )
| |
2
1
0
( )
by WSS assumption 0 0
in matrix notation where ( )
N
l
N
xx sx
l
il xx
E k
s k
s k
E s k E s k
h i h i h i
E h l x k l x k i E s k x k i
h l R i l R i i N
R R i l
=
=
=
` `
) )
=
`
)
= =
= =
=
sx xx
1
xx sx
R R h
h R R
26
Example of Identification of FIR Filter Coefficients.
( ) x n
0 1
([ , ],1: ) filter w w x
([1, 0.38],1: ) filter x
+
( ) v n
+
+
+
+
+
+
_
( ) d n
( ) n
( ) d n
( ), ( ) x n v n randn
FIR under test.
Wiener filter
+
+
27
MATLAB Example of System Identification.
varx=100;
x=sqrt(varx)*randn(1,20);
>> v=randn(1,20);
>> r=xcorr(x,1,'biased')
r =
10.5420 80.7933 10.5420
>> rx=[80.7933 10.5420];
>> Rx=toeplitz(rx)
Rx =
80.7933 10.5420
10.5420 80.7933
>> y=filter([1 0.38],1,x);
>> dn=y+v;
>> pdx=xcorr(x,dn,'biased');
>> p=pdx(1,19:20)
p =
39.0133 83.4911
>> w=inv(Rx)*p'
w =
0.3541
0.9872
28
Frequency Domain Wiener Filter.
( ) ( ) ( )
( )
{ }
( ) ( )
{ }
( ) ( ) ( )
{ }
( ) ( ) ( ) ( )
{ }
( ) ( ) ( )
{ }
( ) ( )
{ }
( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
( )
( )
( )
( ) ( )
( )
( )
( )
( )
( )
2
2
2
( )
XX XS SX SS
SX SX
XX
XX XX
SX
SS
XX
h k x k H X
E E S S
H E X X H H E X S
H E X S E S S
H P H H P H P P
P P
H P H
P P
P
P
P
=
=
+
= +
| | | |
=
| |
| |
\ \
+
29
Frequency Domain Wiener Filter.
Optimum Wiener filter:
( )
( )
( )
( )
{ }
( )
( )
( )
2
2
SX
OPT
XX
SX
SS
OPT
XX
P
H
P
P
E P
P
=
=
30
Adaptive Array Structure with Known Desired Signal.
Array
1
( ) x t
( )
i
x t
( )
N
x t
1
w
i
w
N
w
output ( ) y t
( )
Reference signal
d t
Error signal ( ) t
+
-
31
The Mean Square Error (MSE) Performance Criterion.
{ } { }
{ }
{ }
{ }
{ }
2 2
2 2
( )
1
( )
2
Error signal: ( ) ( ) ( )
Squared error: ( ) ( ) 2 ( ) ( ) ( ) ( )
MSE: ( ) ( ) 2
( ) ( )
( ) ( ) ( ) ( )
( ) ( )
d t
d t i
N
t d t t
t d t d t t t t
E t E d t
E x t d t
E x t d t E t t
E x t d t
E
=
= +
= +
(
(
(
(
= =
(
(
(
T
T T T
T T
x xx
T
x xx
w
w x
w x w x x w
w R w R w
R R x x
{ }
( ) ( )
( )
( ) 2 2 0 Wiener-Hopf equation :
"Wiener solution":
d t opt d t
opt d t
t
= + = =
=
x xx xx x
1
xx x
R R w R w R
w R R
32
Minimum Variance (MV) Optimization.
Array Steering Adaptive Weights
1
1
w
2
w
N
w
1
x
1
z
2
x
2
z
N
x
N
z
{ }
( ) ( )
( ) exp ( )
i i i
y t t
z t j x t
=
=
T
w z
( ) t x ( ) t z
w
Adaptive array steered to the signal direction.
33
Minimum Variance (MV) Optimization
| | | | ( )
( )
Array input: ( ) ( ) ( ) ( ) ( )
Signal direction vector:
1, exp , exp 2 , , exp 1
2 sin , sensor distance between linear array elements,
wavelength.
Beam steering matri
t t t s t t
j j j N
d
d
= + = +
(
= (
=
T
x s n d n
d
| |
1
k
2
N-1
1 0 0 0
0
x: = exp .
0
0
0 0
jk
(
(
(
(
=
(
(
(
34
Minimum Variance (MV) Optimization
| |
| |
' '
'( ) ( ) is a unitary transformation that leaves array
noise variance of the array out put unchanged.
Minimize: var ( )
Subject to constraint: 1 1,1, ,1
Constrained optimizatio
t t
y t
=
= =
= =
T T
nn n n
T
T
n n
w R w w R w
w 1 1
( )
( )
MV
min
1
n problem: 1
2
( ) 0
1
Using the constraint: 1
1
var
MV
MV
y t
( = +
= = =
= =
= = (
T T
nn
1
w nn MV nn
T
T 1
nn
1
nn
MV
T 1 T 1
nn nn
w w R w w 1
w R w 1 w R 1
w 1
1 R 1
R
w
1 R 1 1 R 1
35
Sidelobe Cancellation (SLC) System.
Main channel
Main beam
Auxiliary sensors
1
w
N
w
+
Adaptive weight
Adjustment.*
-
-
*Minimize cross-correlation between main and auxiliary channels.
36
Generalized Sidelobe Canceller.
Sensor Data
B
Adaptive
a
w
Fixed Beamformer
c
w
B Blocking matrix.
37
Example of Blocking Matrix for Sidelobe Canceller.
-2 -1.5 -1 -0.5 0 0.5 1 1.5 2
0
2
4
6
8
10
12
14
16
Main beam
Auxiliary beam from
blocking matrix.
For blocking of signal from desired look direction blocking matrix must be
orthogonal to "desired look" steering vector .
1
0
1 1 1 1 1
Example:
1
0
1
(
(
(
(
(
(
(
= = = =
(
(
(
(
(
(
H
1
H H
H
N
B
d
b d
B d 0 d B
b
1 1 1 1
(
(
38
Blind Source Separation
Independent
Sources
Array of
Sensors
Uncorrelated
Normalized Data
Separated
Sources
Mixing
Matrix
A
Linear
Preprocessor
T
Source
Separation
W .
.
.
.
.
.
.
.
.
.
.
.
Nonlinear
Adaptive
Algorithm
PCA ICA
( ) t
1
s
( ) t
2
s
( ) t s
( ) t s ( ) t x
( ) t
1
x
( ) t
2
x
( ) t
1
v
( ) t
2
v
1
u
2
u
u
( ) t
r
s
W
M r
( ) t
M
x
( ) t
r
v
r
u
39
Beamforming & Source Separation
SVD or ULVD
1
r
H
r
U
W
Subspace Filter Source Separation
Subspace
Estimation
Eigenstructure
&
Parameter
Estimation
TA Estimates
1
s
2
s
3
s
Estimated Source
Signals
s
X
M 2 1
,.. ,
40
Optimization Criteria and Basic Algorithm
Minimize or maximize a scalar performance measure ( )
Basic Adaptive Algorithm:
( 1) ( ) ( ) ( )
( ) search direction
( ) step size
Examples:
Steepest decent - ( ) ( )
LMS - estimated gradient
J
k k k k
k
k
k J k
+ = +
=
w
w w d
d
d
Stochasic Approximation
Newton's and Quasi-Newton
41
Common Adaptive Algorithms.
( ) ( )
( ) ( )
Steepest Decent:
( 1) ( ) -
Least-Mean Squares (LMS) algorithm:
( 1) ( ) 2
Estimation and Direct Matrix Inversion (DMI).
Recursive Least- Squares (RLS).
Affine Projection.
k k J k
k k k k
(
+ = +
+ = +
W
w w w
w w x
42
Error Performance Surface.
0
20
40
60
80
100
0
50
100
440
450
460
470
480
490
43
The Least Mean-Square Algorithm.
Widely used in many adaptive signal processing
applications.
Solves Wiener-Hopf equation without matrix inversion.
Simple to implement.
Convergence, learning curve and stability are well
understood.
Robust.
Basic algorithm has several variations and
improvements.
Widrow and Sterns, 1985: Alexander, 1986; Sibul,1987; Haykin, 1996; Van Trees,
2002, Poularkas and Ramadan, 2006.
44
Derivation of the LMS Algorithm.
2
0 0
2
( ) ( ) ( ) ( )
LMS algorithm assumes that performance measure is ( ) ( ).
( ) ( )
( ) 2 ( ) 2 ( ) ( ).
( )
( )
LMS weight adjustment alg
L
L
k d k k k
J k
k k
w w
J k k k
k
k
w
w
=
=
(
(
(
(
(
(
(
= = = (
(
(
(
(
(
(
T
2
w
x w
w
w x
| |
| |
0
orithm is:
( 1) ( ) ( )
( ) 2 ( ) ( ) step size.
( ) ( ), , ( ) filter weights at time .
( ) ( ), ( 1), , ( ) input data.
T
L
T
k k J
k k k
k w k w k k
k x k x k x k L
+ =
= +
=
=
w
w w w
w x
w
x
45
The LMS Algorithm for M-th Order Adaptive
Filter.
Inputs: M=filter length
=step-size factor
( ) input data to the adaptive filter
(0) int alize the
n
=
=
x
w weight vector=0
= =
= =
+ = +
T
w x
w w x
46
LMS Function.
function[w,y,e,J]=lms(x,dn,mu,M)
N=length(x);
y=zeros(1,N);
w=zeros(1,M);
for n=M:N
x1=x(n:-1:n-M+1);%for each n
% the vector x1 of length M with produced from x
%with elements in reverse order.
y(n)=w*x1';
e(n)=dn(n)-y(n);
w=w+2*mu*e(n)*x1;
w1(n-M+1,:)=w(1,:);
end;
J=e.^2;
47
Convergence of the Mean Weight Vector of LMS
{ } { } ( ) ( ) { }
{ } ( ) ( ) ( )
( )
( )
{ }
{ } ( ) { } ( ) ( )
{ }
{ }
( )
{ } { } ( )
( ) { }
( ) { } ( )
( 1) ( ) 2
( ) 2
( ) 2 ( ) 2 ( ) !
! Assumed that ( ) and are independent.
( ) 2 ( )
2 ( ) 2
Define ( ) 1
d
OPT OPT d
OPT
E k E k E k k
E k E d k k k k
E k E d k k E k k E k
k k
E k E k
E k
k E k k
+ = +
= +
= +
= +
= + =
= + =
T T
T
x xx
1
xx xx xx x
w w x
w w x x
w x x x w
x w
w R R w
I R w R w w R R
v w w v
( ) ( )
( )
( )
( )
( ) ( ) ( )
2
1 2
1 2 ( ) ( )
k
k k
k k k k
+ = = =
+ = =
xx
T T T T T
xx xx xx
T
xx
I R v
UU v UU U U v UU I R U U
h I h U v h
48
Convergence of the Mean Weight Vector of LMS
( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
( )
( )
( )
( ) | | | |
{ }
2
1
1 2 0
2 2 1 2 0
1 2 0
1 2 0 0
0
1 2
0
0 0 0 1 2
1
lim 0 if 1 1 2 1 0
lim ( /
k
k
k
m
k
L
MAX MAX
k
MAX
OPT
k
k
k tr tr
E k
=
= =
+ =
(
(
(
(
=
(
(
(
(
= < < < < =
=
xx
xx xx
xx
xx
h I h
h I h I h
h I h
h R
w w
49
Convergence Rate of the LMS Algorithm.
( )
( )
2
max
max
max min
2
LMS weight convergence is geometric with geometric ratio
for coordinate:
1 1 1
1 2 exp 1
2!
For large
Conditio
:
1
n number) o
1
1
f
2 1
2
1
(
p
p p
p p p
p
p p p
p p
r
p th
r
r
| |
= +
|
|
\
=
xx
R
50
Learning Curve and Misadjustment.
{ } { }
{ } { }
{ } { }
1
2 2
2 2
min min
2 2
MSE: 2
Minimum MSE: 2
=
opt d
opt opt opt
d d d opt
E E d
E E d
E d E d
=
= +
= = +
=
xx x
T T 1
xd xx
T T 1
xd xx
1
x xx x x
w R R
w R w R w
w R w R w
R R R R w
( ) ( ) ( ) ( )
( ) ( )
min
min min
min
Excess MSE: EMSE
( )
( ) ( ) ( ) ( )
( ) ( )
note:
= ( )
opt opt
d
pt
d
o
k k
k
k
k
k
k
k
k
k
k
+
= + = +
=
=
=
= +
T
xx
T
T
x
T T
xx
T
x x
T
xx
T
x
w w R
R R
w w
v R v v U U v
h h
R
R
w w w
U U
( )
= ( ) ( ) ( ) ( )
opt
k k k k
=
T T
xx
w
v R v h h
51
Misadjustment Due to Gradient Noise
Estimated gradient: ( ) 2 ( ) ( ) ( ) ( )
( ) true gradient
( ) zero-mean gradient estimation noise
At minimum mean-square error (mse) point ( ) =0 and
( ) 2 ( ) ( ) ( )
Gradient noise
k k k k k
k
k
k
k k k k
= = +
= =
x n
n
x n
{ }
{ } { }
{ }
2 2
min
covariance:
( ) ( ) 4 ( ) ( ) ( ) 4 ( ) ( ) ( )
4 ( )
( ) and ( ) ar
E k k E k k k E k E k k
k
k k
= =
=
H H H
xx
n n x x x x
R
x e uncorrelated
52
Misadjustment Due to Gradient Noise
( )
( )
( ) ( )
( ) ( )
{ }
LMS a lgorithm with noisy gradient:
( 1) ( ) ( ) ( ) ( ) ( )
1 ( ) 2 ( ) ( )
Transforming by :
( 1) 2 ( ) ( ) ( )
At close to optimum ( ) 0 (learning transients hav
k k k k k k
k k k k
k k k k k
E k
+ = + = + +
+ = + +
+ = + =
=
xx
T
T
w w w n
v v R v n
U
h I h n n U n
h
{ }
{ }
( )
{ }
( )
{ }
{ } { }
2
e died out)
Using the fact that ( ) ( ) =0 covariance of ( ) is:
( 1) ( 1) 2 ( ) ( ) 2 ( ) ( )
Close to optimum value ( ) are wide-sense stationary
( 1) ( 1) ( ) ( )
E k k k
E k k E k k E k k
k
E k k E k k
+ + = +
+ + =
T
T T T
T T
h n h
h h I h h I n n
h
h h h h
{ }
( )
{ }
( )
{ } | |
1
mi
2
n
2
min
( ) ( ) 2
( ) )
( ( )
(
) 4 E k k E
E k
k
k
k
= +
= =
T
T T
hh
h h I
h I
h h
R h
53
Misadjustment Due to Gradient Noise
{ } ( )
{ }
2
1
min
1
1
min
Excess MSE= ( ) ( )
Average excess MSE= ( ) ( ) ( )
=
1
average excess MSE
M=misadjustment =
1
If 1 for all (usual cas
N
p p
p
N
p
p
p
N
p
p
p
p p
k k
E k k E h k
=
=
=
T
T
h h
h h
| |
pmse
1
1
1 1 1
4
e), th
long filter large misadjustment.
fast convergence large m
en
M=
isadjustment.
1,
1 1
2
F
M
4
or
N
p
p
p
p pmse p
pmse
N
p
tr
=
=
| |
= =
=
=
|
|
\
xx
R
54
Sensitivity of Square Linear Systems.
Results from numerical analysis.
( )
( )
( )
( )
1
Let be a nonsingular matrix and:
The solution to approximates the
solution of with error estimate:
1
where denotes norms and is the
<
+ = +
=
| |
+
|
|
| |
\
|
\
1
A A
A
x A A x b b
x Ax b
x x b A A
x b A A
A
A
A
( )
( )
( )
max
2 2
min
2
max
2
min
conditioning number
of marix : .
For norm (ratio of singular values).
If
Large eigenvalue spread causes
is Hermeti
slow convergence and large errors
an: .
!
=
=
=
1
A A A A
A
A A
55
Variations of the LMS Algorithm.
1. Basic LMS algorithm.
2. Error sign LMS algorithm.
3. Normalized LMS.
4. Variable step-size LMS.
5. Leaky LMS.
6. Constrained LMS.
Algorithms for constrained beamforming.
7. Block LMS.
8. Transform domain LMS.
9. Complex LMS algorithms.
56
Variations of the LMS Algorithm.
( ) ( ) ( ) ( )
( )
( ) ( ) ( ) ( )
( ) ( )
1 2
1 0
0 0
1 0
1 0
( ) ( )
( 1) ( ) 2 ( )
The error sign LMS algorithm:
No
rmalized LMS:
Varia
ble step-size LMS:
p p p
k k sign k k
sign
k k k k
k k
w k w k k k x k p
+ = + (
>
= =
<
+ = + > (
+
+ = + (
T
w w x
w w x
x x
0,1, , 1. p N =
57
Time Varying Step Size
1
2
b
( ) 0
( )
( )
These conditions are satisfied by sequences:
c
(k)= 0.5 1.0
k
Example:
1 1 1
{ (k)}=c{1, , ,... ,...}
2 3
k
k
k
k
b
k
=
>
=
<
<
58
Leaky LMS Algorithm.
Wiener optimum weight calculation requires
inverting possibly an ill-conditiond matrix:
this causes numerical errors and slow convergence.
if the mode (1 2 ) does not converge.
1
2
opt d
p p
p
p
1
xx x
w R R
+ = + >
=
(
(
+ = + +
T
T
w w x
x w
w I x x I w x
59
Leaky LMS Algorithm.
{ } | | { }
{ } | |
max
1
Mean weights:
( 1) 2 ( ) 2 ( )
1
if 0 leaky LMS algori
Algorithm is also used for
thm converges:
lim ( ) Biased Wiener
robust array processi
solution.
ng.
What
d
d
k
E k E k k
E k
( + = + +
< <
+
= +
xx x
xx x
w I R I w R
w R I R
is the excess MSE?
60
Block LMS Algorithm
| |
input signal ( ) ( ), ( 1), , ( 1
block 1
0 B 2B 3B B time samples
n x n x n x n M
k
= + x
| |
0 1 1
1
1
, , # ,
, 0,1, , 1 0,1,
( ) ( ), ( ), ,
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) (
M
M
n
k block time n sample time B samples in a block M FIR length
sample time n kB i i M k
filter weights k w k w k w
output y n y kB i k kB i w k x kB i
error n y n d n
=
= + = =
=
= + = + = +
=
T
T
w
w x
) ( ) ( ) ( ) kB i d kB i y kB i + = + +
61
Block LMS Algorithm
1
0
1
0
:
( 1) ( ) ( ) ( )
1
( 1) ( ) ( )
2
2
( ) ( ) ( )
B
i
B AVE
B
AVE B
i
In block LMS error signal is averaged over blocks B
k k kB i kB i
or k k k
k kB i kB i B
B
=
+ = + + +
+ =
= + + =
w w x
w w
x
62
Fast FFT Based LMS Algorithm.
Fast linear convolution
Fast linear correlation
| |
tap weights of FIR filter are padded with zeros.
point FFT 2
( )
Frequency domain weight vector ( ) 1 null vector.
( ) ( ), , ( 1), ( ), , ( 1)
M M
N N M
k
k FFT M
k FFT kM M kM kM kM M
=
(
=
(
= +
w
W 0
0
X x x x x
{ }{ }
| |
( 1)
( ) ( ), ( 1), , ( 1)
( )
.
k th block k th block
k y kM y kM y kM M
last M elements of IFFT k
element by element multiplication of matrices
= + +
( =
T
y
X W
63
Fast FFT Based LMS Algorithm. II
| |
| |
| |
(0) 0 0
0 (1)
Define: ( ) ( )
0
0 0 ( 1)
( ) ( ), ( 1), , ( 1)
( ) ( )
( ) ( ), ( 1), , ( 1)
( ) ( )
( )
k
k
k
X
X
k diag k
X M
k y kM y kM y kM M
last M elements of IFFT k k
k kM kM kM M
k FFT k first M elements of IFFT
k
(
(
(
= =
(
(
= + +
=
= + +
(
= =
(
T
T
U X
y
U W
e
0
E
e
( ) ( )
( )
( 1) ( )
k k
k
k k
(
(
+ = +
(
H
U E
W W
0
64
Recursive Least-Squares Algorithm.
1
1 2 1
1 1
1 1 1
1
1 1 1
samples, 1 filter coefficients.
n n n M
n n n M
n N n N n M N
n n n n M
x x x
x x x
N M
x x x
x x x x
+ +
+ + +
+ +
+ + + + + +
(
(
(
= +
(
(
( =
( (
(
= = = +
( (
(
n
n 1
n 1 n
H H H H H
n 1 n 1 n 1 n n n n n n
n n
X
z
z z
X X X z X z z X X
X X
( ) ( )
1 1
1
1 1
1
1 1
1
1
Using lemma:
+ +
+ +
+ +
+ +
+
+
(
+ = +
(
( ( (
(
( ( =
(
(
( +
(
(
( ( =
(
=
1
1
1 1 1 1 1
1 1
H H H
1 1
n n n n n n
H H
n 1 n 1 n n
1
H H
n n n n
1
H
n n n n
1
H
n n n
n
A BCD A A B C DA B DA
X X z z X X
X X X X
z X X z
I K z X X
X X z
K
1
1 1
+ +
(
(
( +
(
H
n
1
H H
n n n n
z
z X X z
65
Recursive Least-Squares Algorithm
1
1
1
1 1 1
1 1
1
1 1
n
n
y
y
+ +
+ +
+ + + + +
+ + + +
+ +
+ + +
( (
= =
( (
( ( =
( ( ( = +
( ( ( ( =
( ( +
n 1
n 1 n 1
n n
1
H H
n n 1 n 1 n 1 n 1
1
H H H
n n n n n n n 1
1 1
H H H H
n n n n n n n n n n
1
H
n n n n n
z
X y
X y
W X X X y
I K z X X X y z
X X X y K z X X X y
I K z X X z
| | | |
1
1
1 1 1
1 1 1 1 1
n
n
n n n
y
y
y y
+ + +
+ +
+ + + + +
(
(
= +
( +
= =
H
1
1
H H
n n n 1
n n n n
1
H H
n 1 n n n 1
n n n n
X X z
W K z W
z X X z
W K W K
66
Approximations to RLS
Projection algorithm:
0 2 0 1
Stochastic approximation:
0 2
LMS algorithm:
2
+
+
+ +
+
+
+ +
+ +
= < < < <
+
= < <
=
H
PA
n 1
n 1
H
n 1 n 1
H
SA
n 1
n 1
H
n 1 n 1
LMS H
n 1 n 1
z
K
z z
z
K
z z
K z
67
Constraints to Maintain Look-Direction
Frequency Response.
| | | | | | | |
| | | | | | | |
1
1 2
2
Equivalent look-direction Filt
K
J
JK K K
w w w
w w w
x
x
i
i
| | | | | | | |
1 2
er:
J
d
f f f
s
signal output
( )
array output
y k
Frost, 1972
68
Constraints to Maintain Look-Direction
Frequency Response.
Weight constraint to maintain desired look frequency response:
1, 2, , number of filter taps.
0
0
1
1 is j th group of K elements.
1
0
0
j j
j j
f j J J = =
(
(
(
(
(
(
(
(
(
(
(
=
(
(
(
(
(
(
(
(
(
(
(
(
T
c w
c c
1 2
, , , ,
j J
(
C c c c c
1
Define: constraint
j
J
f
f
f
(
(
(
(
=
(
(
T
C w
69
Constrained Optimization
{ } { }
( )
( )
( )
( )
1
2
1
Minimize
Subject to constraint
1
=
2
0
E y E
J
J
= = =
= =
=
+
= +
( =
= =
( =
=
=
T
T T T T T T
1 T
T T T
xx
T
T 1
opt xx opt
w
1 T 1
op
x
T T T
xx
w x
x
T 1
xx
x
x
x
t x
x
w xx w w R w
C w
w
C w C w w C
w R C C R
w R C C w C R C
C
C R
w R w C w
w R w C
w
C
C C
Frost,1972
70
Derivation of the Constrained Adaptive Algorithm
( ) ( )
( ) ( ) ( )
( 1) ( ) ( )
( 1) must satisfy the constraint:
=
Solving for LaGrange multiplier and substituting
into weight iteration equatio
1
n:
( 1) ( )
k
k k J k k k
k
k
k
k
k
+ = = + ( (
+
+ =
+ =
T T T
w xx
xx
T
C w C w C C
w w w w R w C
w
R w C
w w I
( ) ( ) ( ) ( )
( )
( )
( ) ( )
Define KJ-dimensional vector: and KJ KJ-dimensonal matrix:
The deterministic constrained gradient decent algoritm
( 1)
is:
k k k
k k
(
( +
(
+ =
1 1
T T T
xx
T
xx
1
T
1
T T
w
C C C C R w C C C
f C C C
P I C
P w R
C
w
C C
C
w
( )
Stochastic Constrained L
(0)
(
MSAlgoritm:
1) ( ) ( ) k k y k k
+ (
=
+ = + (
f
w f
w P w x f
71
>> %Levinson-Durbin Recursion.
>> r=[1,0.5,0.25,0.0625]; %auto-correlation sequence
>> a=levinson(r,3)
a =
1.0000 -0.5000 -0.0417 0.0833
>> h=filter(1,a,[1 zeros(1,25)]);
>> stem(h)
>> [bb,aa]=prony(h,3,3)
bb =
1.0000 0.0000 -0.0000 0.0000
aa =
1.0000 -0.5000 -0.0417 0.0833
>>
72
0 5 10 15 20 25 30
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
Impulse Response of anAll Pole Filter Computed by Levision Recursion.
I
m
p
u
l
s
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p
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