184

IEEE TRANSACTIONS ON ACOUSTICS,

SPEECH,

AND SIGNAL
PROCESSING,
VOL.

ASSP-28, NO. 2, APRIL 1980

Recursive Discrete Fourier Transformation

Abstract-This paper presents newdiscrete Fourier transformmethods

which are recursive,expressible in state variable form, and which involve real number computations. Thealgorithms are especially useful for
running Fourier transformation andfor general and multirate sampling.
Numericalexamples are givenwhichillustrate
theability of these
spectral observers to operate at sampling rates other than the Nyquist
rate, to perform one-step-per-sampleupdating, and to converge to the
spectrum in the presence of severe numerical truncation error.

I. INTRODUCTION
ODERNsignalprocessingreliesheavily
upon spectral
computation. There exists, in practice, a number of
situations for which conventional discrete Fourier transform
(DFT) methodsare complicated or awkward. This paper presents new recursive DFT algorithms which are especially useful
for running Fourier transformation and in general multirate
sampling situations.
Although these methods do not rival the speed of the fast
Fourier transform [ l ] - [4] for large numbers of sample
points, they offer the following advantages:
1) All operations are with real numbers, simplifying programming on many minicomputers and microprocessors.
2 ) A state variable format may be used, if desired.
3) Sampling rates otherthanthe
Nyquist rate areeasily
accommodated, as are various multirate sampling situations.
4) Progressive incorporation of new samples, discarding the
old as in running Fourier transformation, requires only a single
iteration. If desired, a fading memory may instead be used
for discarded samples.
5 ) Numerical errors in most calculations, such as roundoff
or truncation (if they are not so severe to cause instability),
may be corrected by recirculating the signal samples.
These results are a natural extension of the work of many researchers. The approach of modeling unknown system input
dynamic dates from the work ofJohnson [ 5 ] , [ 6 ] , Davison [7], [8] . Bryson and Luenberger [9], Belanger [lo],
a d Young and Willems [I I] considered similar problems.
Hostetter and Meditch related Davisons work to observer
theory [12] and investigated system algebraic structure and
properties in detail [ 131 , [ 141 .

Manuscript received June 24, 1979; revised November 8,1979. This

work was supported in part
by a grant from the Long Beach Foundation, California State University,Long Beach, CA.
Theauthor is with the Department of ElectricalEngineering, California State University,Long Beach, CA 90840.

A. Discrete Fourier Transform

Consider a band-limited periodic function
y(t)=do+

(anCOST+&
n2nt

n=i

where T is the period ofthefunction,

N is the harmonic
number of the highest frequency present in y ( t ) , and do, the
as, and the 0s are the functions Fourier coefficients. In
quadrature (sine and cosine) form, the discrete Fourier transform of y ( t ) is the determination of its 2N + 1 Fourier coefficients from a set of 2N + 1 evenlyspaced time samples
~ 5 1 ~- 7 1

Of course, the complex exponential form of the series offers

notational advantages in most situations. This development,
however, will involve real number calculations exclusively.
The Fourier transform of the periodic function y ( t ) is

Y ( j o )= 2nd06 (a)
+n
n =I

where 6

(e)

( -?)

(an-ion)6

is the Dirac delta function.

B. Band-Limited Periodic Signal Representation

A linear, time-invariant homogeneous differential equation,

with characteristic polynomial
s

[P.+

( 3 2 ]

[?+ ( 3 7 . -

[.2

has a general solution of the form (l), where the Fourier

coefficients do, a1,* , a ~PI,,* * * ,PN are arbitrary constants
dependent upon the system initial conditions. The general
solution of such an equation is an arbitrary periodic function
with period T and band limit beyond the Nth harmonic.
A convenient state variable representation for this homogeneous system is the following:

0096-3518/80/0400-0184$00.75 0 1980 IEEE

185

HOSTETTER:RECURSIVEDISCRETEFOURIERTRANSFORMATION

..-

.*.

* . *

)2

...

(I

x1

X2

x3

x4

X2N-1
X2N

0
0

x2N+1.

=Ax,
y=[l 0 1 0

* * .

1 0 1]x

= cTx.
In this form of the state equations, the constant and each harmonic term in the response are decoupled from one another.
Although the band-limitedperiodic signal y ( t ) may not
actually be produced by the system (2), it may be considered
to be the output of this system. Were the system (2) producing y(t), the individual harmonic components of y would
be the signals
2nt 2nt
x1(t)=a1 cos-++I
sinT
T
2nt
al sinT
T

"(T

x 2 ( t ) = - J - = - dl cos-&
dt

4nt
T

4nt
T

xg(t) = a2 cos -+ 0 2 sin -

X2N+l(O)

= do

from samples of y (t).

11. SPECTRALOBSERVATION
A. Discrete-Time SignalModel
A discrete-time system model of (2), with sampling interval
At is

e(k + 1) = exp (AAt)e(k)= &(k)

w(k) = cTe(k).

(3)

This system producessamples of the corresponding continuoustime system signals. In particular,

w(k) =y(kAt)
2nkA t
El(k)=X1(kAt)=Q1COS- 2nkAt t p1 sin T
T

Discrete Fouriertransformation
is thus equivalent tothe
determination of the system (2) initial conditions
x1

(0)= a1

- a1 sin T

(k)= x3 (kAt) = 02

- CY2 sin-

COS

4nkAt)
T

4nkA t
+ pz
T

4nkA t
sin T

HOSTETTER: RECURSIVE DISCRETE FOURIER TRANSFORMATION

187

111. NYQUIST RATE COMPUTATION

A. Convergence to the Fourier Coefficients
The most common situation in practice is that of the availability of 2 N t 1 evenly spaced samples for which
T

At=2Nt 1.
With this choice of sampling interval, after 2N t 1 steps, the
spectral observer state will be

t I ( 2 N + 1) = 1 (2N + 1) =

(0) = (

t 2 ( 2 N + 1 ) = ~ 2 ( 2 Nl)=eZ(O)=+

~ 1

27$1
T

t3(2N+ 1)=3(2Nt'1)=3(0)=(Y2

g2N+1(2Nt 1 ) = E w + 1 ( 2 N t 1 ) = E w + I ( o ) = d J *

(5 1

B. Simplified Gain Vector Solution

The Nyquist-rate deadbeat observer has the property that,
for zero initial conditions, the first 2N output samplesare
zero. This result follows from theinterpolation properties
of the filter. Initially, the filter generates interpolations where
the leading samples are zero.In terms of the discrete-time
system matrices, this property requires that

Fig. 1. Response of the eight-harmonic Nyquist-rate spectral observer.

IV. OTHERSAMPLINGRATES

A. ConvergenceAfter 2 N + 1 Samples
The spectral observer may operate with any sampling interval A t . In general, 2N t 1 samples are required forconvergence to determine the harmonic content of the bandlimited signal y ( t ) .

c'g = 0

c%g = 0
cT@g = 0

B. Gain Vector Solution Via Transformation

A general method of gain coefficient calculation is to temporarily transform the system to the dual of the phase variable
canonical form [19] - [ 2 0 ] , [31] - [ 3 5 ]

Additionally, the gain coupling to the (2N t 1)th state (representing the constant term in the response) is
82N+1

where

Hence, the 2 N t 1 linear algebraic equations (6) and (7) may

be solved, off line, for the gain coefficients g .
Gain coefficients calculated in this manner were used for
the following example.

C. Example
Performance of an eight-harmonic Nyquist-rate spectral
observer is shown in Fig. 1 . The discrete-time filter samples
are seen to converge to samples of the band-limited function
after 2N t 1 steps. The individual harmonic samples are also
shown. The plots shown were generated on an H p 2100 system.

and

IEEETRANSACTIONSONACOUSTICS,SPEECH,

188

14s
i

AND SIGNAL PROCESSING,VOL. ASSP-28, NO. 2 , APRIL 1980

1
1

l [ r l ! l l l l ! r ! l !

i I

Fig. 2. Response of a two-harmonic spectral observer operating above

the Nyquist rate.

C Example

The characteristic equation of a' is easily shown to be

z2N+1

- plz2N

- p2z2N-1

. . . - P2Nz - PuV+l

The characteristic equationofthe

system is

transformed feedback

(P1 - g I )
(P2 - g i )

I:

(P2N-g;N)

0 1

0 0

(P2N+l - g h + 1 )

z2N+1 -

= 0.

* * -

* '

..

0 0

0 1

'

(P1 - g 9 z m - (P2 - g;)ZuV-l

...- (P2N - giN)z - ( P 2 N + l - g h + 1 ) = O ,

each coefficient of which may be chosen at will by appropriate

choice of the elements of g'. For a deadbeat error system,
g ; = p i ,i = l , 2 , - . * , 2 N t l .

Then
g = Q-'g'.

Response of a two-harmonic spectral observer operating

above the Nyquist rate is shown in Fig. 2. The Fourier coefficients are determined well in advance of the end of one period
of y ( t ) . Additional sampleswill not affect the spectral estimate if it is correct; ifslight numerical errors are present,
additional samples will tend to correct them.

v. UPDATING THE RECURSIVETRANSFORM

A. Next Sample Updating
In 2N + 1 steps a deadbeat Nyquist-rate spectral observer
produces the Fourier coefficients (5) of the corresponding
band-limited signal. The next iteration,with an additional
sample, will produce the Fourier coefficients of the function
with the previous 2N + 1 samples; all effects of prior samples
will have been removed.
For zero initial conditions, then,this spectral observer
generates initial spectral estimates corresponding to those
samples not yet provided being zero.
There is also the possibility of updating intermediate samples
by cycling the spectral observer, with g = 0, to that sample or
by employing multiple-step system matrices.
By choosing observereigenvalues otherthan all zero,a
"fading memory" of earlier samples may be provided. Hence,
various windows of the data may be provided without additional computational complexity.

B. Example
Fig. 3 shows a sequence of updatings of the Nyquist-rate
spectral observer. For each new sample, a single iteration of

RECURSIVE
HOSTETTER:

189

r t r r ~ ! r r ~ ~ ~ r ~ r ~ r r ! r ~

Fig. 4. Response of the eight-harmonic Nyquist-rate spectral observer

with gain coefficients truncated at one significant digit.

Imprecision which is equivalent to an error in the signal model

(3) will, of course, produce Fourier coefficient errors. Error in
knowledge of the sampling interval is of this category. Simulation studies to date, with models to the 25th harmonic, have
demonstratedlittle
susceptibility of spectral observers to
minor modeling errors.

B. Example
In Fig. 4 is shown representative effects of imprecise arithmetic operations. For this example, the observergainswere
each truncated to a single significant digit. Convergence of the
spectral observer is not precise after 2N + 1 steps. However,
recirculating the samples rapidly improves the spectral estimate ,as shown.
Fig. 3. Next sampleupdating
of the eight-harmonicNyquist-rate
spectralobserver.The
dotted curvesshow the previous estimate of
the band-limited function, while the solid curves show the new estimate at each step.

the observer generates the new DFT correspondingto themost

recent 2N + 1 samples.
VI. IMPRECISECALCULATIONS
A. Model and Observer Eigenvalue Errors
Imprecise arithmetic processing, whether by roundoff,
truncation, or design, has two effects upon the spectral observer. Imprecision which results in placement of the observer
eigenvalues at positions other than the origin may be reduced
asymptotically to zero by recirculation of the data provided
that the error is not so great as to result in system instability.

VII. CONCLUSIONS
New,recursive discrete Fouriertransformmethods
have
been given which are especially useful in situations involving
multirate-samplingrunningFouriertransformation,andimprecise computational arithmetic. Numerical exampleswere
given which illustrate important aspects of the theory.
Harmonic smoothing, filtering, and prediction are easily implemented with these methods, as is the tracking of slowly
varying harmonic content ofa signal.
Theextension of spectral observation to twodimensions
is straightforward, although cursed with high dimensionality
as are all such methods.
By varying the observer gains, it is also possible to generate
signal estimates with successively higher order harmonic content, if desired.

190

IEEETRANSACTIONSONACOUSTICS,SPEECH,

REFERENCES

[31
[41

J. W. Cooley and J. W. Tukey, An algorithm for the machine

computation of complexFourier series, Math Comput., vol.
19, pp. 297-301, Apr. 1965.
J. W, Cooley and W. T. Cochran, What is the fast Fourier transform?, IEEE Trans. Audio Electroacoust., vol. AU-15, pp. 4555, June 1967.
G . D. Bergland, A guided tour of the fast Fourier transform,
ZEEE Spectrum, pp. 41-52, July 1969.
C. Bingham, M. D. Godfrey,andJ. W. Tukey, Modern techIEEE Trans. Audio
niques of powerspectrumestimation,
Electroacoust., vol. AU-15, pp. 56-66, June 1967; also Modern
Spectrum Analysis, D. G. Childers, Ed. New York: IEEE Press,
1978, pp.6-16.
C.D.
Johnson, Optimal control of the linearregulatorwith
constant disturbances,ZEEE Trans. Automat. Contr., vol. AC-13,
pp. 416-421, Aug. 1968.
-, Further study of the linear regulator with disturbancesThe case of vectordisturbances satisfying a linear differential
equation, IEEE Trans. Automat. Contr., vol. AC-15, pp. 222228, Apr. 1970.
E. J. Davison, Comments on Optimal control of the linear
regulatorwith constant disturbances, ZEEE Trans. Automat.
Contr., vol. AC-15, p. 264, Apr. 1970.
-, The output control of linear time-invariant multivariable
systems with unmeasurable arbitrary disturbances, ZEEE. Trans.
Automat. Contr., vol. AC-17, pp. 621-629, Oct. 1972.
A. E. Bryson and D. G . Luenberger, The synthesis of regulator
logic using state-variable concepts, Proc. ZEEE, vol. 58,pp.
1803-1822, NOV.1970.
P. R. Belanger, Observations and control of linear systems with
Contr.,
vol.
constant disturbances, IEEE Trans. Automat.
AC-17, pp. 416-421, Oct. 1972.
P. C. Young and J. C. Willems, An approach to the linear multivariable servomechanism problem, Znt. J. Contr., vol. 15, pp.
961-979,1972.
G. H. Hostetter and J. S. Meditch, Observing systems with unmeasurableinputs, IEEE Trans. Automat. Contr., vol. AC-18,
pp. 307-308, June 1973.
-, On the generalization of observers to systems with unmeasurable and unknown inputs, Automatica, vol. 9, pp. 721-724,
Nov. 1973.
J. S. Meditch and G. H. Hostetter, Observers for systems with
unknownand unaccessible invuts. Znt. J. Contr.. vol. 19. vv.
473-480.1974.
A. Papoulis, The Fourier Transform and Its Aoulications.
New
..
York-McGraw-Hill, 1962.
-,Signal Analysis. New York: McGraw-Hill, 1977.
B. Gold and C. M. Rader, Digital Processing of Signals. New
York: McGraw-Hill, 1969.
D. G. Luenberger, Observing the state of a linear system, ZEEE
Trans. Military Electron., vol. MTL-8, pp. 74-80, Apr. 1964.
-, Observers for multivariable systems, ZEEE Trans.Automat.
Contr.,vol. AC-11, pp. 190-197, Apr. 1966.
-,
An introductionto
observers, IEEE Trans. Automat.
Contr., vol. AC-16, pp. 596-602, Dec. 1971.
B. D. 0. Anderson andJ. B. Moore, Linear Optimal Control.
Englewood Cliffs, NJ: Prentice-Hall, 1971.
E. Tse, On the optimal control of linear systemswithincomplete information, Ph.D. dissertation, Mass. Inst. Tech., Cambridge, MA, Rep. ESL-R-412, Jan. 1970.

. ,

.1151[16]
[17]
[ 181
[ 191

[20]
[21]
(221

AND SIGNALPROCESSING,VOL. ASSP-28, NO. 2, APRIL 1980

observer esti[23] E. Tse and M. Athans,Optimalminimum-order

matorsfor discrete linear time-varying systems, ZEEE Trans.
Automat. Contr., vol. AC-15, pp. 416-426, Aug. 1970.
[24] W. M. Wonham and C. D. Johnson, Optimal bang-bang control
with quadratic performance index, J. Basic Eng., Trans. ASME,
vol. 86, pp. 107-115, Mar. 1964.
[25] C. D. Johnson and W. M. Wonham, A note on the transformation to canonical (phase-variable) form, ZEEE Trans. Automat.
Contr., vol. AC-9, p. 312-313, July 1964.
1261 D. G. Luenberger, Invertible solutions to the operator equation

TA - BT = C, Proc. Amer. Math. Soc., vol. 16,pp. 1226-1229,

Dec. 1965.
Canonical formsfor linear multivariable systems, ZEEE
[27] -,
Trans. Automat. Contr., vol. AC-12, pp. 290-293, June 1967.
[28] W. M. Wonham, On pole assignment in multi-input controllable
vol. AC-12,
linear systems, ZEEE Trans. Automat.Contr.,
pp. 660-665, Dec. 1967.
[29] C.-T. Chen, A noteon pole assignment, ZEEE Trans. Automat. Contr., vol. AC-13,pp. 597-598, Oct. 1968.
[30] E. J. Davison, On pole assignment in multivariable linear systems, ZEEE Trans. Automat. Contr., vol. AC-13, pp. 747-748,
Dec. 1968.
[31] I. H. Mufti, On the reduction of a system to canonical (phasevol. AC-10,
variable) form, ZEEE Trans. Automat.Contr.,
pp. 206-207, Apr. 1965.
[32] M. R. Chidambara,
The
transformationto
(phase-variable)
canonical form, ZEEE Trans. Automat. Contr., vol. AC-10, pp.
492-495, Oct. 1965.
[33] L. M. Silverman, Transformation of time-varying systems to
canonical (phase-variable) form, ZEEE Trans. Automat. Contr.,
V O ~ AC-11,
.
pp. 300-303, Apr. 1966.
I341 W. 6. Tuel,Jr.,
On thetransformationto
(phase-variable)
IEEE Trans. Automat.Contr., vol. AC-11,
canonicalform,
p. 607, July 1966.
[35] D. S. Raue, A simplified transformation to (phase-variable)
canonical form, IEEE Trans. Automat.Contr., vol. AC-11,
p. 608, July 1966.