Ch2 (3) Handouts 3e PDF

Stability Condition of an LTI
Discrete-Time System

Proof: Assume h[n] is a real sequence

Since the input sequence x[n] is bounded we
have
x[n] Bx <
BIBO Stability Condition - A discretetime is BIBO stable if and only if the output
sequence {y[n]} remains bounded for all
bounded input sequence {x[n]}
An LTI discrete-time system is BIBO stable
if and only if its impulse response sequence
{h[n]} is absolutely summable, i.e.
S=
1
Therefore
h[n] <
n =
Copyright 2005, S. K. Mitra

sgn(h[ n]), if h[ n] 0
x[n] =
K,
if h[ n] = 0
Bx
h[k ] = Bx S
k =
sgn(h[k ])h[k ] = S
k =
By <
Therefore, y[n] B y implies S <

Causality Condition of an LTI

Example - Consider a causal LTI discretetime system with an impulse response

h[n] = ( )n [n]
For this system
1
n
S = n [n] = =
if < 1
1
n =
n =0
Therefore S < if < 1 for which the
system is BIBO stable
If = 1, the system is not BIBO stable
k =
y[0] =

k =
where sgn(c) = +1 if c > 0 and sgn(c) = 1

if c < 0 and K 1
Note: Since x[n] 1, {x[n]} is obviously
bounded
For this input, y[n] at n = 0 is
Consider the input given by
h[k ]x[n k ] h[k ] x[n k ]

Thus, S < implies y[n] B y <

indicating that y[n] is also bounded
To prove the converse, assume y[n] is
bounded, i.e., y[n] B y
y[n] =
Let x1[n] and x2 [n] be two input sequences

with
x1[n] = x2 [n] for n no
The corresponding output samples at n = no
of an LTI system with an impulse response
{h[n]} are then given by

y1[no ] =
k =
k =0
h[k ]x1[no k ] = h[k ]x1[no k ]

1
+
y2 [no ] =

As x1[n] = x2 [n] for n no
h[k ]x1[no k ]
k =
If the LTI system is also causal, then

y1[no ] = y2 [no ]
h[k ]x2 [no k ] = h[k ]x2 [no k ]
k =
k =0
h[k ]x2 [no k ]

k =
k =
10

Example - The factor-of-2 interpolator

defined by
y[n] = xu [n] + 1 ( xu [n 1] + xu [n + 1])
2
is noncausal as it has a noncausal impulse
response given by
[l] = [n]
l =
is a causal system as it has a causal impulse

response given by
{h[ n]} = {0.5 1 0.5}
[l] = [n]
l =
k =

Example - The discrete-time accumulator

defined by
11
k =
is a causal system as it has a causal impulse

response {h[ n]} = {1 2 3 4 }
h[k ] = 0 for k < 0
h[n] =
An LTI discrete-time system is causal

if and only if its impulse response {h[n]} is a
causal sequence
Example - The discrete-time system defined
by
y[n] = 1x[n] + 2 x[n 1] + 3 x[n 2] + 4 x[n 3]
will hold if both sums are equal to zero,

which is satisfied if
y[n] =
h[k ]x1[no k ] = h[k ]x2 [no k ]
k =0

As x1[n] x2 [n] for n > no the only way

the condition
1
k =0
h[k ]x1[no k ] = h[k ]x2 [no k ]

1
This implies
k =
7
h[k ]x1[no k ] = h[k ]x2 [no k ]
12
Finite-Dimensional LTI
Discrete-Time Systems

An important subclass of LTI discrete-time

systems is characterized by a linear constant
coefficient difference equation of the form
Note: A noncausal LTI discrete-time system

with a finite-length impulse response can
often be realized as a causal system by
inserting an appropriate amount of delay
For example, a causal version of the factorof-2 interpolator is obtained by delaying the
input by one sample period:
2
14
16
Classification of LTI DiscreteTime Systems
provided d0 0
y[n] can be computed for all n no ,
knowing x[n] and the initial conditions
y[no 1], y[no 2], ..., y[no N ]
The output y[n] of an FIR LTI discrete-time

system can be computed directly from the
convolution sum as it is a finite sum of
products
Examples of FIR LTI discrete-time systems
are the moving-average system and the
linear interpolators
then it is known as a finite impulse

response (FIR) discrete-time system
The convolution sum description here is
17
Based on Impulse Response Length If the impulse response h[n] is of finite

length, i.e.,
h[ n] = 0 for n < N1 and n > N 2 , N1 < N 2
y[n] =
k =0
If we assume the system to be causal, then

the output y[n] can be recursively computed
using
N d
M p
y[ n] = k y[ n k ] + k x[ n k ]
k =1 d0
k =0 d0
The order of the system is given by

max(N,M), which is the order of the difference
equation
It is possible to implement an LTI system
characterized by a constant coefficient
difference equation as here the computation
involves two finite sums of products
k =0
15
x[n] and y[n] are, respectively, the input and

the output of the system
{d k } and { pk } are constants characterizing
the system
y[n] = xu [ n 1] + 1 ( xu [ n 2] + xu [ n])
13
d k y[n k ] = pk x[n k ]
N2
h[k ]x[n k ]
k = N1
18
If the impulse response is of infinite length,

then it is known as an infinite impulse
response (IIR) discrete-time system
The class of IIR systems we are concerned
with in this course are characterized by
linear constant coefficient difference
equations
19
Example - The discrete-time accumulator

defined by
y[n] = y[n 1] + x[n]
is seen to be an IIR system
20

If we divide the interval of integration into n
equal parts of length T, then the previous
integral can be rewritten as
Example - The familiar numerical

integration formulas that are used to
numerically solve integrals of the form
t
y (nT ) = y ((n 1)T ) +
y (t ) = x( )d
where we have set t = nT and used the

notation
nT
y (nT ) = x()d
can be shown to be characterized by linear

constant coefficient difference equations,
and hence, are examples of IIR systems
22

x()d = T2 {x((n 1)T ) + x(nT )}
( n 1)T
Hence, a numerical representation of the

definite integral is given by
23
reduces to
y[n] = y[n 1] + T {x[n] + x[n 1]}
2
which is recognized as the difference

equation representation of a first-order IIR
discrete-time system
x(nT )}
Let y[n] = y(nT) and x[n] = x(nT)

Then
y (nT ) = y ((n 1)T ) + T {x((n 1)T ) + x(nT )}
nT
y ((n 1)T ) + T {x((n 1)T ) +

2
Using the trapezoidal method we can write
y (nT ) =
x()d
( n 1)T
21
nT
24
25
27
Based on the Output Calculation Process

Nonrecursive System - Here the output can
be calculated sequentially, knowing only
the present and past input samples
Recursive System - Here the output
computation involves past output samples in
addition to the present and past input
samples
Based on the Coefficients Real Discrete-Time System - The impulse

response samples are real valued
Complex Discrete-Time System - The
impulse response samples are complex
valued
26
Correlation of Signals
There are applications where it is necessary

to compare one reference signal with one or
more signals to determine the similarity
between the pair and to determine additional
information based on the similarity
For example, in digital communications, a

set of data symbols are represented by a set
of unique discrete-time sequences
If one of these sequences has been
transmitted, the receiver has to determine
which particular sequence has been received
by comparing the received signal with every
member of possible sequences from the set
28
Similarly, in radar and sonar applications,

the received signal reflected from the target
is a delayed version of the transmitted
signal and by measuring the delay, one can
determine the location of the target
The detection problem gets more
complicated in practice, as often the
received signal is corrupted by additive
random noise
29
Definitions
A measure of similarity between a pair of
energy signals, x[n] and y[n], is given by the
cross-correlation sequence rxy [l] defined by
rxy [l] =
x[n] y[n l],
n =
l = 0, 1, 2, ...
The parameter l called lag, indicates the

time-shift between the pair of signals
30
y[n] is said to be shifted by l samples to the

right with respect to the reference sequence
x[n] for positive values of l, and shifted by l
samples to the left for negative values of
The ordering of the subscripts xy in the
definition of rxy [l] specifies that x[n] is the
reference sequence which remains fixed in
time while y[n] is being shifted with respect
to x[n]
If y[n] is made the reference signal and shift

x[n] with respect to y[n], then the
corresponding cross-correlation sequence is
given by
31
ryx [l] =
n = y[n]x[n l ]
=
m = y[m + l]x[m] = rxy [l ]
Thus, ryx [l] is obtained by time-reversing

rxy [l]
32
The autocorrelation sequence of x[n] is

given by
rxx [l] =
n = x[n]x[n l]
obtained by setting y[n] = x[n] in the
definition of the cross-correlation sequence
rxy [l]
From the relation ryx [l] = rxy [l] it follows

that rxx [l] = rxx [l] implying that rxx [l] is
an even function for real x[n]
An examination of
rxy [l] =
n = x[n] y[n l ]
reveals that the expression for the crosscorrelation looks quite similar to that of the
linear convolution
2
Note: rxx [0] =
n = x [n] = E x , the energy
of the signal x[n]
33
34
x[n ]
y[ n ]
This similarity is much clearer if we rewrite

the expression for the cross-correlation as
rxy [l] =
n = x[n] y[(l n)] = x[l ] * y[l]
The cross-correlation of y[n] with the

reference signal x[n] can be computed by
processing x[n] with an LTI discrete-time
system of impulse response y[n]
35
Likewise, the autocorrelation of x[n] can be

computed by processing x[n] with an LTI
discrete-time system of impulse response
x[n]
x[n ]
x[ n ]
rxx [ n ]
rxy [n ]
36
Properties of Autocorrelation and

CrossCross-correlation Sequences

Consider two finite-energy sequences x[n]

and y[n]
The energy of the combined sequence
a x[n] + y[n l] is also finite and
nonnegative, i.e.,
n= (a x[n] + y[n l])2 = a 2 n= x 2 [n]
Thus
a 2rxx [0] + 2a rxy [l] + ryy [0] 0
where rxx [0] = Ex > 0 and ryy [0] = E y > 0
We can rewrite the equation on the previous
slide as
r [0] r [l]
[a 1] rxx [l] rxy [0] 1a 0
yy
xy

2
+ 2a
n = x[n] y[n l] + n = y [n l ] 0
37
38

Or, in other words, the matrix

rxx [0] rxy [l]
r [l] r [0]
yy
xy
The last inequality on the previous slide

provides an upper bound for the crosscorrelation samples
If we set y[n] = x[n], then the inequality
reduces to
| rxy [l] | rxx [0] = Ex
40


Thus, at zero lag ( l = 0), the sample value

of the autocorrelation sequence has its
maximum value
Now consider the case
y[n] = b x[n N ]
Therefore
E xE y = b 2Ex2 = bEx
Using the above result in
| rxy [l] | rxx [0]ryy [0] = E xE y
we get
where N is an integer and b > 0 is an

arbitrary number
In this case E y = b 2E x
41

is positive semidefinite
2
rxx [0]ryy [0] rxy
[l ] 0
or, equivalently,
| rxy [l] | rxx [0]ryy [0] = E xE y
39
for any finite value of a
b rxx [0] rxy [l] b rxx [0]

42
Correlation Computation
Using MATLAB
Using MATLAB
The cross-correlation sequence rxy [n]
computed using Program 2_7 of text is
plotted below
The cross-correlation and autocorrelation

sequences can easily be computed using
MATLAB
Example - Consider the two finite-length
sequences
x[n] = [1 3 2 1 2 1 4 4 2]
30
Amplitude
20
y[n] = [2 1 4 1 2 3]
10
0
-10
-4
43
-2
0
2
4
Lag index
44
Using MATLAB
Using MATLAB
The autocorrelation sequence rxx [l]

computed using Program 2_7 is shown below
Note: At zero lag, rxx [0] is the maximum
The plot below shows the cross-correlation

of x[n] and y[n] = x[n N ] for N = 4
Note: The peak of the cross-correlation is
precisely the value of the delay N
60
60
40
Amplitude
Amplitude
40
20
0
20
0
-20
-5
0
Lag index
-20
45
46
Using MATLAB
-5
0
Lag index
5
Using MATLAB
The plot below shows the autocorrelation of

x[n] corrupted with an additive random
noise generated using the function randn
Note: The autocorrelation still exhibits a
peak at zero lag
The autocorrelation and the crosscorrelation can also be computed using the
function xcorr
However, the correlation sequences
generated using this function are the timereversed version of those generated using
Programs 2_7 and 2_8
80
60
Amplitude
-10
40
20
0
47
-5
0
Lag index
5
48
Normalized Forms of
Correlation
Correlation Computation for

Power Signals
Normalized forms of autocorrelation and

cross-correlation are given by
rxy [l]
r [l]
xx [l] = xx , xy [l] =
rxx [0]
rxx [0]ryy [0]
The cross-correlation sequence for a pair of

power signals, x[n] and y[n], is defined as
K
1
rxy [l] = lim
x[n] y[n l]
K 2 K + 1 n = K
They are often used for convenience in

comparing and displaying
Note: | xx [l]| 1 and | xy [l]| 1
independent of the range of values of x[n]
and y[n]
49
The autocorrelation sequence of a power

signal x[n] is given by
K
1
rxx [l] = lim
x[n]x[n l]
K 2 K + 1 n = K
50

Periodic Signals

Periodic Signals
~ ~ [l ] and r~~ [l ] are also
Note: Both rxy
xx
periodic signals with a period N
The periodicity property of the
autocorrelation sequence can be exploited to
determine the period of a periodic signal
that may have been corrupted by an additive
random disturbance
The cross-correlation sequence for a pair of

~
~
periodic signals of period N, x[n] and y[n] ,
is defined as
N 1 ~
1
~ ~ [l ] =
rxy
x[n] y~[n l]
N n =0
The autocorrelation sequence of a periodic
signal x~[n] of period N is given by
N 1 ~
1
~ ~ [l ] =
rxx
x[n]x~[n l]
N n =0
51
52

Periodic Signals
Let x~[n] be a periodic signal corrupted by
the random noise d[n] resulting in the signal
w[n] = x~[n] + d [n]
which is observed for 0 n M 1 where
M >> N

Periodic Signals
The autocorrelation of w[n] is given by
rww[l] = M1 nM=01 w[ n]w[n l]
= M1 nM=01 ( x~[n] + d [n])( x~[ n l] + d [n l])

= M1 nM=01 x~[ n] x~[n l] + M1 nM=01 d [n]d [n l]
+ M1 nM=01 x~[n]d [n l] + M1 nM=01 d [n]x~[n l]
~ ~[l ] + r [l ] + r~ [l ] + r ~[l ]
= rxx
dd
xd
dx
53
54

Periodic Signals

Periodic Signals
The autocorrelation rdd [l] of d[n] will show

a peak at l = 0 with other samples having
rapidly decreasing amplitudes with
increasing values of |l |
Hence, peaks of rww[l] for l > 0 are
~ ~ [l ] and can
essentially due to the peaks of rxx
be used to determine whether x~[n] is a
periodic sequence and also its period N if
the peaks occur at periodic intervals
~ ~ [l ]
In the last equation on the previous slide, rxx
is a periodic sequence with a period N and
hence will have peaks at l = 0, N , 2 N , ...
with the same amplitudes as l approaches M
As x~[n] and d[n] are not correlated, samples
~ [l ] and r ~ [l ]
of cross-correlation sequences rxd
dx
are likely to be very small relative to the
~ ~ [l ]
amplitudes of rxx
55
56
Correlation Computation of a
Periodic Signal Using MATLAB
60
40
57
Amplitude
Example - We determine the period of the

sinusoidal sequence x[n] = cos(0.25n) ,
0 n 95 corrupted by an additive
uniformly distributed random noise of
amplitude in the range [0.5, 0.5]
Using Program 2_8 of text we arrive at the
plot of rww[l] shown on the next slide
20
0
-20
-40
-60
58
-20
-10
0
10
Lag index
20
As can be seen from the plot given above,

there is a strong peak at zero lag
However, there are distinct peaks at lags that
are multiples of 8 indicating the period of the
sinusoidal sequence to be 8 as expected
Figure below shows the plot of rdd [l]
8
Amplitude
6
4
2
0
-2
-20
-10
0
10
Lag index
20
As can be seen rdd [l] shows a very strong

peak at only zero lag
59
10

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Stability Condition of an LTI

Stability Condition of an LTI

Proof: Assume h[n] is a real sequence

Copyright 2005, S. K. Mitra

Stability Condition of an LTI

Copyright 2005, S. K. Mitra

Therefore, y[n] B y implies S <

Causality Condition of an LTI

Example - Consider a causal LTI discretetime system with an impulse response

Stability Condition of an LTI

where sgn(c) = +1 if c > 0 and sgn(c) = 1

Consider the input given by

Copyright 2005, S. K. Mitra

h[k ]x[n k ] h[k ] x[n k ]

Stability Condition of an LTI

Thus, S < implies y[n] B y <

Let x1[n] and x2 [n] be two input sequences

Copyright 2005, S. K. Mitra

Causality Condition of an LTI

h[k ]x1[no k ] = h[k ]x1[no k ]

Causality Condition of an LTI

If the LTI system is also causal, then

h[k ]x2 [no k ] = h[k ]x2 [no k ]

h[k ]x2 [no k ]

Copyright 2005, S. K. Mitra

Causality Condition of an LTI

Copyright 2005, S. K. Mitra

Copyright 2005, S. K. Mitra

Example - The factor-of-2 interpolator

is a causal system as it has a causal impulse

{h[ n]} = {0.5 1 0.5}

Causality Condition of an LTI

Example - The discrete-time accumulator

is a causal system as it has a causal impulse

h[k ] = 0 for k < 0

An LTI discrete-time system is causal

will hold if both sums are equal to zero,

h[k ]x1[no k ] = h[k ]x2 [no k ]

Causality Condition of an LTI

As x1[n] x2 [n] for n > no the only way

h[k ]x1[no k ] = h[k ]x2 [no k ]

Causality Condition of an LTI

h[k ]x1[no k ] = h[k ]x2 [no k ]

Copyright 2005, S. K. Mitra

Copyright 2005, S. K. Mitra

Causality Condition of an LTI

An important subclass of LTI discrete-time

Note: A noncausal LTI discrete-time system

Copyright 2005, S. K. Mitra

Classification of LTI DiscreteTime Systems

The output y[n] of an FIR LTI discrete-time

then it is known as a finite impulse

Copyright 2005, S. K. Mitra

Classification of LTI DiscreteTime Systems

Based on Impulse Response Length If the impulse response h[n] is of finite

If we assume the system to be causal, then

The order of the system is given by

Copyright 2005, S. K. Mitra

x[n] and y[n] are, respectively, the input and

Copyright 2005, S. K. Mitra

Copyright 2005, S. K. Mitra

Classification of LTI DiscreteTime Systems

Classification of LTI DiscreteTime Systems