Adaptive filter theory

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1. Verfasser: Haykin, Simon S. 1931- (VerfasserIn)
Format: Buch
Sprache:English
Veröffentlicht: Upper Saddle River, NJ Prentice-Hall 1996
Ausgabe:3. ed.
Schriftenreihe:Prentice-Hall information and system sciences series
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Datensatz im Suchindex

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adam_text Adaptive Filter Theory Third Edition Simon Haykin Communications Research Laboratory McMaster University Hamilton, Ontario, Canada PRENTICE HALL, Upper Saddle River, New Jersey 07458 Contents Preface xiii Acknowledgments xvi Introduction 1 1 The Filtering Problem 1 2 Adaptive Filters 2 3 Linear Filter Structures 4 4 Approaches to the Development of Linear Adaptive Filtering Algorithms 5 Real and Complex Forms of Adaptive Filters 14 6 Nonlinear Adaptive Filters 15 7 Applications 18 8 Some Historical Notes 67 PARTI BACKGROUND MATERIAL 78 Chapter 1 Discrete-Time Signal Processing 79 1 1 z-Transform 79 1 2 Linear Time-Invariant Filters 81 1 3 Minimum-Phase Filters 86 1 4 Discrete Fourier Transform 87 1 5 Implementing Convolutions Using the DFT 87 1 6 Discrete Cosine Transform 93 1 7 Summary and Discussion 94 Problems 95 Chapter 2 Stationary Processes and Models 96 2 1 Partial Characterization of a Discrete-Time Stochastic Process 97 VI Contents vii 2 2 Mean Ergodic Theorem 98 2 3 Correlation Matrix 100 2 4 Correlation Matrix of Sine Wave Plus Noise 106 2 5 Stochastic Models 108 2 6 Wold Decomposition 115 2 7 Asymptotic Stationarity of an Autoregressive Process 116 2 8 Yule-Walker Equations 118 2 9 Computer Experiment: Autoregressive Process of Order 2 120 2 10 Selecting the Model Order 128 2 11 Complex Gaussian Processes 130 2 12 Summary and Discussion 132 Problems 133 Chapter 3 Spectrum Analysis 136 3 1 Power Spectral Density 136 3 2 Properties of Power Spectral Density 138 3 3 Transmission of a Stationary Process Through a Linear Filter 140 3 4 Cramer Spectral Representation for a Stationary Process 144 3 5 Power Spectrum Estimation 146 3 6 Other Statistical Characteristics of a Stochastic Process 149 3 7 Polyspectra 150 3 8 Spectral-Correlation Density 154 3 9 Summary and Discussion 157 Problems 158 Chapter 4 Eigenanalysis 160 4 1 The Eigenvalue Problem 160 4 2 Properties of Eigenvalues and Eigenvectors 162 4 3 Low-Rank Modeling 176 4 4 Eigenfilters 181 4 5 Eigenvalue Computations 184 4 6 Summary and Discussion 187 Problems 188 PART 2 LINEAR OPTIMUM FILTERING 193 Chapter 5 Wiener Filters 194 5 1 Linear Optimum Filtering: Problem Statement 194 5 2 Principle of Orthogonality 197 5 3 Minimum Mean-Squared Error 201 5 4 Wiener-Hopf Equations 203 5 5 Error-Performance Surface 206 5 6 Numerical Example 210 5 7 Channel Equalization 217 5 8 Linearly Constrained Minimum Variance Filter 220 5 9 Generalized Sidelobe Cancelers 227 5 10 Summary and Disussion 235 Problems 236 Contentsviii Chapter 6 Linear Prediction 241 6 1 Forward Linear Prediction 242 6 2 Backward Linear Prediction 248 6 3 Levmson-Durbin Algorithm 254 6 4 Properties of Prediction-Error Filters 262 6 5 Schur-Cohn Test 271 6 6 Autoregressive Modeling of a Stationary’ Stochastic Process 273 6 7 Cholesky Factorization 276 6 S Lattice Predictors 2S0 6 9 Joint-Process Estimation 286 6 10 Block Estimation 290 6 JI Summary and Discussion 293 Problems 295 Chapter 7 Kalman Filters 302 7 1 Recursive Minimum Mean-Square Estimation for Scalar Random Variables 303 7 2 Statement of the Kalman Filtering Problem 306 7 3 The Innovations Process 307 7 4 Estimation of the State using the Innovations Process 310 7 5 Filtering 317 7 6 Initial Conditions 320 7 7 Summary- of the Kalman Filter 320 7 8 Variants of the Kalman Filter 322 7 9 The Extended Kalman Filter 328 7 10 Summary and Discussion 333 Problems 334 PART 3 LINEAR ADAPTIVE FILTERING 338 Chapter 8 Method of Steepest Descent 339 8 1 Some Preliminaries 339 8 2 Steepest-Descent Algorithm 341 8 3 Stability of the Steepest-Descent Algorithm 343 8 4 Example 350 8 5 Summary and Discussion 362 Problems 362 Chapter 9 Least-Mean-Square Algorithm 365 9 1 Overview of the Structure and Operation of the Least-Mean-Square Algorithm 365 9 2 Least-Mean-Square Adaptation Algorithm 367 9 3 Examples 372 9 4 Stability and Performance Analysis of the LMS Algorithm 390 9 5 Summary of the LMS Algorithm 405 9 6 Computer Experiment on Adaptive Prediction 406 9 7 Computer Experiment on Adaptive Equalization 412 9 8 Computer Experiment on Minimum-Variance Distortionless Response Beamformer 421 9 9 Directionality of Convergence of the LMS Algorithm for Non-White Inputs 425 9 10 Robustness of the LMS Algorithm 427 Contents ix 9 11 Normalized LMS Algorithm 432 9 12 Summary and Discussion 438 Problems 439 Chapter 10 Frequency-Domain Adaptive Filters 445 10 1 Block Adaptive Filters 446 10 2 Fast LMS Algorithm 451 10 3 Unconstrained Frequency-Domain Adaptive Filtering 457 10 4 Self-Orlhogonalizing Adaptive Filters 458 10 5 Computer Experiment on Adaptive Equalization 469 10 6 Classification of Adaptive Filtering Algorithms 477 10 7 Summary and Discussion 478 Problems 479 Chapter 11 Method of Least Squares 483 11 1 Statement of the Linear Least-Squares Estimation Problem 483 11 2 Data Windowing 486 11 3 Principle of Orthogonality (Revisited) 487 11 4 Minimum Sum of Error Squares 491 11 5 Normal Equations and Linear Least-Squares Filters 492 11 6 Time-Averaged Correlation Matrix 495 11 7 Reformulation of the Normal Equations in Terms of Data Matrices 497 11 8 Properties of Least-Squares Estimates 502 11 9 Parametric Spectrum Estimation 506 11 10 Singular Value Decomposition 516 11 11 Pseudoinverse 524 11 12 Interpretation of Singular Values and Singular Vectors 525 11 13 Minimum Norm Solution to the Linear Least-Squares Problem 526 11 14 Normalized LMS Algorithm Viewed as the Minimum-Norm Solution to an Underdetermined Least-Squares Estimation Problem 530 11 15 Summary and Discussion 532 Problems 533 Chapter 12 Rotations and Reflections 536 12 1 Plane Rotations 537 12 2 Two-Sided Jacobi Algorithm 538 12 3 Cyclic Jacobi Algorithm 544 12 4 Householder Transformation 548 12 5 The QR Algorithm 551 12 6 Summary and Discussion 558 Problems 560 Chapter 13 Recursive Least-Squares Algorithm 562 13 1 Some Preliminaries 563 13 2 The Matrix Inversion Lemma 565 13 3 The Exponentially Weighted Recursive Least-Squares Algorithm 566 13 4 Update Recursion for the Sum of Weighted Error Squares 571 13 5 Example: Single-Weight Adaptive Noise Canceler 572 X Contents 13 6 Convergence Analysis of the RLS Algorithm 573 i37 Computer Experiment on Adaptive Equalization 580 13 8 State-Space Formulation of the RLS Problem 583 13 9 Summary and Discussion 587 Problems 587 Chapter 14 Square-Root Adaptive Filters 589 14 1 Square-Root Kalman Filters 589 14 2 Building Square-Root Adaptive Filtering Algorithms on their Kalman Filter Counterparts 597 14 3 QR-RLS Algorithm 598 14 4 Extended QR-RLS Algorithm 614 14 5 Adaptive Beamforming 617 14 6 Inverse QR-RLS Algorithm 624 14 7 Summary and Discussion 627 Problems 628 Chapter 15 Order-Recursive Adaptive Filters 630 15 1 Adaptive Forward Linear Prediction 631 15 2 Adaptive Backward Linear Prediction 634 15 3 Conversion Factor 636 15 4 Least-Squares Lattice Predictor 640 15 5 Angle-Normalized Estimation Errors 653 15 6 First-Order State-Space Models for Lattice Filtering 655 15 7 QR-Decomposition-Based Least-Squares Lattice Filters 660 15 8 Fundamental Properties of the QRD-LSL Filter 667 15 9 Computer Experiment on Adaptive Equalization 672 15 10 Extended QRD-LSL Algorithm 677 15 11 Recursive Least-Squares Lattice Filters Using A Posteriori Estimation Errors 679 15 12 Recursive LSL Filters Using A Priori Estimation Errors with Error Feedback 683 15 13 Computation of the Least-Squares Weight Vector 686 15 14 Computer Experiment on Adaptive Prediction 691 15 15 Other Variants of Least-Squares Lattice Filters 693 15 16 Summary and Discussion 694 Problems 696 Chapter 16 Tracking of Time-Varying Systems 701 16 1 Markov Model for System Identification 702 16 2 Degree of Nonstationarity 705 16 3 Criteria for Tracking Assessment 706 16 4 Tracking Performance of the LMS Algorithm 708 16 5 Tracking Performance of the RLS Algorithm 711 16 6 Comparison of the Tracking Performance of LMS and RLS Algorithms 716 16 7 Adaptive Recovery of a Chirped Sinusoid in Noise 719 16 8 How to Improve the Tracking Behavior of the RLS Algorithm 726 16 9 Computer Experiment on System Identification 729 16 10 Automatic Tuning of Adaptation Constants 731 16 11 Summary and Discussion 736 Problems 737 Contents Chapter 17 Finite-Precision Effects 738 17 1 Quantization Errors 739 17 2 Least-Mean-Square Algorithm 741 17 3 Recursive Least-Squares Algorithm 751 17 4 Square-Root Adaptive Filters 757 17 5 Order-Recursive Adaptive Filters 760 17 6 Fast Transversal Filters 763 17 7 Summary and Discussion 767 Problems 769 PART 4 NONLINEAR ADAPTIVE FILTERING 771 Chapter 18 Blind Deconvolution 772 18 1 Theoretical and Practical Considerations 773 18 2 Bussgang Algorithm for Blind Equalization of Real Baseband Channels 776 18 3 Extension of Bussgang Algorithms to Complex Baseband Channels 791 18 4 Special Cases of the Bussgang Algorithm 792 18 5 Blind Channel Identification and Equalization Using Polyspectra 796 18 6 Advantages and Disadvantages of HOS-Based Deconvolution Algorithms 802 18 7 Channel Identifiability Using Cyclostationary Statistics 803 18 8 Subspace Decomposition for Fractionally-Spaced Blind Identification 804 18 9 Summary and Discussion 813 Problems 814 Chapter 19 Back-Propagation Learning 817 19 1 Models of a Neuron 818 19 2 Multilayer Perception 822 19 3 Complex Back-Propagation Algorithm 824 19 4 Back-Propagation Algorithm for Real Parameters 837 19 5 Universal Approximation Theorem 838 19 6 Network Complexity 840 19 7 Filtering Applications 842 19 8 Summary and Discussion 852 Problems 854 Chapter 20 Radial Basis Function Networks 855 20 1 Structure of RBF Networks 856 20 2 Radial-Basis Functions 858 20 3 Fixed Centers Selected at Random 859 20 4 Recursive Hybrid Learning Procedure 862 20 5 Stochastic Gradient Approach 863 20 6 Universal Approximation Theorem (Revisited) 865 20 7 Filtering Applications 866 20 8 Summary and Discussion 871 Problems 873 Appendix A Complex Variables 875 Appendix B Differentiation with Respect to a Vector 890 Appendix C Method of Lagrange Multipliers 895 xii Contents Appendix D Estimation Theory 899 Appendix E Maximum-Entropy Method 905 Appendix F Minimum-Variance Distortionless Response Spectrum 912 Appendix G Gradient Adaptive Lattice Algorithm 915 Appendix H Solution of the Difference Equation (9 75) 919 Appendix I Steady-State Analysis of the LMS Algorithm without Invoking the Inde­ pendence Assumption 921 Appendix J The Complex Wishart Distribution 924 Glossary 928 Abbreviations 932 Principal Symbols 933 Bibliography 941 Index 978
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series2 Prentice-Hall information and system sciences series
spellingShingle Haykin, Simon S. 1931-
Adaptive filter theory
Filtros eletronicos larpcal
Adaptive filters
Adaptives Filter (DE-588)4141377-5 gnd
subject_GND (DE-588)4141377-5
title Adaptive filter theory
title_auth Adaptive filter theory
title_exact_search Adaptive filter theory
title_full Adaptive filter theory Simon Haykin
title_fullStr Adaptive filter theory Simon Haykin
title_full_unstemmed Adaptive filter theory Simon Haykin
title_short Adaptive filter theory
title_sort adaptive filter theory
topic Filtros eletronicos larpcal
Adaptive filters
Adaptives Filter (DE-588)4141377-5 gnd
topic_facet Filtros eletronicos
Adaptive filters
Adaptives Filter
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