1

Signals

These notes were written by Danylo Malyuta for the Robotics, Systems and Control Master at
ETH Zurich. The aim is to review the basic concepts necessary to understand System Identification
concepts more easily.

1.1
1.1.1

Fourier transform
Continuous Fourier Transform

The forward continuous time Fourier transform is defined as:

Z
X() =
x(t)ejt dt

(1)

The inverse continuous time Fourier transform is define as:

Z
x(t) =
X()ejt d

(2)

Where we have = 2f is the angular frequency while f is the frequency [Hz].

1.1.2

Continuous Time Fourier series (CTFS)

The continuous time Fourier series attempts to reconstruct any periodic signal by a sum of
sines and cosines (i.e. sum of sinusoids) of frequencies f = f0 , 2f0 , 3f0 , . . . , f0 where f0 = 1/T
is the fundamental frequency and T is the original signals period. The formula is:
"
#

a0 X 

jnt
x(t) = Re
+
Cn e

n=1

Z
2 T
(3)
f (t)dt
a
=
0

T 0

2 T

C n =
f (t)ejnt dt
T 0
Then an amplitude plot may be obtained by
 plotting
 |Cn | for n = 1, 2, . . . , and a phase plot
Im[Cn ]
may be obtained by plotting (Cn ) = arctan Re[Cn ] for n = 1, 2, . . . , .
1.1.3

Discrete Time Fourier series (DTFS)

The DTFS does the job of the CTFS, but in discrete time. Suppose we are given a discrete
signal x[n] for n = 0, . . . , N 1 - in other words this is nothing more than an N -row table of
points. A very important side-note: the discrete signal x[n] must be periodic and the N points
you give must be those of a single period!!!
By direct analogy with (3) (i.e. replace integrals with sums) we obtain the DTFS:

N 1
o

2
1 Xn

x[n]ej N nk
X
=

k
N n=0
(4)
N
1 n
o
X

j 2
nk

Xk e N
x[n] =
k=0

Then an amplitude plot may be obtained by plotting

2 |Xk | for n = 0, 1, . . . , N 1 and a phase


k]
plot may be obtained by plotting (Xk ) = arctan Im[X
for n = 0, 1, . . . , N 1.
Re[Xk ]
As far as I can tell, its the amplitude plot that is most useful as the distinct peaks show directly
the frequencies present in the signal - despite even severe amounts of noise!

1.2

Laplace transform

The Laplace transform may be derived directly following from the Fourier transform (1). The
physical world is governed by differential equations - these have as their solution exponentials and
sinusoids. Thats just how the world works. We can add therefore an exponential term into the
Fourier transform, giving us:
Z


x(t)et ejt dt
X(, ) =

x(t)e(+j)t dt

(5)

x(t)est dt

Where we defined:
s = + j
The last integral in (5) is the Laplace transform:
Z
X(s) =
x(t)est dt

(6)

(7)

Here is the very simple - and easy to remember - relationship between the Laplace and the
Fourier transforms, which also helps understand a lot about what is happening in the s-plane that
we shall talk about next:

Figure 1: Taken from The Scientist and Engineers Guide to Digital Signal Processing, freely
available online.
1.2.1

Properties of the s-plane

The Laplace transform is very easy to understand: in the s-plane, the imaginary axis (where
= 0) is simply the Fourier transform (1) while the right-half plane corresponds to multiplying
the function x(t) by a decreasing exponential (because there we have > 0 and recall that we
multiply by et ) while the left-half plane corresponds to multiplying by increasing exponentials!
A pole in the s-plane corresponds to a condition on {, } which makes the integral (7) barely-

infinite while a zero corresponds to a conditions on {, } which makes the integral (7) evaluate
to zero. Here is a good example of this idea in action:

Figure 2: Taken from The Scientist and Engineers Guide to Digital Signal Processing, freely
available online.
Finally lets show some properties about a second-order system that can be read off the s plane
just by taking a quick look:

j
0
0

p
1 2

= 0

Figure 3: Properties we can read directly off the s-plane.

We have for a typical mass-spring-damper oscillator:
m
x + bx + cx = F
r
0 =

k
m

d = 0

p
1 2

(8)

(9)

Referring to Figure 4 we have:

= arccos()

(10)

Therefore lines of constant are lines of constant damping ratio . These lines radiate from
the origin of the s-plane. This is how the poles of a second order system travel in the s-plane:
Lines of constant damping
ratio

j
= 0 no damping

=1
0

>1

Figure 4: Motion of the two poles of a second-order system in the s-plane.

5

Finally also for second order systems we have:

The more we in the direction of , the faster the signal attenuation.
The more we in the direction of +, the slower the signal attenuation (and its a signal
amplification if we go into the right hald plane).
The more we go away from the horizontal axis, the faster the oscillation.

1.3

The z transform

The z transform comes into play for discrete systems - therefore, today more than ever, it is of
utmost importance. Fortunately, its very easy to understand. Its formulation follows by direct
analogy from the continuous-time Laplace transform:
Z

X


X(, ) =

x(t)et ejt dt X(, ) =

x[n]en ejn

(11)

n=

Let us define z as:

z := e ej := rej

(12)

Therefore, the z transform of a discrete signal x[n] is defined as:

X(z) =

X


x[n]z n

(13)

n=

1.3.1

z transform properties

Let us summarize side-by-side the definition of s and z:

(
s = + j
z = rej

(14)

From these definitions, we see that s is defined in a rectangular coordinate system while z is
defined in a polar coordinate system! Therefore, lines in the s domain appear as circles in the z
domain. This leads to a very important property about stability in continuous vs. discrete time.
Recall that in continuous time, stable systems have their poles strictly to the left of the imaginary axis (the = 0 axis) in the s plane. For = 0, z = ej which is the unit circle in the z
plane. Correspondingly, we get circles smaller than the unit circle in the z plane for the left half
of the s plane and we get circles larger than the unit circle in the z plane for the right half of the
plane. Identifying this with the stability property in the s plane, we conclude that stable discrete
systems have their poles strictly inside the unit circle if in the z plane! Here is an illustration:

s-plane
j

z-plane
Unstable
Stable
r=1

Marginally stable
<0

=0

>0
Figure 5: Stability in the s vs. the z planes.

Another important point can be uncovered: because, in the z plane, the natural frequency
represents the phase (in polar coordinates), it follows that by definitions < < . Let us
relate the discrete samples n to a moment in time nTs where Ts is the sampling time interval
in seconds. We may pass this extra Ts into our definition of z to give:
z = eTs ejTs

(15)

For the frequency response (discussed later) we pass a pure, unattenuated sinusoid, therefore
= 0 and we get:
z = ejTs

(16)

Here, Ts represents the phase and we have concluded that < Ts < , therefore since
:= 2f we have after simplification:
fs
fs
<f <
(17)
2
2
Where fs = 1/Ts is the sampling frequency. Therefore in the frequency response of a discrete
system we are limited to one half of our sampling frequency! Recall that this is also the NyquistShannon Sampling Theorem for reconstructing a signal.

1.4

The frequency response

The frequency response is a curcial tool in classical control design and in system identification.
1.4.1

Continuous time

We have the following situation:

sin(t)

G(s)

Suppose for the present case that the input is actuall:

???

u(t) = cos(t) + j sin(t) = ejt

(18)

Therefore:
1
s j

U (s) =

(19)

Hence:
Y (s) = G(s)U (s) = G(s)

1
c1
c2
cn
c
=
+
+ +
+
s j
s p1
s p2
s pn
s j

(20)

Where p1 , . . . , pn are the poles of G(s) (supposed for this case to be simple and different from
j). Therefore the time-domain response is:


y(t) = Im c1 ep1 t + c2 ep2 t + + cn epn t + cejt

(21)

Because the system is stable, we have (p1 , . . . , pn ) < 0 and therefore as time goes to infinity
y(t) tends to:


y(t) = Im cejt

(22)

s j 1
G(s) = G(j)
1 s j

(23)

To find c we use (20):

c = lim

sj

Therefore:
h
i


y(t) = Im G(j)ejt = Im |G(j)|ej(G(j)) ejt

(24)

y(t) = |G(j)| sin(t + (G(j)))

(25)

Finally:

Plotting |G(j)| and (G(j)) is exactly what the Bode plot does!
1.4.2

Discrete time

For this section we shall use the letter h to denote the sampling time period (it makes the
equations easier on the eyes than if we wrote Ts all the time). We have the following situation:
sin(kh)

G(z)

???

Suppose for the present case that the input is actuall:

u(kh) = cos(kh) + j sin(kh) = ejkh

(26)

Therefore:
U (z) =

z
z ejh

(27)

Hence:

Y (z) = G(z)U (z) = G(z)

z
c1 z
c2 z
cn z
cz
= c0 +
+
+ +
+
z ejh
z p1
z p2
z pn
z ejh

(28)

Where p1 , . . . , pn are the poles of G(z) (supposed for this case to be simple and different from
ejh ). Therefore the time-domain response is:


y(kh) = Im c0 (k) + c1 pk1 + c2 pk2 + + cn pkn + cejkh

(29)

Because the system is stable, we have (p1 , . . . , pn ) < 1 (i.e. the point as inside the unit circle)
and furthermore (k) = 0 if k 6= 0, therefore as k goes to infinity y(hk) tends to:


y(t) = Im cejkh

(30)

To find c we use (28):

c=

lim

zejh

z ejh
z
G(z) = G(ejh )
z
z ejh

(31)

Therefore:
h
i


jh
y(t) = Im G(ejh )ejkh = Im |G(ejh )|ej(G(e )) ejkh

(32)

Finally:
y(t) = |G(ejh )| sin t + G ejh

(33)