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ELE 774 - Adaptive Signal Processing 1
ELE 774 Adaptive Signal Processing
Dr. Cenk Toker
Block F3, Room: 3304/Awww.ee.hacettepe.edu.tr/~toker/ELE774-Homepage.html
ELE 774 - Adaptive Signal Processing 2
Course Content (Tentative) Textbook:
S.Haykin, Adaptive Filter Theory, 4th Ed., Prentice Hall, 2002
1. IntroductionBACKGROUND REVIEW2. Discrete-time and random signals3. Mathematical ToolsOPTIMAL LINEAR FILTERS4. Wiener Filters5. Linear PredictionADAPTIVE FILTERING6. Stochastic Gradient Descent Algorithms7. Family of LMS Algorithms8. Method of Least Squares9. Recursive Least Squares (RLS) Algorithm10. Square-Root Algorithms11. LMS and RLS Algorithms: Practical Issues12. Kalman Filtering (?)APPLICATIONS13. Spectrum Estimation14. Array Processing
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Definition of filtering A filter
is commonly used to refer to a system that is designed to
extract information about a prescribed quantity of interest from noisy data.
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Applications
Communications; radar, sonar, Control Systems; navigation, Speech/Image Processing; echo and noise cancellation,
biomedical engineering Others; seismology, financial engineering, etc.
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!!! Noise and errors are statistical in nature !!!We will use statistical tools.
Applications
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Basic Kinds of Estimation
Filtering(real-time operation)
Smoothing(off-line operation) Prediction(real-time operation)
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Filter
Linear Non-LinearA filter is linear if the filtered,smoothed or predicted quantityat the output of the filter is a linear function of the observationsapplied to the filter input.
Otherwise, it is non-linear.
Filteru(t)
u(n)
y(t)
y(n)
Linear
Non-linear!!! Non-linear filters may be hard toAnalyse, if not impossible !!!
or
or
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Optimum Filter
Definition: Solution of an optimization problem wrt. a certain criterion with statistical parameters.
Nonlinear: Maximum Likelihood (ML) sense (very difficult to implement)
Linear: Minimum Mean Square Error (MMSE) sense
Wiener filters, (Stationary environment) Kalman filters, (Non-stationary environment)
Etc. (Any other criterion, e.g. ZF)
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Adaptive Filters
Wiener Filter requires
Adaptive filtering can overcome these disadvantages! Recursive algorithm No complete a priori information required
Algorithm develops this information with increasing # of iterations. If the environment is stationary → converges to the Wiener soln.
non-stationary → tracks the changes.
-a priori information of several statistics-estimation (knowledge of the system)
is needed before filtering-inversion of a huge matrix
-computationally inefficient!
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Analysis of Adaptive Filters
Rate of convergence (to the optimum Wiener soln.) Misadjustment (deviation from the optimum Wiener
soln.) Tracking (the variations in a non-stationary environment) Robustness(to disturbances of small energy) Computational Requirements/Cost Numerical Properties (Numerical stability & accuracy)
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Linear Filter Structure
Structure: FIR (Finite-duration Impulse Response)
Transversal Filter (Tapped-delay line) Lattice Systolic array
IIR (Infinite-duration Impulse Response)
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Transversal Filter
multiplier
adder
unit-delayelement
ConvolutionSum
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Transversal Filter
xH: Hermitian transpose
xH=(xT)*
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Lattice Predictor
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Lattice Predictor
Predictor order (# of stages): M Forward prediction error
Backward prediction error
κm: the mth reflection coefficient Input seq. u(n) is correlated, backward prediction error b(n) is
uncorrelated Together with κm, b(n) approximates d(n) (innovations
process).
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Systolic Array Boundary cell
Internal cell
s
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Systolic Array
Represents a parallel computing network Used for efficient pipelined operation
Matrix multiplication Triangularisation Back substitution (Matrix eqn. solving)
Example 3x3 matrix/3x1 vector
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IIR Filter
May have stability problems,We will prefer FIR filters for Adaptive filtering.
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Adaptive Filtering Algorithms
Error Difference between
the filter output a desired response
Mean Square Error
Weighted Error Squares
+
-
ε(n) : Errory(n)
d(n)
Filter
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Adaptive Filtering Algorithms
Stochastic Gradient Approach Cost Function depends on Mean-Square Error criterion
(!!! Stochastic, depends on second order statistics !!!) Solution of Wiener-Hopf Equations
Results in Wiener soln. but with an iterative approach Based on Method of Steepest Descent
Use instantaneous values instead of expectations (LMS)
functioncost
of
gradient
size) (step
parameter
rate learning
vector
weight- tapof
valueold
vector
weight- tapof
valueupdated RequiresExpectations E{.}
signal
error
vector
input
-tap
size) (step
parameter
rate learning
vector
weight- tapof
valueold
vector
weight- tapof
valueupdated
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Adaptive Filtering Algorithms Least-Squares Estimation
Cost Function depends on sum of weighted error squares Low computational complexity due to recursive operation
Three categories Standard RLS
Relies on Matrix Inversion Lemma Numerically unstable, high computational complexity
Square-root RLS algorithm Based on QR-decomposition Numerically stable
Fast RLS algorithm Exploits certain matrix structures to reduce complexity.
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Applications Four Classes
Identification system identification layered earth modeling
Inverse modeling deconvolution adaptive and blind equalisation
Prediction linear predictive coding adaptive differential PCM spectrum analysis signal detection
Interference cancellation noise canceling echo cancellation adaptive beamforming
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System Identification
Observing the output of aplant(system), given the inputsignal, tries to estimate theIR of the plant.
Filter coefficient are found byan adaptive algorithm.
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Adaptive Equalization
Removes intersymbol interference (ISI).
Filter coefficient are found byan adaptive algorithm.
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Adaptive Spectrum Estimation
Parametric (AR) model
Linear AR filter input: white noise output: observed
signal aim: find the model
parameters by an adaptive algorithm.
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Adaptive Noise Cancellation
Electrocardiography (ECG) Acoustic noise in speech Active noise cancellation
(headphones)
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Echo Cancellation Coupling due to imperfect
balancing in hybrid transformer creates an echo in analog telephone lines.
Echo signal can be estimated by an adaptive filter and the subtracted out.
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Adaptive Beamforming
Multiple sensors (antenna, microphone, etc) used to steer the beam to a specific position.
Radar, sonar Commun. systems, Astrophysical
exploration, Biomedical signal
processing, etc.
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Historical Notes
To understand a science it is necessary to know its history. Auguste Comte (1798-1857)
Linear Estimation Theory Method of least squares, Gauss, 1795 Minimum mean square error estimation, late 1930s Discrete-time Wiener-Hopf equation, Levinson, 1947 Kalman filter, Swerling, 1958 and Kalman, 1960
Stochastic gradient algorithms, late 1950s Stochastic approximation, Robins and Monro, 1951 LMS algorithm, Widrow and Hoff, 1959 Gradient adaptive lattice (GAL) algorithm, Griffiths, 1977-8
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Historical Notes
Recursive Least Squares Algorithm Kalman filter, Godard Algorithm, Godard, 1974 Relationship between RLS and Kalman, Sayed and Kailath, 1994 QR decomposition based systolic array, Gentleman & Kung, 1981 Fast RLS algorithm, 1970s, Morf
Neural Networks Logical calculus for neural networks, McCulloch and Pitts, 1943 Perceptron, Rosenblatt, 1958 Back-propagation algorithm, Rumelhart, et al., 1986 Radial basis function network, Broomhead and Lowe, 1988
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Applications Adaptive Equalisation, 1960s
Zero-forcing equaliser, Lucky, 1965 MMSE equaliser, Gersho, 1969, Proakis&Miller, 1969 Godard Algorithm, Godard, 1974 Fractionally Spaced Equaliser (FSE), Brady, 1970 Decision Feedback Equaliser (DFE), Austin 1967, MMSE,
Monsen, 1971. Speech Coding
Maximum Likelihood speech prediction, Saito and Itakura, 1966 Linear Predictive Coding (LPC), Atal and Hanauer 1970-1 Adaptive Lattice Predictor, Nakhoul and Cossell, 1981
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Applications
Spectrum Analysis, early 1900s Maximum entropy method, Burg, 1967 Method of multiple windows, Thomson, 1982
Adaptive noise cancellation, started at 1965 Adaptive Beamforming
Intermediate Frequency (IF) sidelobe canceller, Howells, 1950 Control law for adaptive array antenna, Applebaum, 1966 Application of LMS, Widrow et al., 1967 Minimum Variance Distortionless Response (MVDR)
beamformer, Capon, 1969