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Least Square Filter

1) The document describes an example of least-squares filtering to estimate an input signal u(t) given noisy and quantized measurements y(t). u(t) is piecewise constant over intervals of 1 second from 0 to 10 seconds. y(t) is obtained by filtering u(t), sampling at 10Hz, and 3-bit quantizing the samples. 2) A linear model is constructed where y = Ax + v, with A relating the samples in y to the input levels in x, and v representing quantization error. 3) Applying least-squares estimation gives an estimate of x with lower RMS error than without filtering. Rows of the left inverse show how different measurements

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27 views

Least Square Filter

1) The document describes an example of least-squares filtering to estimate an input signal u(t) given noisy and quantized measurements y(t). u(t) is piecewise constant over intervals of 1 second from 0 to 10 seconds. y(t) is obtained by filtering u(t), sampling at 10Hz, and 3-bit quantizing the samples. 2) A linear model is constructed where y = Ax + v, with A relating the samples in y to the input levels in x, and v representing quantization error. 3) Applying least-squares estimation gives an estimate of x with lower RMS error than without filtering. Rows of the left inverse show how different measurements

Uploaded by

duc2711
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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EE263 Autumn 2015 S. Boyd and S.

Lall

Example: Least-squares filtering

1
Example: estimation / filtering

u w y
H(s) A/D

I signal u is piecewise constant, period 1 sec, 0 ≤ t ≤ 10:

u(t) = xj , j − 1 ≤ t < j, j = 1, . . . , 10

I filtered by system with impulse response h(t):


Z t
w(t) = h(t − τ )u(τ ) dτ
0

I sample at 10Hz: ỹi = w(0.1i), i = 1, . . . , 100

I 3-bit quantization: yi = Q(ỹi ), i = 1, . . . , 100, where Q is 3-bit quantizer


characteristic
Q(a) = (1/4) (round(4a + 1/2) − 1/2)

I problem: estimate x ∈ R10 given y ∈ R100

2
Linear model

1.0 1.25

0.5 1.00
0.75
u(t) 0.0 s(t) 0.50
-0.5 0.25
-1.0 0.00
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10

1.0 1.0

0.5 0.5

w(t) 0.0 y(t) 0.0

-0.5 -0.5

-1.0 -1.0
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10

we have y = Ax + v, where
Z j
I A ∈ R100×10 is given by Aij = h(0.1i − τ ) dτ
j−1

I v ∈ R100 is quantization error: vi = Q(ỹi ) − ỹi (so |vi | ≤ 0.125)

3
Results from least-squares estimation

1.0

0.5

0.0

-0.5

-1.0
0 1 2 3 4 5 6 7 8 9 10

I plot shows least-squares estimate: xls = (AT A)−1 AT y in red

kx − xls k
I RMS error is √ = 0.03
10
I better than if we had no filtering! (RMS error 0.07)

4
Rows of the left-inverse
0.15

0.10

row 2 0.05
0.00

-0.05
0 1 2 3 4 5 6 7 8 9 10

0.15

0.10

row 5 0.05
0.00

-0.05
0 1 2 3 4 5 6 7 8 9 10

0.15

0.10

row 8 0.05
0.00

-0.05
0 1 2 3 4 5 6 7 8 9 10

I some rows of Bls = (AT A)−1 AT

I rows show how sampled measurements of y are used to form estimate of xi


for i = 2, 5, 8
I to estimate x5 , which is the original input signal for 4 ≤ t < 5, we mostly use
y(t) for 3 ≤ t ≤ 7
5

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