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    L14: Optimal Linear Filtering - Wiener Filtering: Lennart Svensson

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    Quốc Việt Tạ
    The document discusses optimal linear filtering using Wiener filtering. It begins by introducing the problem of filtering, smoothing, and prediction using linear estimators to minimize mean squared error. It then derives the Wiener-Hopf equations, which can be used to solve all three problems. Specifically, the Wiener-Hopf equations allow one to determine the optimal coefficients for a finite impulse response (FIR) Wiener filter that minimizes mean squared error. The summary concludes by noting the minimum mean squared error can be calculated by plugging the optimal FIR filter coefficients into the error equation.

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    L14: Optimal Linear Filtering - Wiener Filtering: Lennart Svensson

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    34 views12 pages
    The document discusses optimal linear filtering using Wiener filtering. It begins by introducing the problem of filtering, smoothing, and prediction using linear estimators to minimize mean squared error. It then derives the Wiener-Hopf equations, which can be used to solve all three problems. Specifically, the Wiener-Hopf equations allow one to determine the optimal coefficients for a finite impulse response (FIR) Wiener filter that minimizes mean squared error. The summary concludes by noting the minimum mean squared error can be calculated by plugging the optimal FIR filter coefficients into the error equation.

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    Lecture Notes 14

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    The document discusses optimal linear filtering using Wiener filtering. It begins by introducing the problem of filtering, smoothing, and prediction using linear estimators to minimize mean squared error. It then derives the Wiener-Hopf equations, which can be used to solve all three problems. Specifically, the Wiener-Hopf equations allow one to determine the optimal coefficients for a finite impulse response (FIR) Wiener filter that minimizes mean squared error. The summary concludes by noting the minimum mean squared error can be calculated by plugging the optimal FIR filter coefficients into the error equation.

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    © All Rights Reserved
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    34 views12 pages

    L14: Optimal Linear Filtering - Wiener Filtering: Lennart Svensson

    Uploaded by

    Quốc Việt Tạ
    The document discusses optimal linear filtering using Wiener filtering. It begins by introducing the problem of filtering, smoothing, and prediction using linear estimators to minimize mean squared error. It then derives the Wiener-Hopf equations, which can be used to solve all three problems. Specifically, the Wiener-Hopf equations allow one to determine the optimal coefficients for a finite impulse response (FIR) Wiener filter that minimizes mean squared error. The summary concludes by noting the minimum mean squared error can be calculated by plugging the optimal FIR filter coefficients into the error equation.

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    of 12

    L14: Optimal linear filtering

    – Wiener filtering

    Lennart Svensson

    Department of Signals and Systems


    Chalmers University of Technology
    Problem formulation
    General solution
    Filtering solutions

    Reviewing L11-L13
    What have we done so far?
    Signal models (L11-L12)
    Nonparametric models: ACF and PSD.
    Parametric models: AR, MA and ARMA.
    Signal model estimation (L13)
    Nonparametric spectral estimation: the periodogram.
    Pros:
    fast to compute
    asymptotically unbiased.
    Cons:
    limited resolution for finite N:
    the modified periodogram improves this
    large variance for all N:
    Blackman-Tukey’s method lowers variance.
    Parametric spectral estimation: AR-estimation.
    1 Estimate rx [k] from data.
    2 Reformulate Yule-Walker to get â = Rx−1 rx .
    Chalmers University of Technology Lennart Svensson 2/12
    Problem formulation
    General solution
    Filtering solutions

    Learning objectives

    After today’s lecture you should be able to

    explain what type of problems Wiener-filters can solve.

    derive the Wiener-Hopf (WH) equations.

    use the WH-equations to derive a causal FIR Wiener filter.

    use the WH-equations to derive a non-causal IIR Wiener


    filter.

    Compute the mean squared error (MSE) of a Wiener-filter.

    Chalmers University of Technology Lennart Svensson 3/12


    Problem formulation
    General solution Filtering, smoothing and prediction
    Filtering solutions

    Filtering, smoothing and prediction


    Let s[n] and w [n] be zero mean, wide sense stationary
    processes and
    x[n] = s[n] + w [n].

    Objective
    Select H(z) to make e[n] as ”small” as possible

    d̂ [n]
    x[n] H(z) e[n] = d̂ [n] − d [n]
    −
    d [n]

    Small could mean different things. We use mean squared error


    E e[n]2 ,
    

    since this is easy to minimize.


    Chalmers University of Technology Lennart Svensson 4/12
    Problem formulation
    General solution Filtering, smoothing and prediction
    Filtering solutions

    Filtering, smoothing and prediction

    Based on measurements collected up until now, we encounter three


    common problems (k > 0):
    Filtering – estimating current signal values, d [n] = s[n].
    Applications: positioning, control systems, noise or echo
    cancellation, etc.

    Smoothing – estimating past signal values, d [n] = s[n − k].


    Applications: signal analysis, image processing, system
    identification (modelling).

    Prediction – estimating future signal values, d [n] = s[n + k].


    Applications: decision making, planning, weather forecasts,
    etc.

    Chalmers University of Technology Lennart Svensson 5/12


    Problem formulation
    General solution Filtering, smoothing and prediction
    Filtering solutions

    Filtering, smoothing and prediction

    These problems can be illustrated as

    time

    Prediction:

    Filtering:

    Smoothing:
    Time of interest
    Measurements

    Chalmers University of Technology Lennart Svensson 6/12


    Problem formulation
    General solution Filtering, smoothing and prediction
    Filtering solutions

    Filtering, smoothing and prediction


    We seek a linear estimator (filter)
    X
    d̂ [n] = h[n] ? x[n] = h[k]x[n − k]
    k
    of d [n].
    As mentioned above, we wish to minimize the mean square
    error (MSE),
     !2 
     X 
    MSE(h) = E d [n] − h[k]x[n − k]
     
    k

    where the vector h contains the impulse response coefficients


    h[k].
    The resulting Wiener filter d̂ [n] is a linear minimum mean
    square error (LMMSE) estimator.
    Chalmers University of Technology Lennart Svensson 7/12
    Problem formulation
    General solution Wiener-Hopf equations
    Filtering solutions

    Wiener-Hopf (W-H) equations

    The W-H equations are very important and can be used to


    solve all the problems mentioned above.

    Objective: (again) We wish to minimize


     !2 
     X 
    MSE(h) = E d [n] − h[k]x[n − k]
     
    k

    with respect to h.

    Derivation 1: the function is quadratic in h


    ⇒ it is convex in h
    ⇒ no local optima (except for the global optimum)
    ⇒ sufficient to differentiate and set to zero!
    Chalmers University of Technology Lennart Svensson 8/12
    Problem formulation
    General solution Wiener-Hopf equations
    Filtering solutions

    Wiener-Hopf (W-H) equations


    Differentiate the MSE:
     !2 
    ∂ ∂  X 
    MSE(h) = E d [n] − h[k]x[n − k]
    ∂h[t] ∂h[t]  
    k
    ( ! )
    X
    = E 2 d [n] − h[k]x[n − k] (−x[n − t])
    k
    X
    = −2rdx [t] + 2 h[k]rx [t − k]
    k
    Setting this derivative to zero gives the
    Wiener-Hopf (WH) equations
    X
    h[k]rx [t − k] = rdx [t],
    k
    for all t where h[t] is free to select.
    Chalmers University of Technology Lennart Svensson 9/12
    Problem formulation
    Causal FIR filters
    General solution
    MSE of optimal FIR filter
    Filtering solutions

    FIR filters
    Suppose H(z) is a causal FIR filter:
    p−1
    X
    d̂ [n] = h[k]x[n − k].
    n=0

    The W-H eq’s can be written as


        
    rx [0] rx [1] ... rx [p − 1] h[0] rdx [0]
     rx [1] r x [0] ... rx [p − 2]  h[1]   rdx [1] 
       
    .. .. .. .. = ..

     ..    
     . . . .  .   . 
    rx [p − 1] rx |p − 2] ... rx [0] h[p − 1] rdx [p − 1]
    | {z } | {z } | {z }
    Rx h rdx

    which yields that


    hopt = R−1
    x rdx .

    Chalmers University of Technology Lennart Svensson 10/12


    Problem formulation
    Causal FIR filters
    General solution
    MSE of optimal FIR filter
    Filtering solutions

    What is the minimum MSE?

    The minimum MSE can be calculated by plugging in hopt :


     2 n  o n o
    E emin [n] = E emin [n] d [n] − d̂opt [n] = Note: d̂opt ⊥ e[n]
    p−1
    ( ! )
    X
    =E d [n] − hopt [k]x[n − k] d [n]
    k=0
    p−1
    X
    T −1
    = rd [0] − hopt [k]rdx [k] = rd [0] − rdx Rx rdx
    k=0

    Special case: if d [n] and x[n] are uncorrelated, then d̂ [n] = 0


    and the MSE is rd [0].
    In general, the more correlated (similar) x[n] is to d [n] the
    better is the estimate d̂ [n]!
    Chalmers University of Technology Lennart Svensson 11/12
    Problem formulation
    Causal FIR filters
    General solution
    MSE of optimal FIR filter
    Filtering solutions

    Learning objectives

    After today’s lecture you should be able to

    explain what type of problems Wiener-filters can solve.

    derive the Wiener-Hopf (WH) equations.

    use the WH-equations to derive a causal FIR Wiener filter.

    use the WH-equations to derive a non-causal IIR Wiener


    filter.

    Compute the mean square error (MSE) of a Wiener-filter.

    Chalmers University of Technology Lennart Svensson 12/12

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