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Matched Filter

Instructor: M.A. Ingram

ECE4823

Maximum SNR Property

Assume AWGN

We want the filter that yields the

highest signal-to-noise ratio (SNR) at its

output

Next, show that the optimum filter is

the matched filter

Set Up

Suppose , where n(t) is

WGN with spectral height N

o

/2, and s(t)

is a signal with a finite duration T

Let r(t) be the input to a filter with

impulse response h(t)

Let y(t) be the output

) ( ) ( ) ( t n t s t r + =

) (t h ) (t r ) (t y

Signal and Noise Parts

The signal part of the output is

The noise part of the output is

=

t

s

du u t h u s t y

0

) ( ) ( ) (

=

t

n

du u t h u n t y

0

) ( ) ( ) (

Signal-to-noise Ratio

| |

2

0

2

0

2

2

) ( ) (

) ( ) (

) (

) (

SNR

=

=

t

t

n

s

du u t h u n E

du u t h u s

t y E

t y

Denominator

| |

{ }

=

=

t t

t t

n

dudv v t h u t h v n u n E

dv v t h v n du u t h u n E

t y E

0 0

0 0

2

) ( ) ( ) ( ) (

) ( ) ( ) ( ) (

) (

2

Invoke White Noise Model

| |

=

=

t

t t

n

du u t h

N

dudv v t h u t h v u

N

t y E

0

2 0

0 0

0

2

) (

2

) ( ) ( ) (

2

) (

SNR So Far

To optimize the SNR, choose h(u) to

maximize the numerator

=

t

t

du u t h

N

du u t h u s

0

2

0

2

0

) (

2

) ( ) (

SNR

Cauchy-Schwarz Inequality

Say S and Q are two points in a Hilbert

space, then

with equality when Q=cS

2 2 2

, Q S Q S

Cauchy-Schwarz for Signals

Let S and Q be points in the Hilbert

space of square-integrable functions

Then,

Equality is reached when

t t t

du u q du u s du u q u s

0

2

0

2

2

0

) ( ) ( ) ( ) (

) ( ) ( u q u cs =

Apply Cauchy-Schwartz

Recall numerator of SNR

Pick h(t-u) to be equal to cs(u)

2

0

) ( ) (

t

du u t h u s

Simplify Optimal SNR

Substitute h(t-u)=cs(u)

2

) (

) (

2

) (

) ( SNR

0

0

2

0

2

2

0

2

0

2

opt

N

du u s

du u s

c N

du u s c

t

t

t

t

=

3

Optimize t

If s(t) has finite duration T , then SNR

is maximized by setting t=T

0

0

0

2

opt

2

2

) (

SNR

N

N

du u s

s

T

= =

Max SNR Filter = Matched

Filter

Matched filter

impulse response is a

flipped in place

version of signal

) ( ) ( u cs u T h =

0 T

s(u)

0 T

h(T-u)

u

u

0 T

h(u)

u

) ( ) ( u T cs u h =

or

Inner Product Interpretation

of Matched Filter

) (

) (

t T cs

t h

=

) (t r ) (t y

r s, ) ( ) (

) ( ) (

) ( ) ( ) (

0

0

0

c du u r u s c

du u T r u T cs

du u T r u h T y

T

T

T

= =

=

=

Response

Take Fourier Transform of the Matched

Filter impulse response

du e u T s c

du e u h f H

fu j

T

fu j

T

2

0

2

0

) (

) ( ) (

=

=

Let r=T-u

( )

( )

| |

* 2 2

0

2

2

0

2

0

) ( ) (

) (

) ( ) (

f S ce dr e r s ce

dr e r s c

du e u T s c f H

fT j fr j

T

fT j

r T f j

T

fu j

T

= =

=

=

The magnitude of the matched filter

response is just a scaled version of the

signals F.T.

) ( ) ( f S c f H =

4

Relation to Optimum

Detection

Recall optimum detector is the

minimum distance detector

Signal Space

The black dots are

the noiseless points

choose s

2

choose s

1

Alternative Form of Minimum

Distance Detector

Expand the signal space distance

between the received vector r and the

noiseless signal point s

m

2 2 2

, 2

m m m

s s r r s r + =

| |

m m

+ s r, 2 arg =

opt

m min

m

If Signals are Equal Energy

The minimum distance receiver can be

implemented as a bank of matched

filters

| |

m m

+ s r, 2 arg =

opt

m min

m

m

s r, max

m

arg =

T

m

dt t s t r

0

) ( ) ( max

m

arg =

Summary

When the input is signal plus WGN, then the

filter that maximizes the SNR is the matched

filter

The proof is an application of the Cauchy-

Schwarz Inequality

The filter matches (has the same shape as)

the signal in magnitude in the frequency

domain

The minimum-distance receiver can be

implemented as a bank of matched filters

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