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Adaptive Filtering

Lecture 1
Introduction
Dr. Tahir Zaidi

Course Content

(Tentative)

Textbook:
S.Haykin, Adaptive Filter Theory, 4th Ed., Prentice Hall, 2002

Introduction
BACKGROUND REVIEW
2.
Discrete-time and random signals
3.
Mathematical Tools
OPTIMAL LINEAR FILTERS
4.
Wiener Filters
5.
Linear Prediction
ADAPTIVE FILTERING
6.
Stochastic Gradient Descent Algorithms
7.
Family of LMS Algorithms
8.
Method of Least Squares
9.
Recursive Least Squares (RLS) Algorithm
10.
Square-Root Algorithms
11.
LMS and RLS Algorithms: Practical Issues
12.
Kalman Filtering (?)
APPLICATIONS
13.
Spectrum Estimation
14.
Array Processing
Adaptive Signal Processing
1.

S.Haykin, Adaptive Filter Theory, 4th Ed.

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.

Adaptive Signal Processing

Filter

Remove undesired signals while not affecting the desired ones.

Often specified in frequency domain: lowpass, highpass etc. filters to


remove out of band signals.

Often the desired signals and undesired signals are at the same
frequency band. In such a case statistical characterization for filter
design is needed.

A filter is linear if its output is a linear function of the input, i.e.,

Input

Output

x1

y1

x2

y2

a1 x1 + a2 x2

a1 y1 + a2 y2

Applications

Communications; radar, sonar,


Control Systems; navigation,
Speech/Image Processing; echo and noise cancellation,
biomedical engineering
Others; seismology, financial engineering, etc.

Adaptive Signal Processing

Applications

!!! Noise and errors are statistical in nature !!!


We will use statistical tools.
Adaptive Signal Processing

Basic Kinds of Estimation


Filtering
(real-time operation)

Smoothing
(off-line operation)

Prediction
(real-time operation)

Adaptive Signal Processing

Filter
Linear

Non-Linear
Otherwise, it is non-linear.

A filter is linear if the filtered,


smoothed or predicted quantity
at the output of the filter is a
linear function of the observations
applied to the filter input.
u(t)

Linear

or

Non-linear

or

y(t)
Filter

u(n)

y(n)

!!! Non-linear filters may be hard to


Analyse, if not impossible !!!

Adaptive Signal Processing

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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The Filtering Problem

Given an optimality criteria we often can design optimal


filters

Requires a priori information about the environment


Example: Under certain conditions the so called Wiener filter is
optimal in the mean-squared sense

Adaptive filters are self-designing using a recursive


algorithm

Useful if complete knowledge of environment is not available a


priori

Adaptive Filters

Wiener Filter requires -a priori information of several statistics


-estimation (knowledge of the system)
is needed before filtering
-inversion of a huge matrix
-computationally inefficient!

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.
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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)

Adaptive Signal Processing

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Linear Filter Structure

Structure:
FIR (Finite-duration Impulse Response)

IIR

Transversal Filter (Tapped-delay line)


Lattice
Systolic array

(Infinite-duration Impulse Response)

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Transversal Filter
Convolution
Sum

unit-delay
element

multiplier

adder
Adaptive Signal Processing

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Transversal Filter

xH: Hermitian transpose


xH=(xT)*

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Lattice Predictor

Predictor order (# of stages): M


Forward prediction error

Backward prediction error

m: the mth reflection coefficient


Input seq. u(n) is correlated, backward prediction error
b(n) is uncorrelated
Together with m, b(n) approximates d(n) (innovations
process).

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Lattice Predictor

Adaptive Signal Processing

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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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Systolic Array

Boundary cell

Internal cell
s

y3
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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

Filter

y(n)

d(n)

(n) : Error
+
-

Error Squares

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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


updated value

of tap - weight

vector

old value

of tap - weight

vector

learning rate gradient


parameter
of

(step size) cost function


Requires
Expectations
E{.}

Use instantaneous values instead of expectations (LMS)


updated value

of tap - weight

vector

old value

of tap - weight

vector

learning rate tap -


error

parameter
input

signal

(step size) vector


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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

Standard RLS

Relies on Matrix Inversion Lemma


Numerically unstable, high computational complexity

Square-root RLS algorithm

categories

Based on QR-decomposition
Numerically stable

Fast RLS algorithm

Exploits certain matrix structures to reduce complexity.


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Applications

Four Classes

Identification

Inverse modeling

deconvolution
adaptive and blind
equalisation

Prediction

system identification
layered earth modeling

linear predictive coding


adaptive differential PCM
spectrum analysis
signal detection

Interference cancellation

noise canceling
echo cancellation
adaptive beamforming

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Applications of Adaptive Filters: Identification

Used to provide a linear model of an unknown plant

Parameters

u=input of adaptive filter=input to plant


y=output of adaptive filter
d=desired response=output of plant
e=d-y=estimation error

Applications:

System identification

System Identification

Observing the output of a


plant(system), given the input
signal, tries to estimate the
IR of the plant.
Filter coefficient are found by
an adaptive algorithm.

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Applications of Adaptive Filters:


Inverse Modeling

Used to provide an inverse model of an unknown plant

Parameters

u=input of adaptive filter=output to plant


y=output of adaptive filter
d=desired response=delayed system input
e=d-y=estimation error

Applications:

Equalization

Adaptive Equalization

Removes intersymbol
interference (ISI).
Filter coefficient are found
by an adaptive algorithm

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Applications of Adaptive Filters:


Prediction

Used to provide a prediction of the present value of a


random signal

Parameters

u=input of adaptive filter=delayed version of random signal


y=output of adaptive filter
d=desired response=random signal
e=d-y=estimation error=system output

Applications:

Linear predictive coding

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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Applications of Adaptive Filters:


Interference Cancellation

Used to cancel unknown interference from a primary signal

Parameters

u=input of adaptive filter=reference signal


y=output of adaptive filter
d=desired response=primary signal
e=d-y=estimation error=system output

Applications:

Echo cancellation

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

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Performance Measures of
Adaptive Filters
Rate of convergence
Misadjustment
Tracking
performance in nonstationary environment
Robustness
impact of small disturbances
Computational complexity
Structure
modularity, parallelism
Numerical properties
numerical stability
numerical accuracy
impact of quantization