Sie sind auf Seite 1von 28

# Motivation

## Several different modeling signals

To find the solution to a set of linear
R xa p b
equations
R x is a Hermitian Toeplitz matrix.
Use the structure of R x to efficiently
solve for a x

## Pronys All Pole Equations

All Pole Equation
p

rx (k ) a p (l )rx (k l ) 0

; k 1,2,..., p

Modeling Error
l 1

p rx (0) a p (l )rx (l )
l 1

## Pronys All Pole Equations

Matrix form
*
*
rx (0)
1
rx (1) rx ( p) 1

0
*
a
(
1
)
r
(
1
)
r
(
0
)

r
(
p

1
)
p
x
x
x

a
(
p
)
rx (0) p

rx ( p) rx ( p 1)
0

Matrix notation
R xa p pu1

Approach
Using induction method
We would like to solve for
R j 1a j 1 j 1u1

## given the solution to

R j a j j u1

The induction
Initial condition

a0 (0) 1

0 (0) rx (0)

R j a j j u1

lets form
R j 1

where

Rj
rxH ( j 1)

rx (0)
rx ( j 1)

## The induction (continued)

Modify normal equations
where

Rj
rxH ( j 1) a j j u1

rx (0) 0 j
rx ( j 1)
j

j rx ( j 1) a j (i)rx ( j 1 i)
i 1

## Flipping and using Hermitian property

Rj
rxH ( j 1) 0 j u1

a *
rx (0) j j
rx ( j 1)

## The induction (continued)

*j
1
0 j

*
0
a j (1)
0
a j ( j )

R j 1 j 1 j 1

*
0
a j ( j )

0
a j (1)

1 j
0
j

Reflection Coefficient
j
j 1 *
j

We arrive at
where

R j 1a j 1 j 1u1
1
0
a (1)
a * ( j )
j
j
a j 1 j 1

*
a
(
j
)
j
a j (1)
0
1

## Levinson order-update equation

a j 1 (i) a j (i) j 1a *j ( j i 1)

2

j 1 j j (1 j 1 )
*
j 1 j

Matlab Demos
Example

Example

Lattice Filter

## Properties of the LevinsonDurbin recursion

Discussion
Property 1. The reflection coefficients
that are generated by the LevinsonDurbin recursion to solve the
autocorrelation normal equations are
bounded by one in magnitude,
j 1

## If an arbitrary sequence of numbers

r (0), r (1),..., r ( p 1) are used in the matrix
x

Rp

Discussion(continued)
The unit magnitude constraint on the
reflection coefficients j and the
nonnegativivity of the sequence j are
tied to the positive definiteness of the
matix R p