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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)

Assume we know the solution to


R j a j j u1

lets form
R j 1

where

Rj
rxH ( j 1)

rx (0)
rx ( j 1)

rx ( j 1) rx ( j 1), rx ( j ),, rx (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)


Adding two equations
*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

The induction (continued)


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)

The updated error


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