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A.J. Wilkinson andrew.wilkinson@uct.ac.za http://www.ee.uct.ac.za Department of Electrical Engineering University of Cape Town
A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII 212Page1March7,2013
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page3March7,2013
v ( t )= A x ( t t 0 )+ n ( t )
where A and t0 are unknown constants, and n(t) is noise. The output of a matched filter will typically exhibit a sharp peak in response to the presence of the desired waveform (or pulse) at its input. From this peak may be determined time location t0, and amplitude A of the pulse within the received waveform. E.g. 1. Radars transmit electromagnetic pulses which reflect off distance objects (or targets). The echoes are captured by a receiving antenna. The echoes may be very weak signals buried in additive noise (picked up by the antenna, and also created by the receiver itself). Matched filters are used to process the received waveform, and hence optimize the chance of detecting a target. E.g. 2. In telecommunications systems using pulse code modulation, a bank of N filters may be constructed, with each filter specifically designed to respond to the presence of a particular pulse code. Comparison of the responses at the outputs identifies the received code. A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII
212Page4March7,2013
Model of Transmitted and Received Signal with Additive Noise Transmitted pulse x ( t ) 0 Received signal v ( t )= A x ( t t 0 )+ n ( t ) where t0 is the propagation time delay, A is an amplitude scaling factor, and n(t) is additive noise, described by its PSD Sn(). The SNR of the received pulse is defined as the ratio of the the peak signal power to average noise power, i.e.
max {A x ( t t 0 ) } A x ( 0 ) peak signal power SNR = = = 2 average noise power n ( t ) n ( t )2
A.J.Wilkinson, UCT Correlation Functions
t0
EEE3086FSignalsandSystemsII 212Page5March7,2013
Definition of the Matched Filter Given an input signal v ( t )= A x ( t t 0 )+ n ( t ) where x(t) is a pulse of known structure, t0 is an unknown delay, and A is an unknown scaling factor. A matched filter is a linear filter h(t) or H() that is designed to optimize the peak SNR at its output at some specified instant relative to t0. The output is v o ( t )= v ( t ) h ( t )= y ( t )+ no (t ) The aim is to find h(t) or equivalently H() that maximizes 2 (at some instant tx, usually tx >t0): y ( t x ) peak SNR= 2 n o ( t )
A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII 212Page6March7,2013
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page7March7,2013
v o ( t )= v ( t ) h ( t )= x ( t ) h ( t )+ n ( t ) h ( t )
Let
y ( t )= x ( t ) h ( t ) n o (t )= n ( t ) h ( t )
Output written as
v o ( t )= y ( t )+ n o ( t )
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page8March7,2013
Input signal
Filter
x (t )
t
v (t )
Output v o ( t )= y ( t )+ n o ( t )
peak
H()
n ( t ) noise
td t
Maximize at t = td
A.J.Wilkinson, UCT
1 j t y ( t d ) = X ( ) H ( ) e d 2
2
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page10March7,2013
Optimization Problem
The objective is to find a/the filter H() that optimizes the SNR at the time instant t = td:
2 1 j t 2 X ( ) H ( ) e d y ( t d ) 2 = + 2 1 2 no ( t ) S n ( )H ( ) d 2
To do this, we make use of a (provable) mathematical relationship called the Schwartz (or Cauchy-Schwartz) inequality.
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page11March7,2013
Schwartz Inequality for Integrals The Schwartz inequality states that for two complex functions, f(x) and g(x), integrable over [a,b]
f ( x ) g ( x ) dx f ( x ) dx
a
g ( x ) dx
a
The equality holds (i.e. LHS = RHS) if g ( x )= k f ( x ) where k is a real constant. If g ( x ) k f ( x ) then the left side is less than the right side.
Proof? Google it!
A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII 212Page12March7,2013
y ( t d ) = 2 no ( t )
[
1 2
+
X () S n ()
+
][
S n ( ) H ( ) e
j t d
] d
1 2 S n ( )H ( ) d 2
Apply Schwartz Inequality with: f ( x ) Notice that the term on the right of the numerator cancels with the denominator.
A.J.Wilkinson, UCT
X ( ) S n ( )
and
g ( x ) S n ( ) H ( ) e
j t d
y ( t d ) 2 n ( t ) o
1 2
+ X ( ) 1 j t 2 d S n ( ) H ( ) e d 2 S n ( ) + 1 2 S n ( )H ( ) d 2
d
Correlation Functions
EEE3086FSignalsandSystemsII 212Page13March7,2013
The term on the right of the numerator cancels with the denominator.
y ( t d ) 2 n o ( t )
2
1 2
X ( )
1 2 d S n ( w )H ( ) d 2 S n ( ) + 1 2 S n ( )H ( ) d 2
y (t d ) 1 2 2 n0 (t )
X ( )
S n ( )
Swartz inequality becomes an equality i.e. LHS = RHS if g ( x )= k f ( x ) or in our case, if:
S n ( ) H ( ) e
A.J.Wilkinson, UCT
j t d
X ( ) =k S n ( )
X ( ) j t => H ( )= k e S n ()
Correlation Functions
EEE3086FSignalsandSystemsII 212Page14March7,2013
Matched Filter
The filter that maximizes the peak SNR at time td is:
X ( ) j t H ( )= k e S n ( )
k is a real constant, usually positive, and is often set to 1. For the special case of white noise, S n ( )= constant
H ( )= k X ( ) e
Inverse transforming gives:
j t d
h ( t )= k x (t + t d )
Apply Fourier: X ( ) x (t ) j t and Y ( ) e y (tt d )
d
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page15March7,2013
X ( )
2 B
c
2 B
H ( )= X ( ) e
j t d
t
Y ( )=X ( ) e j t
2
d
c 2 rect ( / 4 B ) 2 B
y ( t )= x ( t ) h ( t ) c 2 2BSa ( 2 B ( t t d ))
A.J.Wilkinson, UCT
td
t
Correlation Functions
2 B
EEE3086FSignalsandSystemsII 212Page16March7,2013
X ( ) j t Interpretation in Frequency Domain: H ( )= k S ( ) e n In the frequency domain, the matched filter magnitude boosts the frequency components for which the signal is large compared to the noise and suppresses those that are weak compared to the noise i.e. X ( ) H ( ) S n () The phase of the filter cancels the phase of X(), H ( ) X ( ) and hence the inverse Fourier transform integral gives a strong peak at t = td. In the white noise case H ( )= X ( ) e j t
d
1 1 2 j t j t j t y ( t )= X ( ) H ( ) e d= X ( ) e e d 2 2 y ( t d )= E x (by Parseval)
d
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page17March7,2013
h ( t )= x (t ) matched filter with zero-delay. Performing a graphical convolution, flips h(t), which re-flips x (t ) such that it will now match (or correlate well) with the x(t) contained in the received signal v(t) as one slides from left to right and integrates the product. v ( t ) h ( t )= x ( t ) h ( t )+ n ( t ) h ( t )
The width of the peak in the time domain depends on the bandwidth B of X(). To get y(t), we inverse transform:
A.J.Wilkinson, UCT
X ( ) H ( )X ( )
Correlation Functions
EEE3086FSignalsandSystemsII 212Page18March7,2013
Interpretation in Time Domain: The width of the peak in the time domain depends on the bandwidth B of X(), since we are inverse transforming X ( )2 If X ( )2 has an approximately rectangular bandwidth, then the output will have a Sa( ) shape. 1 The 3dB width of the lobe will be t [s]. 2B Bandlimited input signal x ( t )
t
A.J.Wilkinson, UCT
Matched Filter
Output
peak
t 1 2B
H() noise
Correlation Functions
td
EEE3086FSignalsandSystemsII 212Page19March7,2013
h ( t )= x (t + t d )
If this filter is to be constructed as a filter operating in real-time, then the output cannot respond before the input arrives. Thus for physical realizability, the impulse response h(t) must begin after t = 0. i.e. h(t) = 0 for t <= 0. In a real matched filter (built either with passive LRC components or using A/D, D/A and DSP technology), the MF peaks after the entire waveform has been fed into the input. In designing a filter, one can always make it physically realizable by shifting h(t) to the right (by increasing td). This will simply delay the
A.J.Wilkinson, UCT
EEE3086FSignalsandSystemsII 212Page20March7,2013
Relationship to Correlation Feeding a signal v ( t ) into a matched filter h ( t )= x (t + t d ) matched to waveform x ( t ) (with white noise), is equivalent to a correlation operation between x(t) and v(t). Recall correlation for energy signals: R vx ( )= v * ( t ) x ( t + ) dt
v o ( t )= v ( t ) h ( t )
t ' =
u=
x ( u ) v ( u + [ t t d ]) du = R xv ( t t d )
Correlation Functions
Relationship to Correlation cont... Thus if one correlates x(t) and v(t), and shifts the result to the right by an amount td, one gets the same output as from the matched filter operation. The matched filter output is v o ( t )= v ( t ) h ( t ) v o ( t )= R vx ( t t d )
Note: if v ( t )= x ( t ) (the case where the input matches perfectly) then the MF output is v o ( t )= R x ( t t d ) which is just the autocorrelation function of x(t), shifted by td.
A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII 212Page22March7,2013
H ( )= X ( ) e
2
j t d
2 1 + j t X ( ) H ( ) e d =E2 x 2
d
2 1 no ( t ) =
2 H ( ) d= 2 2
1 2 X ( ) d= E x 2 2 2
2 Ex Ex y ( t d ) = = 2 / 2 E n0 ( t ) 2 x
Thus the output SNR is proportional to the energy of the received signal (and hence the energy of the transmitted signal).
A.J.Wilkinson, UCT Correlation Functions EEE3086FSignalsandSystemsII 212Page23March7,2013
)
T
A
T
0 A
h (t )= x (t ) k x ( t t d )
t kA
v ( t )= k x ( t t d )+ n (t )
kA2T
td
t t
Peak SNR
td+T
EEE3086FSignalsandSystemsII 212Page24March7,2013
x (t )
A 0 A
T
h (t )= x (t ) k x ( t t d )
t kA
v ( t )= k x ( t t d )+ n (t ) k Ex
td-T
td
t t
Peak SNR
td
td+T
EEE3086FSignalsandSystemsII 212Page25March7,2013
t t
EEE3086FSignalsandSystemsII 212Page26March7,2013
End of handout
A.J.Wilkinson, UCT
Correlation Functions
EEE3086FSignalsandSystemsII 212Page27March7,2013