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Linear Time-Invariant System

What is Linear?

y( t ) = H{ax ( t ) + bz( t )} = aH{x ( t )} + bH{z( t )}

What is Time-Invariant?

y( t − a ) = H{x ( t − a )}

How to examine a LTI system?

∞

(a) Use impulse response: y[n ] = ∑ H{x[k ] ⋅ δ[n − k ]}

−∞

(b) Linear constant coefficient or difference equation.

(c) Check block diagram: The system is represented as an

interconnection of three elementary operations: scalar

multiplication, addition, and time-shift.

(d) State-variable description

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.1 Introduction

Objectives:

1. Impulse responses of LTI systems

2. Linear constant-coefficients differential or difference equations of LTI

systems

3. Block diagram representations of LTI systems

4. State-variable descriptions for LTI systems

1. An arbitrary signal is expressed as a weighted superposition of shifted

impulses.

Discrete-time signal x[n]: Fig. 2.1

x [ n ]δ [ n ] = x [0]δ [ n ] x[n] = entire signal; x[k] =

x [ n ]δ [ n − k ] = x [ k ]δ [ n − k ]

specific value of the signal x[n]

at time k.

+ x [1]δ [ n − 1] + x [ 2]δ [ n − 2] + L

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.1 (p. 99)

Graphical example illustrating the representation of a

signal x[n] as a weighted sum of time-shifted impulses.

∞

x [n] = ∑ x [ k ]δ [ n − k ]

k =−∞

(2.1)

Input x[n] Output y[n]

LTI system

H

Output:

⎧ ∞ ⎫

y [ n ] = H {x [ n ]} = H ⎨ ∑ x [ k ]δ [ n − k ]⎬

⎩ k =−∞ ⎭

∞

y [n] = ∑ H {x [ k ]δ [ n − k ]}

k =−∞

Linearity

∞

Linearity

y[n] = ∑ x[k]H{δ [n − k]}

k =−∞

(2.2)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ The system output is a weighted sum of the response of the system to time-

shifted impulses.

For time-invariant system: h[n] = H{δ [n]} ≡ impulse response

H{δ [n − k]} = h[n − k] (2.3) of the LTI system H

∞

y[n] = ∑ x[k]h[n − k]

k =−∞

(2.4) Convolution process:

Fig. 2.2.

2.2

3. Convolution sum:

∞

x [n] ∗ h [n] = ∑ x [k ] h [n − k ]

k =−∞

convolution sum. (a) LTI system with

impulse response h[n] and input x[n].

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.2b

(p. 101)

(b) The

d≡δ

decomposition of

the input x[n] into

a weighted sum of

time-shifted

impulses results

in an output y[n]

given by a

weighted sum of

time-shifted

impulse

responses.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ The output associated with the kth input is expressed as:

H{x[k]δ [n − k]} = x[k]h[n − k]

∞

y [n] = ∑ x [k ] h [n − k ]

k =−∞

Convolution Sum

Consider the discrete-time LTI system model representing a two-path

propagation channel described in Section 1.10. If the strength of the indirect

path is a = ½, then 1

y [n] = x [n] + x [ n − 1]

2

Letting x[n] = δ [n], we find that the impulse response is

⎧ 1, n=0

⎪⎪ 1

h [n] = ⎨ , n =1

⎪2

⎪⎩ 0, otherwise

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Determine the output of this system in response to the input

⎧ 2, n=0

⎪ 4, n =1

⎪

x [n] = ⎨

⎪ −2, n=2

⎪⎩ 0, otherwise Input = 0 for n < 0 and n > 0

<Sol.>

1. Input: x [ n ] = 2δ [ n ] + 4δ [ n − 1] − 2δ [ n − 2]

2. Since time-shifted impulse input time-shifted impulse response output

γ δ [n − k] γ h [n − k]

3. Output: ⎧ 0, n<0

⎪ 2, n=0

y [ n ] = 2h [ n ] + 4h [ n − 1] − 2h [ n − 2] ⎪

⎪ 5, n =1

y [n] = ⎨

⎪ 0, n=2

⎪ −1, n=3

⎪

⎩ 0, n≥4

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

1. Convolution sum:

∞

k = independent variable

y [n] = ∑

k =−∞

x [k ] h [n − k ]

n is treated as a constant by writing n as a subscript on w.

h [n − k] = h [− (k − n)] is a reflected (because of − k) and time-shifted

(by − n) version of h [k].

3. Since ∞ The time shift n determines the

y[n] = ∑ ω [k]

k =−∞

n (2.6) time at which we evaluate the

output of the system.

Example 2.2 Convolution Sum Evaluation by using Intermediate Signal

n

⎛ 3⎞

Consider a system with impulse response h [ n ] = ⎜ ⎟ u [ n ]

⎝4⎠

Use Eq. (2.6) to determine the output of the system at time n = − 5, n = 5, and n =

10 when the input is x [n] = u [n].

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

<Sol.> Fig. 2.3 depicts x[k] superimposed on the reflected and time-shifted

impulse response h[n − k].

6

1. h [n − k]: ⎛4⎞

5 5 k 5 1− ⎜ ⎟

⎛ 3 ⎞ ⎛ 4 ⎞ ⎛ 3 ⎞ ⎝ ⎠ = 3.288

⎧⎛ 3 ⎞ y [5] = ⎜ ⎟ ∑ ⎜ ⎟ = ⎜ ⎟

n−k 3

⎪⎜ ⎟ , k≤n ⎝ 4 ⎠ k =0 ⎝ 3 ⎠ ⎝ 4 ⎠ ⎛4⎞

h [ n − k ] = ⎨⎝ 4 ⎠ 1 − ⎜ ⎟

⎪ ⎝ 3⎠

⎩ 0, otherwise

For n = 10:

2. Intermediate signal wn[k]:

⎧⎛ 3 ⎞10− k

For n = − 5: w−5 [ k ] = 0 ⎪ , 0 ≤ k ≤ 10

w10 [ k ] = ⎨⎝⎜ 4 ⎠⎟

Eq. (2.6) y[− 5] = 0 ⎪ 0,

⎩ otherwise

For n = 5:

Eq. (2.6)

⎧ ⎛ 3 ⎞5− k

⎪ , 0≤k ≤5

w5 [ k ] = ⎨⎜⎝ 4 ⎟⎠

11

⎛4⎞

10 − k 10 10 k 10 1 − ⎜ ⎟

⎪ 0,

10

⎛ 3⎞ ⎛ 3⎞ ⎛ 4⎞ ⎛ 3⎞ ⎝ 3⎠

⎩ otherwise y [10] = ∑ ⎜ ⎟ = ⎜ ⎟ ∑⎜ ⎟ = ⎜ ⎟

k =0 ⎝ 4 ⎠ ⎝ 4 ⎠ k =0 ⎝ 3 ⎠ ⎝ 4 ⎠ 1 − ⎛ 4 ⎞

5− k ⎜ ⎟

5

⎛ 3⎞ ⎝ 3⎠

Eq. (2.6) y [5] = ∑ ⎜ ⎟

k =0 ⎝ 4 ⎠

= 3.831

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.3 (p. 103) Evaluation of Eq. (2.6) in Example 2.2. (a) The input signal x[k]

above the reflected and time-shifted impulse response h[n – k], depicted as a function

of k. (b) The product signal w5[k] used to evaluate y [–5]. (c) The product signal w5[k]

used to evaluate y[5]. (d) The product signal w10[k] used to evaluate y[10].

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

⎧⎛ 3 ⎞ n − k

⎪ , 0≤k ≤n

wn [ k ] = ⎨⎜⎝ 4 ⎟⎠

⎪ 0,

⎩ otherwise

Procedure 2.1: Reflect and Shift Convolution Sum Evaluation

1. Graph both x[k] and h[n − k] as a function of the independent variable k. To

determine h[n − k] , first reflect h[k] about k = 0 to obtain h[− k]. Then shift by

n.

2. Begin with n large and negative. That is, shift h[ − k] to the far left on the time

axis.

3. Write the mathematical representation for the intermediate signal wn[k].

4. Increase the shift n (i.e., move h[n − k] toward the right) until the mathematical

representation for wn[k] changes. The value of n at which the change occurs

defines the end of the current interval and the beginning of a new interval.

5. Let n be in the new interval. Repeat step 3 and 4 until all intervals of times

shifts and the corresponding mathematical representations for wn[k] are

identified. This usually implies increasing n to a very large positive number.

6. For each interval of time shifts, sum all the values of the corresponding wn[k]

to obtain y[n] on that interval.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

∞

y[n ] = ∑ x[k] ⋅ h[n − k]

An example of Convolution Sum

k = −∞

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

It is worthy to note that the term h[n-k] in convolution sum also can be

represented as h[-(k-n)]. Therefore, ∞ ∞

y[n ] = ∑ x[k] ⋅ h[n − k] = ∑ x[k ] ⋅ h[−(k − n)]

k = −∞ −∞

h[k]

h[-k] = h[0-k]

h[n-k] = h[-(k-n)]

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Example 2.13 Analytical Evaluation of Convolution sum

Consider a system with impulse response

⎧1,0 ≤ n ≤ N − 1

h[n ] = u[n ] − u[n − N] = ⎨

⎩ 0, otherwise

0 N-1

The input is x[n ] = a n u[n ]

∞

y[n ] = ∑ x[k ] ⋅ h[−(k − n )]

−∞

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Ans:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.3 Moving-Average System: Reflect-and-shift Convolution Sum

Evaluation

The output y[n] of the four-point moving-average system is related to the input

x[n] according to the formula

1 3

y [n] = ∑ x [n − k ]

4 k =0

The impulse response h[n] of this system is obtained by letting x[n] = δ[n], which

yields

h [ n ] = ( u [ n ] − u [ n − 4 ])

1

Fig. 2.4 (a).

4

Determine the output of the system when the input is the rectangular pulse

defined as

1’st interval: n < 0

x [ n ] = u [ n ] − u [ n − 10] Fig. 2.4 (b). 2’nd interval: 0 ≤ n ≤ 3

<Sol.> 1. Refer to Fig. 2.4. 2.4 Five intervals ! 3’rd interval: 3 < n ≤ 9

2. 1’st interval: wn[k] = 0 4th interval: 9 < n ≤ 12

5th interval: n > 12

3. 2’nd interval: ⎧1/ 4, k = 0

w0 [ k ] = ⎨

For n = 0: ⎩ 0, otherwise Fig. 2.4 (c).

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Evaluation of the convolution sum for Example 2.3.

(a) The system impulse response h[n].

(b) The input signal x[n].

(c) The input above the reflected and time-shifted impulse

response h[n – k], depicted as a function of k.

(d) The product signal wn[k] for the interval of shifts 0 ≤ n ≤ 3.

(e) The product signal wn[k] for the interval of shifts 3 < n ≤ 9.

(f) The product signal wn[k] for the interval of shifts 9 < n ≤ 12.

(g) The output y[n].

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

For n = 1: 6. 5th interval: n > 12 wn[k] = 0

k = 0,1 7. Output:

⎧1/ 4,

w1 [ k ] = ⎨ The output of the system on each interval n is

⎩ 0, otherwise obtained by summing the values of the

For general case: n ≥ 0: corresponding wn[k] according to Eq. (2.6).

⎧1/ 4, 0 ≤ k ≤ n N

wn [ k ] = ⎨ ∑ c = c ( N − M + 1)

⎩ 0, otherwise k=M

4. 3’rd interval: 3 < n ≤ 9 2) For 0 ≤ n ≤ 3:

n

n +1

⎧1/ 4, n − 3 ≤ k ≤ n y [ n ] = ∑1/ 4 =

wn [ k ] = ⎨ k =0 4

⎩ 0, otherwise Fig. 2.4 (g)

3) For 3 < n ≤ 9:

Fig. 2.4 (e). n

∑ 1/ 4 = 4 ( n − ( n − 3) + 1) = 1

1

5. 4th interval: 9 < n ≤ 12 y [n] =

k = n −3

⎧1/ 4, n − 3 ≤ k ≤ 9

wn [ k ] = ⎨ 4) For 9 < n ≤ 12:

⎩ 0, otherwise 9

13 − n

Fig. 2.4 (f).

y [n] = ∑ 1/ 4 =

1

4

( 9 − ( n − 3 ) + 1) 4

=

k = n−3

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.4 First-order Recursive System: Reflect-and-shift Convolution Sum

Evaluation

The input-output relationship for the first-order recursive system is given by

y [ n ] − ρ y [ n − 1] = x [ n ]

y[n] = ρy[n −1] + x[n]

Let the input be given by x [ n ] = b u [ n + 4] = ρ y[n − 2] + ρy[n −1] + x[n]

n

2

We use convolution to find the output of this system, assuming that b ≠ ρ and

that the system is causal.

<Sol.> h[1]=ρ h[0]=1

1. Impulse response: h [ n ] = ρ h [ n − 1] + δ [ n ] (2.7)

Since the system is causal, we have h[n] = 0 for n < 0. For n = 0, 1, 2, …, we

find that h[0] = 1, h[1] = ρ, h[2] = ρ 2, …, or

h [ n ] = ρ nu [ n ]

2. Graph of x[k] and h[n − k]: Fig. 2.5 (a).

⎧bk , −4 ≤ k ⎧ ρ n−k , k≤n

x [k ] = ⎨ and h[n − k ] = ⎨

⎩ 0, otherwise ⎩ 0, otherwise

3. Intervals of time shifts: 1’st interval: n < − 4; 2’nd interval: n ≥ − 4

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.5a&b (p. 109) Evaluation of the convolution sum for Example 2.4. (a) The

input signal x[k] depicted above the reflected and time-shifted impulse response

h[n – k]. (b) The product signal wn[k] for –4 ≤ n.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

4. For n < − 4: wn[k] = 0. Next, we apply the formula for summing a

5. For n ≥ − 4: geometric series of n + 5 terms to obtain

n +5

⎧ b k ρ n − k , −4 ≤ k ≤ n ⎛b⎞

wn [ k ] = ⎨ 1 − ⎜ρ⎟

ρ ⎛ ρ n +5 − b n +5 ⎞

4

⎩ 0, otherwise ⎛ ⎞ ⎝ ⎠

y [n] = ρ n ⎜ ⎟ −4

=b ⎜ ⎟

Fig. 2.5 (b). ⎝b⎠ 1−

b ⎝ ρ −b ⎠

ρ

6. Output:

1) For n < − 4: y[n] = 0. Combining the solutions for each interval of

2) For n ≥ − 4: time shifts gives the system output:

n

⎧ 0, n < −4

y [n] = ∑ bk ρ n − k

k =−4

⎪

y [ n ] = ⎨ −4 ⎛ ρ n + 5 − b n + 5 ⎞

⎪ b ⎜ ρ − b ⎟ , −4 ≤ n

⎩ ⎝ ⎠

k

n

⎛b⎞

y [n] = ρ n ∑ ⎜ ⎟

k =−4 ⎝ ρ ⎠ Fig. 2.5 (c).

Let m = k + 4, then

m− 4 m

⎛b⎞ ⎛ρ⎞ ⎛b⎞

n+4 4 n+4

m=0 ⎝ ρ ⎠

= ρn ⎜ ⎟

⎝b⎠

∑ ⎜ ⎟

m=0 ⎝ ρ ⎠ 0.9 and b = 0.8.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

(c) The output y[n] assuming that p = 0.9 and b = 0.8.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.5 Investment Computation

The first-order recursive system is used to describe the value of an investment

earning compound interest at a fixed rate of r % per period if we set ρ = 1 +

(r/100). Let y[n] be the value of the investment at the start of period n. If there

are no deposits or withdrawals, then the value at time n is expressed in terms of

the value at the previous time as y[n] = ρ y[n − 1]. Now, suppose x[n] is the

amount deposited (x[n] > 0) or withdrawn (x[n] < 0) at the start of period n. In

this case, the value of the amount is expressed by the first-order recursive

equation

y [ n ] = ρ y [ n − 1] + x [ n ]

We use convolution to find the value of an investment earning 8 % per year if

$1000 is deposited at the start of each year for 10 years and then $1500 is

withdrawn at the start each year for 7 years.

<Sol.>

1. Prediction: Account balance to grow for the first 10 year, and to decrease

during next 7 years, and afterwards to continue growing.

2. By using the reflect-and-shift convolution sum evaluation procedure, we can

evaluate y[n] = x[n] ∗ h[n], where x[n] is depicted in Fig. 2.6 and h[n] = ρ n u[n]

is as shown in Example 2.4 with ρ = 1.08.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Cash flow into an investment. Deposits of $1000 are made at the start of

each of the first 10 years, while withdrawals of $1500 are made at the start

of each of the second 10 years.

3. Graphs of x[k] and h[n − k]: Fig. 2.7(a).

4. Intervals of time shifts: 1’st interval: n < 0

2’nd interval: 0 ≤ n ≤ 9

3’rd interval: 10 ≤ n ≤ 16

4th interval: 17 ≤ n

5. Mathematical representations for wn[k] and y[n]:

1) For n < 0: wn[k] = 0 and y[n] = 0

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.7a-d (p. 111)Evaluation of

the convolution sum for Example 2.5. (a)

The input signal x[k] depicted above the

reflected and time-shifted impulse response

h(n – k). (b The product signal wn[k] for 0 ≤

n ≤ 9. (c) The product signal wn[k] for 10 ≤ n

≤ 16. (d) The product signal wn[k] for 17 ≤ n.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2) For 0 ≤ n ≤ 9:

⎪⎧1000 (1.08 )

n−k

, 0≤k ≤n

wn [ k ] = ⎨

⎪⎩ 0, otherwise

Fig. 2.7 (b).

k

Apply the formula for

n n

⎛ 1 ⎞

y [ n ] = ∑1000 (1.08 ) = 1000 (1.08 ) ∑

n−k n summing a geometric

⎜ ⎟

k =0 k = 0 ⎝ 1.08 ⎠ series

n +1

⎛ 1 ⎞

1− ⎜ ⎟

y [ n ] = 1000 (1.08 )

n ⎝ 1.08 ⎠

1

= 12,500 (1.08 )( n +1

)

−1

1−

1.08

3) For 10 ≤ n ≤ 16:

⎧ 1000 (1.08 )n − k , 0 ≤ k ≤ 9

⎪⎪

wn [ k ] = ⎨ −1500 (1.08 ) , 10 ≤ k ≤ n

n−k

Fig. 2.7 (c).

⎪ 0, otherwise

⎪⎩

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

9 n m = k − 10

y [ n ] = ∑1000 (1.08 ) − ∑1500 (1.08 )

n−k n−k

k =0 k =0

Apply the

k n −10 m

⎛ 1 ⎞

9

⎛ 1 ⎞ formula for

= 1000(1.08) ∑ ⎜ ⎟ − 1500(1.08) ∑ ⎜

n −10

⎟

n

k =0 m =0

geometric

⎛ ⎛ 1 ⎞10 ⎞ ⎛ ⎛ 1 ⎞ n −9 ⎞ series

⎜1− ⎜ ⎟ ⎟ ⎜1− ⎜ ⎟ ⎟

n⎜ ⎝ 1.08 ⎠ ⎟ n −10 ⎜ ⎝ 1.08 ⎠ ⎟

y[n] = 1000(1.08) ⎜ ⎟ − 1500(1.08) ⎜ ⎟

1 1

⎜ 1− ⎟ ⎜ 1− ⎟

⎜ 1.08 ⎟ ⎜ 1.08 ⎟

⎝ ⎠ ⎝ ⎠

= 7246.89 (1.08 ) − 18,750 (1.08 )

n

( n −9

)

− 1 , 10 ≤ n ≤ 16

4) For 17 ≤ n :

⎧ 1000 (1.08 )n − k , 0≤k ≤9

⎪⎪

wn [ k ] = ⎨ −1500 (1.08 ) , 10 ≤ k ≤ 16

n−k

Fig. 2.7 (d).

⎪ 0, otherwise

⎪⎩

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

9 16

y [ n ] = ∑1000 (1.08 ) − ∑ 1500 (1.08 )

n−k n−k

k =0 k =10

10 7

n −9

1.08 − 1 1.08 − 1

= 3,340.17 (1.08 ) , 17 ≤ n

n

the investment at the start of each

period, by combining the results for

each of the four intervals.

(e) The output y[n] representing the

value of the investment immediately

after the deposit or withdrawal at the

start of year n.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.4 The Convolution Integral

1. A continuous-time signal can be expressed as a weighted superposition of

time-shifted impulses.

∞

The sifting property of the impulse !

∫

x(t) = x(τ )δ (t - τ )dτ (2.10)

-∞

LTI system

Output: H

y ( t ) = H {x ( t )} = H {∫

−∞

∞

x (τ ) δ ( t − τ ) dτ } Linearity property

∞

y(t) = ∫ x(τ )H{δ (t - τ )}dτ (2.10)

-∞

3. h(t) = H{δ (t)} ≡ impulse response of the LTI system H

If the system is also time invariant, then

A time-shifted impulse

H{δ (t - τ )} = h(t - τ ) (2.11) generates a time-shifted

∞ impulse response output

y(t) = ∫ x(τ )h(t − τ )dτ (2.12)

-∞

Fig. 2.9.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ Convolution integral:

∞

x ( t ) ∗ h ( t ) = ∫ x (τ ) h ( t − τ ) dτ

−∞

1. Convolution integral:

∞

y(t) = ∫ x(τ )h(t − τ )dτ (2.13)

-∞

2. Define the intermediate signal:

τ = independent

wt (τ ) = x (τ ) h ( t − τ ) variable, t = constant

3. Output:

∞ The time shift t determines the

y(t) = ∫ w t (τ )dτ (2.14) time at which we evaluate the

-∞

output of the system.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Procedure 2.2: Reflect and Shift Convolution Integral Evaluation

1. Graph both x(τ) and h(t − τ) as a function of the independent variable τ . To

obtain h(t − τ), reflect h(τ) about τ = 0 to obtain h( − τ ) and then h( − τ ) shift by

t.

2. Begin with the shift t large and negative. That is, shift h( − τ ) to the far left on

the time axis.

3. Write the mathematical representation for the intermediate signal wt (τ).

4. Increase the shift t (i.e., move h(t − τ) toward the right) until the mathematical

representation for wt (τ) changes. The value of t at which the change occurs

defines the end of the current set and the beginning of a new set.

5. Let t be in the new set. Repeat step 3 and 4 until all sets of shifts t and the

corresponding mathematical representations for wt (τ) are identified. This

usually implies increasing t to a very large positive number.

6. For each sets of shifts t, integrate wt (τ) from τ = − ∞ to τ = ∞ to obtain y(t).

Example 2.6 Reflect-and-shift Convolution Evaluation

Given x ( t ) = u ( t − 1) − u ( t − 3) and h ( t ) = u ( t ) − u ( t − 2 ) as depicted in Fig. 2-10,

10

Evaluate the convolution integral y(t) = x(t) ∗ h(t).

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Input signal and LTI system impulse response for Example 2.6.

<Sol.>

1. Graph of x(τ) and h(t − τ): Fig. 2.11 (a).

2. Intervals of time shifts: Four intervals

1’st interval: t < 1

2’nd interval: 1 ≤ t < 3

3’rd interval: 3 ≤ t < 5

4th interval: 5 ≤ t

3. First interval of time shifts: t < 1 wt(τ) = 0

4. Second interval of time shifts: 1 ≤ t < 3

⎧1, 1 < τ < t

wt (τ ) = ⎨ Fig. 2.11 (b).

⎩ 0, otherwise

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.11

t≡τ

(p. 118)

Evaluation of the

convolution integral

for Example 2.6. (a)

The input x(τ)

depicted above the

reflected and time-

shifted impulse

response. (b) The

product signal wt(τ)

for 1 ≤ t < 3. (c)

The product signal

wt(τ) for 3 ≤ t < 5.

(d) The system

output y(t).

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Linear Time-Invariant System

5. Third interval: 3 ≤ t < 5

⎧1, t − 2 < τ < 3

wt (τ ) = ⎨ Fig. 2.11 (c).

⎩ 0, otherwise

6. Fourth interval: 5 ≤ t wt(τ) = 0

7. Convolution integral:

1) For t < 1 and t ≥ 5: y(t) = 0

2) For second interval 1 ≤ t < 3, y(t) = t − 1

3) For third interval 3 ≤ t < 5, y(t) = 3 − (t − 2)

⎧ 0, t <1

⎪ t − 1, 1 ≤ t < 3 Figure 2.12 (p. 119)

⎪

y (t ) = ⎨ RC circuit system with the

⎪5 − t , 3 ≤ t < 5 voltage source x(t) as input and

⎪⎩ 0, t ≥5 the voltage measured across the

capacitor y(t), as output.

Example 2.7 RC Circuit Output

For the RC circuit in Fig. 2.12,2.12 assume that the circuit’s time constant is RC = 1

sec. Ex. 1.21 shows that the impulse response of this circuit is h(t) = e − t u(t).

Use convolution to determine the capacitor voltage, y(t), resulting from an input

voltage x(t) = u(t) − u(t − 2).

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Linear Time-Invariant System

<Sol.> RC circuit is LTI system, so y(t) = x(t) ∗ h(t).

1. Graph of x(τ) and h(t − τ): Fig. 2.13 (a).

⎧1, 0 < τ < 2 ⎧⎪ e −(t −τ ) , τ <t

x (τ ) = ⎨ and h (t − τ ) = e −( t −τ )

u (t − τ ) = ⎨

⎩0, otherwise ⎪⎩ 0, otherwise

2. Intervals of time shifts: Three intervals

1’st interval: t < 0

2’nd interval: 0 ≤ t < 2

3’rd interval: 2 ≤ t

3. First interval of time shifts: t < 0 wt(τ) = 0

4. Second interval of time shifts: 0 ≤ t < 2

⎧⎪ e−( t −τ ) , 0 < τ < t

For t > 0, wt (τ ) = ⎨ Fig. 2.13 (b).

⎪⎩ 0, otherwise

5. Third interval: 2 ≤ t

⎧⎪ e−( t −τ ) , 0 < τ < 2

wt (τ ) = ⎨ Fig. 2.13 (c).

⎪⎩ 0, otherwise

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.13 (p. 120)

Evaluation of the convolution integral for Example 2.7. (a)

The input x(τ) superimposed over the reflected and time-

shifted impulse response h(t – τ), depicted as a function of τ.

(b) The product signal wt(τ) for 0≤ t < 2. (c) The product

signal wt(τ) for t ≥ 2. (d) The system output y(t).

t≡τ

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

6. Convolution integral:

1) For t < 0: y(t) = 0

2) For second interval 0 ≤ t < 2:

y (t ) = ∫ e

t

0

− ( t −τ )

dτ = e −t

(e ) = 1 − e

τ t

0

−t

y ( t ) = ∫ e−( t −τ ) dτ = e− t eτ

2

0 ( ) 2

0

= ( e2 − 1) e− t

⎧ 0, t<0

⎪⎪

y ( t ) = ⎨ 1 − e− t , 0≤t <2 Fig. 2.13 (d).

⎪ 2

⎪⎩( e − 1) e ,

−t

t≥2

Suppose that the input x(t) and impulse response h(t) of an LTI system are,

respectively, given by

x ( t ) = ( t − 1) ⎡⎣u ( t − 1) − u ( t − 3) ⎤⎦ and h ( t ) = u ( t + 1) − 2u ( t − 2 )

Find the output of the system.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

<Sol.>

1. Graph of x(τ) and h(t − τ): Fig. 2.14 (a).

2. Intervals of time shifts: Five intervals

1’st interval: t < 0

2’nd interval: 0 ≤ t < 2

3’rd interval: 2 ≤ t < 3

4th interval: 3 ≤ t < 5

5th interval: t ≥ 5

3. First interval of time shifts: t < 0 wt(τ) = 0

4. Second interval of time shifts: 0 ≤ t < 2

⎧τ − 1, 1 < τ < t + 1

wt (τ ) = ⎨ Fig. 2.14 (b).

⎩ 0, otherwise

5. Third interval of time shifts: 2 ≤ t < 3

⎧τ − 1, 1 < τ < 3

wt (τ ) = ⎨ Fig. 2.14 (c).

⎩ 0, otherwise

6. Fourth interval of time shifts: 3 ≤ t < 5

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.14 (p. 121) Evaluation of the convolution integral for Example 2.8. (a) The

input x(τ) superimposed on the reflected and time-shifted impulse response h(t – τ),

depicted as a function of τ. (b) The product signal wt(τ) for 0 ≤ t < 2. (c) The product

signal wt(τ) for 2 ≤ t < 3. (d) The product signal wt(τ) for 3 ≤ t < 5. (e) The product

signal wt(τ) for t ≥ 5. The system output y(t).

t≡τ

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

⎧ − (τ − 1) , 1 < τ < t − 2

⎪

wt (τ ) = ⎨τ − 1, t − 2 <τ < 3 Fig. 2.14 (d).

⎪ 0,

⎩ otherwise

7. Fifth interval of time shifts: t ≥ 5

⎧ − (τ − 1) , 1 < τ < 3

wt (τ ) = ⎨ Fig. 2.14 (e).

⎩ 0, otherwise

8. Convolution integral:

1) For t < 0: y(t) = 0

2) For second interval 0 ≤ t < 2:

t +1 ⎛τ 2 t +1 ⎞ t2

y ( t ) = ∫ (τ − 1) dτ = ⎜ − τ 1 ⎟ =

1

⎝ 2 ⎠ 2

3) For third interval 2 ≤ t < 3: y(t) = 2

4) For third interval 3 ≤ t < 5:

t −2

y (t ) = −∫ (τ − 1) dτ + ∫ (τ − 1) dτ = − t 2 + 6t − 7

3

1 t −2

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Linear Time-Invariant System

⎧ 0, t<0

⎪ 2

⎪ t

, 0≤t <2

⎪ 2

∴ y (t ) = ⎨ Fig. 2.14 (f).

⎪ 2, 2≤t <3

⎪ −t 2 + 6t − 7, 3 ≤ t < 5

⎪

⎩ −2, t ≥5

Example 2.9 Radar range Measurement: Propagation Model

We identify an LTI system describing the propagation of the pulse. Let the

transmitted RF pulse be given by

⎧sin (ω c t ) , 0 ≤ t ≤ T0

x (t ) = ⎨

⎩ 0, otherwise

as shown in Fig. 2.16 (a).

Suppose we transmit an impulse from the radar to determine the impulse

response of the round-trip propagation to the target. The impulse is delay in

time and attenuated in amplitude, which results in the impulse response h(t) =

a δ (t − β ), where a represents the attenuation factor and β the round-trip time

delay. Use the convolution of x(t) with h(t) to verify this result.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

<Sol.>

1. Find h(t − τ):

Reflecting h(t) = a δ (t − β ) about τ = 0 gives h( − τ) = a δ (τ + β ), since the

impulse has even symmetry.

2. Shift the independent variable τ by − t to obtain h(t −τ ) = a δ (τ − (t − β )).

3. Substitute this equation for h(t − τ ) into the convolution integral of Eq. (2.12),

and use the shifting property of the impulse to obtain the received signal as

r ( t ) = ∫ x (τ ) aδ (τ − ( t − β ) ) dτ = ax ( t − β )

∞

−∞

Radar range measurement. (a) Transmitted RF pulse. (b) The received echo

is an attenuated and delayed version of the transmitted pulse.

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Linear Time-Invariant System

Example 2.10 Radar range Measurement (continued): The Matched Filter

In Ex. 2.9, the received signal is contaminated with noise (e.g., the thermal noise,

discussed in section 1.9) and may weak. For these reasons, the time delay is

determined by passing the received signal through an LTI system commonly

referred to as a matched filter. An important property of this system is that it

optimally discriminates against certain types of noise in the received waveform.

The impulse response of the matched filter is a reflected, or time-reversed,

version of the transmitted signal x(t). That is, hm(t) = x(− t), so

⎧ − sin (ω c t ) , −T0 ≤ t ≤ 0

hm ( t ) = ⎨

⎩ 0, otherwise

As shown in Fig. 2.17 (a). The terminology “matched filter” refers to the fact

that the impulse response of the radar receiver is “matched” to the transmitted

signal.

To estimate the time delay from the matched filter output, we evaluate the

convolution y ( t ) = r ( t ) ∗ hm ( t )

<Sol.>

1. Intermediate signal: wt (τ ) = r (τ ) hm ( t − τ )

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Linear Time-Invariant System

(a) Impulse response of

the matched filter for

processing the received

signal. t≡τ

(b) The received signal r(τ)

superimposed on the reflected

and time-shifted matched filter

impulse response hm(t – τ),

depicted as functions of τ. (c)

Matched filter output x(t).

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2. The received signal r(τ) and the reflected, time-shifted impulse response

hm(t − τ) are shown in Fig. 2.17(b).

♣ hm(τ) = reflected version of x(t) ⇒ hm(t − τ) = x( τ - t)

3. Intervals of time shifts: Three intervals

1’st interval: t < β − T0

2’nd interval: β − T0 < t ≤ β

3’rd interval: β < t ≤ β + T0

4th interval: t ≥ β + T0

4. First interval of time shifts: t < β − T0 wt(τ) = 0 and y(t) = 0

5. Second interval of time shifts: β − T0 < t ≤ β

⎪⎧ a sin ( wc (τ − β ) ) sin ( wc (τ − t ) ) , β < τ < t + T0

wt (τ ) = ⎨

⎪⎩ 0, otherwise

t +T0

y (t ) = ∫

β

t + T0

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Linear Time-Invariant System

∴ y (t ) = ( a / 2 ) cos ( wc ( t − β ) ) ⎡⎣t − ( β − T0 ) ⎤⎦ + ( a / 4ω c ) ⎡⎣sin ( wc ( t + 2T0 − β ) ) − sin ( wc ( β − t ) ) ⎤⎦

6. 3’rd interval of time shifts: β < t ≤ β + T0

⎧ a sin (ω c (τ − β ) ) sin (ω c (τ − t ) ) , t < τ < β + Τ0

wt (τ ) = ⎨

⎩ 0, otherwise

β +Τ0

y (t ) = ∫ [( a / 2)cos (ω c (t − β ) ) + ( a / 2)cos (ω c (2τ − β − t ) )]dτ

t

t

7. 4th interval of time shifts: t ≥ β + T0 wt(τ) = 0 and y(t) = 0

8. The output of matched filter:

⎧( a / 2) [ t − ( β − Τ0 )] cos (ω c (t − β ) ) , β − Τ0 < t ≤ β

⎪

y (t ) = ⎨ ( a / 2) [ β − t + Τ0 )] cos (ω c (t − β ) ) , β < t < β + Τ0

⎪ 0, otherwise

⎩

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.6 Interconnection of LTI Systems

2.6.1 Parallel Connection of LTI Systems

Figure 2.18 (p. 128)

1. Two LTI systems: Fig. 2.18(a). Interconnection of two LTI systems. (a)

Parallel connection of two systems. (b)

Equivalent system.

2. Output: y (t ) = y (t ) + y (t )

1 2

= x(t ) ∗ h1 (t ) + x(t ) ∗ h2 (t )

∞ ∞

y (t ) = ∫ x(τ )h1 (t − τ )dτ + ∫ x(τ )h2 (t − τ )dτ

−∞ −∞

∞

y (t ) = ∫ x(τ ){h1 (t − τ ) + h2 (t − τ )} dτ where h(t) = h1(t) + h2(t)

−∞

∞

= ∫ x(τ )h(t − τ )dτ = x(t ) ∗ h(t ) Fig. 2.18(b)

−∞

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Linear Time-Invariant System

♣ Distributive property for Continuous-time case:

x(t) ∗ h1(t) + x(t) ∗ h2 (t) = x(t) ∗ {h1(t) + h2 (t)} (2.15)

♣ Distributive property for Discrete-time case:

x[n] ∗ h1[n] + x[n] ∗ h2 [n] = x[n] ∗ {h1[n] + h2 [n]} (2.16)

2.6.2 Cascade Connection of LTI Systems

1. Two LTI systems: Fig. 2.19(a).

Interconnection of two LTI systems. (a) Cascade connection of two systems.

(b) Equivalent system. (c) Equivalent system: Interchange system order.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2. The output is expressed in terms of z(t) as

y(t) = z(t) ∗ h2 (t) (2.17)

∞

y(t) = ∫ z(τ )h2 (t − τ )dτ (2.18)

-∞

∞

z(τ ) = x(τ ) ∗ h1(τ ) = ∫ x(ν )h1(τ − ν )dν (2.19)

-∞

∞ ∞

y (t ) = ∫ ∫ x ( v )h1 (τ − v )h2 (t − τ )dvdτ Change of variable

−∞ −∞

η=τ−ν

y(t) = ∫ x(ν ) ∫ h1(η )h2 (t − ν − η )dη ⎤dν

⎡ ∞ ∞

-∞ ⎢⎣ −∞ ⎥⎦ (2.20)

∞

h(t − v) = ∫ h1 (η )h2 (t − v − η )dη

−∞

∞

y(t) = ∫ x(ν )h(t − ν )dν = x(t) ∗ h(t) (2.21) Fig. 2.19(b).

-∞

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Linear Time-Invariant System

{x(t) ∗ h1(t)} ∗ h2 (t) = x(t) ∗ {h1(t) ∗ h2 (t)} (2.22)

4. Commutative property:

Write h(t) = h1(t) ∗ h2(t) as the integral

∞ Change of variable

h(t ) = ∫ h1 (τ )h2 (t − τ )dτ ν=t−τ

−∞

∞

h(t) = ∫ h1(t − ν )h2 (ν )dν = h2 (t) ∗ h1(t) (2.23) Fig. 2.19(c).

-∞

Interchanging the order of the LTI systems in the cascade without affecting

the result:

x(t ) ∗ {h1 (t ) ∗ h2 (t )} = x(t ) ∗ {h2 (t ) ∗ h1 (t )} ,

Commutative property for continuous-time case:

h1(t) ∗ h2 (t) = h2 (t) ∗ h1(t) (2.24)

5. Associative property for discrete-time case:

{x[n] ∗ h1[n]} ∗ h2 [n] = x[n] ∗ {h1[n] ∗ h2 [n]} (2.25)

Commutative property for discrete-time case:

h1[n] ∗ h2 [n] = h2 [n] ∗ h1[n] (2.26)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.11 Equivalent System to Four Interconnected Systems

Consider the interconnection of four LTI systems, as depicted in Fig. 2.20. 2.20 The

impulse responses of the systems are

h1[n] = u[n], h2 [n] = u[n + 2] − u[n], h3 [n] = δ [n − 2], and h4 [n] = α nu[n].

Find the impulse response h[n] of the overall system.

Figure 2.20

(p. 131)

Interconnection of

systems for Example

2.11.

<Sol.>

1. Parallel combination of h1[n] and h2[n]:

h12[n] = h1[n] + h2[n] Fig. 2.21 (a).

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Figure 2.21

(p. 131)

(a) Reduction of

parallel combination of

LTI systems in upper

branch of Fig. 2.20. (b)

Reduction of cascade

of systems in upper

branch of Fig. 2.21(a).

(c) Reduction of

parallel combination of

systems in Fig. 2.21(b)

to obtain an

equivalent system

for Fig. 2.20.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2. h12[n] is in series with h3[n]:

h123[n] = h12[n] ∗ h3[n]

h123[n] = (h1[n] + h2[n]) ∗ h3[n] Fig. 2.21 (b).

3. h123[n] is in parallel with h4[n]:

h[n] = h123[n] − h4[n]

h[n] = (h1[n] + h2 [n]) ∗ h3 [n] − h4 [n], Fig. 2.21 (c).

Thus, substitute the specified forms of h1[n] and h2[n] to obtain

h12 [n] = u[n] + u[n + 2] − u[n]

= u[n + 2]

Convolving h12[n] with h3[n] gives

h123[n] = u[n + 2] ∗ δ [n − 2]

= u[n]

{ }

h[n] = 1 − α n u[n].

♣ Table 2.1 summarizes the interconnection properties presented in this section.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Impulse Response

2.7.1 Memoryless LTI Systems

1. The output of a discrete-time LTI system:

∞

y[n] = h[n] ∗ x[n] = ∑ h[k ]x[n − k ]

k =−∞

(2.27)

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Linear Time-Invariant System

2. To be memoryless, y[n] must depend only on x[n] and therefore cannot

depend on x[n − k] for k ≠ 0.

A discrete-time LTI system is memoryless if and only if

h[k ] = cδ [k ] c is an arbitrary constant

♣ Continuous-time system:

1. Output:

∞

y (t ) = ∫ h(τ )x(t − τ )dτ ,

−∞

h(τ ) = cδ (τ ) c is an arbitrary constant

2.7.2 Causal LTI Systems

The output of a causal LTI system depends only on past or present values

of the input.

♣ Discrete-time system:

1. Convolution sum: y[n ] = L + h[−2]x[n + 2] + h[−1]x[n + 1] + h[0]x[n ]

+ h[1]x[n − 1] + h[2]x[n − 2] + L.

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Linear Time-Invariant System

2. For a discrete-time causal LTI system,

h[k ] = 0 for k < 0

3. Convolution sum in new form:

∞

y[n] = ∑ h[k ]x[n − k ].

k =0

♣ Continuous-time system:

1. Convolution integral: 3. Convolution integral in new form:

∞ ∞

y (t ) = ∫ h(τ ) x(t − τ )dτ . y(t) = ∫ h(τ ) x(t −τ )dτ .

−∞ 0

h(τ ) = 0 for τ < 0

2.7.3 Stable LTI Systems

A system is BIBO stable if the output is guaranteed to be bounded for every

bounded input.

♣ Discrete-time case: Input x[ n] ≤ M x ≤ ∞ Output: y[n] ≤ M y ≤ ∞

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Linear Time-Invariant System

1. The magnitude of output:

∞

y[n] = h[n] ∗ x[n] = ∑ h[k ]x[n − k ]

k =−∞

∞

a+b ≤ a + b

y[n] ≤ ∑

k =−∞

h[k ]x[n − k ]

∞

ab = a b

y[n] ≤ ∑

k =−∞

h[k ] x[n − k ]

x[n] ≤ M x ≤ ∞ x[n − k ] ≤ M x

and it follows that

∞

y[n] ≤ Mx ∑ h[k] (2.28)

k =−∞

Hence, the output is bounded, or |y[n]| ≤ ∞ for all n, provided that the impulse

response of the system is absolutely summable.

3. Condition for impulse response of a stable discrete-time LTI system:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

∞

∑

k =−∞

h[k ] < ∞.

♣ Continuous-time case:

Condition for impulse response of a stable continuous-time LTI system:

∞

∫0

h(τ ) dτ < ∞.

The first-order system is described by the difference equation

y[n] = ρ y[n − 1] + x[n]

and has the impulse response

h[n] = ρ nu[n]

Is this system causal, memoryless, and BIBO stable?

<Sol.>

1. The system is causal, since h[n] = 0 for n < 0.

2. The system is not memoryless, since h[n] ≠ 0 for n > 0.

3. Stability: Checking whether the impulse response is absolutely summable?

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

∞ ∞ ∞

∑ h[k ] = ∑ ρ = ∑ ρ < ∞

k k

if and only if |ρ| < 1

k =−∞ k =0 k =0

◆ Special case:

A system can be unstable even though the impulse response has a finite value.

1. Ideal integrator:

t

y(t) = ∫ x(τ )dτ (2.29)

−∞

h(t) is not absolutely integrable

Ideal integrator is not stable!

2. Ideal accumulator:

n

y[n] = ∑ x[k ]

k =−∞

h[n] is not absolutely summable

Ideal accumulator is not stable!

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.7.4 Invertible Systems and Deconvolution

A system is invertible if the input to the system can be recovered from the

output except for a constant scale factor.

1. h(t) = impulse response of LTI system, Fig. 2.24.

2. hinv(t) = impulse response of LTI inverse system

Cascade of LTI system with impulse response h(t) and inverse system with impulse response h-1(t).

4. An inverse system performs deconvolution.

x(t ) ∗ (h(t ) ∗ hin v (t )) = x(t ). Continuous-time

case

h(t ) ∗ h inv (t ) = δ (t ) (2.30)

5. Discrete-time case: h[n] ∗ hinv [n] = δ [n] (2.31)

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Linear Time-Invariant System

Example 2.13 Multipath Communication Channels: Compensation by means of

an Inverse System

Consider designing a discrete-time inverse system to eliminate the distortion

associated with multipath propagation in a data transmission problem. Assume

that a discrete-time model for a two-path communication channel is

y[n] = x[n] + ax[n − 1].

Find a causal inverse system that recovers x[n] from y[n]. Check whether this

inverse system is stable.

<Sol.>

1. Impulse response:

⎧1, n=0

⎪

h[n] = ⎨a, n =1

⎪ 0, otherwise

⎩

2. The inverse system hinv[n] must satisfy h[n] ∗ hinv[n] = δ[n].

hinv [n] + ahinv [n − 1] = δ [n]. (2.32)

1) For n < 0, we must have hinv[n] = 0 in order to obtain a causal inverse

system

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Linear Time-Invariant System

2) For n = 0, δ[n] = 1, and eq. (2.32) implies that

hinv [n] + ahinv [n − 1] = 0,

hinv [n] = −ahinv [n − 1] (2.33)

3. Since hinv[0] = 1, Eq. (2.33) implies that hinv[1] = − a, hinv[2] = a2, hinv[3] = − a3,

and so on.

The inverse system has the impulse response

hinv [n] = (− a ) n u[n]

4. To check for stability, we determine whether hinv[n] is absolutely summable,

which will be the case if

∞ ∞

∑ h [k ] = ∑

inv k

a is finite.

k =−∞ k =−∞

★ Table 2.2 summarizes the relation between LTI system properties and

impulse response characteristics.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

1. The step response is defined as the output due to a unit step input signal.

2. Discrete-time LTI system:

Let h[n] = impulse response and s[n] = step response.

∞

s[n] = h[n]* u[n] = ∑ h[k ]u[n − k ].

k =−∞

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

n

s[n] = ∑ h[k ].

k =−∞

♣ Continuous-time LTI system:

t

s(t) = ∫ h(τ )dτ (2.34)

−∞

The step response s(t) is the running integral of the impulse response h(t).

◆ Express the impulse response in terms of the step response as

d

h[n] = s[n] − s[n − 1] and h(t ) = s (t )

dt

Example 2.14 RC Circuit: Step Response

The impulse response of the RC circuit depicted in Fig. 2.12 is Figure 2.12

(p. 119)

RC circuit system with the voltage

capacitor y(t), as output.

RC

Find the step response of the circuit.

<Sol.>

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

1. Step response:

τ

t 1 − RC

s (t ) = ∫ e u (τ )dτ .

−∞ RC

⎧ 0, t<0

⎪

s (t ) = ⎨ 1 t − τ

⎪ ∫

⎩ RC −∞

e RC u (τ )dτ t≥0

⎧ 0, t<0

⎪

s (t ) = ⎨ 1 t − τ

⎪

⎩ RC 0 ∫ e RC dτ t ≥ 0

⎧⎪ 0, t<0

=⎨ −

t

⎪⎩1 − e RC , t ≥ 0 Figure 2.25 (p. 140)

RC circuit step response for RC = 1 s.

Fig. 2.25

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Linear Time-Invariant System

2.9 Differential and Difference Equation Representations of

LTI Systems

1. Linear constant-coefficient differential equation:

N

dk M

dk Input = x(t), output = y(t)

∑

k =0

ak k y(t) =∑ bk k x(t)

dt k =0 dt

(2.35)

N M

Input = x[n], output = y[n]

∑ ak y[n − k] =∑ bk x[n − k]

k =0 k =0

(2.36)

♣ The order of the differential or difference equation is (N, M), representing the

number of energy storage devices in the system.

Ex. RLC circuit depicted in Fig. 2.26.

2.26 Often, N ≥ M, and the

1. Input = voltage source x(t), output = loop current order is described

2. KVL Eq.: using only N.

d 1 t

Ry ( t ) + L y ( t ) + ∫ y (τ ) dτ = x ( t )

dt C −∞

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example of an RLC circuit described by a differential equation.

1 d d2 d

y (t ) + R y (t ) + L 2 y (t ) = x (t ) N=2

C dt dt dt

Ex. Accelerator modeled in Section 1.10:

ωn d d2

ω y (t ) +

2

n y (t ) + 2 y (t ) = x (t ) N=2

Q dt dt

where y(t) = the position of the proof mass, x(t) = external acceleration.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Ex. Second-order difference equation:

1

y[n] + y[n − 1] +

y[n − 2] = x[n] + 2x[n − 1] (2.37) N=2

4

♣ Difference equations are easily rearranged to obtain recursive formulas for

computing the current output of the system from the input signal and the

past outputs.

Ex. Eq. (2.36) can be rewritten as

M N

1 1

y [ n] = ∑ bk [

x n − k ] − ∑ a y [n − k ]

k

a0 k =0 a0 k =1

Ex. Consider computing y[n] for n ≥ 0 from x[n] for the second-order difference

equation (2.37).

<Sol.>

1. Eq. (2.37) can be rewritten as

1

y[n] = x[n] + 2x[n − 1] − y[n − 1] − y[n − 2] (2.38)

4

2. Computing y[n] for n ≥ 0:

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Linear Time-Invariant System

1

y[0] = x[0] + 2x[ −1] − y[ −1] − y[ −2] (2.39)

4

1

y[1] = x[1] + 2x[0] − y[0] − y[−1] (2.40)

4

1

y [ 2] = x [ 2] + 2 x [1] − y [1] − y [ 0]

4

1

y [3] = x [3] + 2 x [ 2] − y [ 2] − y [1]

4

♣ Initial conditions: y[ − 1] and y[ − 2].

◆ The initial conditions for Nth-order difference equation are the N values

y [ − N ] , y [ − N + 1] ,..., y [ −1] ,

◆ The initial conditions for Nth-order differential equation are the N values

d d2 d N −1

y (t ) t =0 −, y (t ) , 2 y (t ) , ..., N −1

y (t )

dt t =0− dt t = 0− dt t =0−

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.15 Recursive Evaluation of a Difference Equation

Find the first two output values y[0] and y[1] for the system described by Eq.

(2.38), assuming that the input is x[n] = (1/2)nu[n] and the initial conditions are

y[ − 1] = 1 and y[ − 2] = − 2.

<Sol.>

1. Substitute the appropriate values into Eq. (2.39) to obtain

1 1

y [ 0 ] = 1 + 2 × 0 − 1 − × ( −2 ) =

4 2

2. Substitute for y[0] in Eq. (2.40) to find

1 1 1 3

y [1] = + 2 ×1 − − × (1) = 1

2 2 4 4

Example 2.16 Evaluation of a Difference Equation by means of a Computer

A system is described y the difference equation

y [ n ] − 1.143 y [ n − 1] + 0.4128 y [ n − 2] = 0.0675 x [ n ] + 0.1349 x [ n − 1] + 0.675 x [ n − 2]

Write a recursive formula that computes the present output from the past

outputs and the current inputs. Use a computer to determine the step response

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Linear Time-Invariant System

of the system, the system output when the input is zero and the initial

conditions are y[− 1] = 1 and y[− 2] = 2, and the output in response to the

sinusoidal inputs x1[n] = cos(πn/10), x2[n] = cos(πn/5), and x3[n] = cos(7πn/10),

assuming zero initial conditions. Last, find the output of the system if the input

is the weekly closing price of Intel stock depicted in Fig. 2.27,

2.27 assuming zero

initial conditions.

<Sol.>

1. Recursive formula for y[n]:

y [ n ] = 1.143 y [ n − 1] − 0.4128 y [ n − 2] + 0.0675 x [ n ] + 0.1349 x [ n − 1] + 0.675 x [ n − 2]

2. Step response: Fig. 2.28 (a).

3. Zero input response: Fig. 2.28 (b).

4. The outputs due to the sinusoidal inputs x1[n], x2[n], and x3[n]: Fig. 2.28 (c),

(d), and (e).

5. Fig. 2.28(f) shows the system output for the Intel stock price unit.

A comparison of peaks in Figs. 2.27 and 2.28 (f) Slightly delay!

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Weekly closing price of Intel

stock.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Illustration of the solution to Example 2.16.

(a) Step response of system.

(b) Output due to nonzero initial conditions with zero input.

(c) Output due to x1[n] = cos (1/10πn).

(d) Output due to x2[n] = cos (1/5πn).

(e) Output due to x3[n] = cos(7/10πn).

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Output associated with the

weekly closing price of Intel

stock.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.10 Solving Differential and Difference Equations

Complete solution: y = y (h) + y (p)

y (h) = homogeneous solution, y (p) = particular solution

2.10.1 The Homogeneous Solution

♣ Continuous-time case: N

d k ( h)

1. Homogeneous differential equation:

k =0 dt

∑

ak k y ( t ) = 0

2. Homogeneous solution:

N

Coefficients ci is

y (t) = ∑ c ierit

(h)

(2.41)

i=0

determined by I.C.

N

3. Characteristic eq.: ∑a r

k =0

k

k

=0 (2.42)

♣ Discrete-time case: N

1. Homogeneous differential equation: ∑ a y( ) [n − k ] = 0

k =0

k

h

2. Homogeneous solution:

N

Coefficients ci is

y [n] = ∑ c irin

(h)

(2.43)

i=1

determined by I.C.

N

3. Characteristic eq.: ∑a r

k =0

k

N−k

=0 (2.44)

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Linear Time-Invariant System

♣ If a root rj is repeated p times in characteristic eqs., the corresponding

solutions are

Continuous-time case: e j t , te j t , ..., t p −1e j t

r r r

Example 2.17 RC Circuit: Homogeneous Solution

The RC circuit depicted in Fig. 2.30 is described by the differential equation

d

y ( t ) + RC y (t ) = x (t )

dt

Determine the homogeneous solution of this equation.

<Sol.>

d

1. Homogeneous Eq.: y ( t ) + RC y (t ) = 0

dt

Figure 2.30 (p. 148)

2. Homo. Sol.: y (h)

( t ) = c1e r1t

V RC circuit.

4. Homogeneous solution: −t

y (h)

( t ) = c1e RC

V

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Linear Time-Invariant System

Example 2.18 First-Order Recursive System: Homogeneous Solution

Find the homogeneous solution for the first-order recursive system described

by the difference equation

y [ n ] − ρ y [ n − 1] = x [ n ]

<Sol.>

1. Homogeneous Eq.: y [ n ] − ρ y [ n − 1] = 0

2. Homo. Sol.:

y ( h ) [ n ] = c1r1n

3. Characteristic eq.: r1 − ρ = 0 r1 = ρ

4. Homogeneous solution:

y(

h)

[ n] = c1ρ n

2.10.2 The Particular Solution

A particular solution is usually obtained by assuming an output of the same

general form as the input.

Table 2.3

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Linear Time-Invariant System

Find a particular solution for the first-order recursive system described by the

difference equation

y [ n ] − ρ y [ n − 1] = x [ n ]

if the input is x[n] = (1/2)n.

<Sol.>

1. Particular solution form: y ( p ) [n] = c p ()

n

1

2

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Linear Time-Invariant System

Both sides of above eq. are

() () ()

n n −1 n

cp 1

2

− ρcp 1

2

= 1

2

multiplied by (1/2) −n

c p (1 − 2 ρ ) = 1 (2.45)

3. Particular solution:

n

1 ⎛1⎞

y( ) [ n] =

Figure 2.30 (p. 148)

p

⎜ ⎟

RC circuit.

1 − 2ρ ⎝ 2 ⎠

Example 2.20 RC Circuit (continued): Particular Solution

Consider the RC circuit of Example 2.17 and depicted in Fig. 2.30.

2.30 Find a

particular solution for this system with an input x(t) = cos(ω0t).

<Sol.>

d

1. Differential equation: y ( t ) + RC y (t ) = x (t )

dt

2. Particular solution form:

y ( p ) (t ) = c1 cos(ω t ) + c2 sin(ω t )

3. Substituting y(p)(t) and x(t) = cos(ω0t) into the given differential Eq.:

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Linear Time-Invariant System

c1 cos(ω t ) + c2 sin(ω t ) − RCω0c1 sin(ω0t ) + RCω0c2 cos(ω0t ) = cos(ω0t )

c1 + RCω 0c2 = 1

− RCω0c1 + c2 = 0

4. Coefficients c1 and c2:

1 RCω 0

c1 = and c2 =

1 + ( RCω 0 ) 1 + ( RCω 0 )

2 2

5. Particular solution:

1 RCω0

y( p) ( t ) = cos (ω 0t ) + sin (ω 0t ) V

1 + ( RCω 0 ) 1 + ( RCω 0 )

2 2

Complete solution: y = y (h) + y (p)

y (h) = homogeneous solution, y (p) = particular solution

The procedure for finding complete solution of differential or difference

equations is summarized as follows:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Procedure 2.3: Solving a Differential or Difference equation

1. Find the form of the homogeneous solution y(h) from the roots of the

characteristic equation.

2. Find a particular solution y(p) by assuming that it is of the same form as the

input, yet is independent of all terms in the homogeneous solution.

3. Determine the coefficients in the homogeneous solution so that the complete

solution y = y(h) + y(p) satisfies the initial conditions.

★ Note that the initial translation is needed in some cases.

Example 2.21 First-Order Recursive System (Continued): Complete Solution

Find the complete solution for the first-order recursive system described by

the difference equation

1

y[n] − y[n − 1] = x[n] (2.46)

4

if the input is x[n] = (1/2)n u[n] and the initial condition is y[ − 1] = 8.

<Sol.>

1. Homogeneous sol.: y ( h) [ n] = c1 1 ()

n

4

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Linear Time-Invariant System

2. Particular solution: 3. Complete solution:

n 1 1

⎛1⎞ y[n] = 2( )n + c1( )n

y [ n] = 2 ⎜ ⎟

( p)

2 4

(2.47)

⎝2⎠

4. Coefficient c1 determined by I.C.:

I.C.: y [ 0] = x [ 0] + 1 4 y [ −1] y [0] = x [0] + (1 4) × 8 = 3

We substitute y[0] = 3 into Eq. (2.47), yielding

0 0

⎛1⎞ ⎛1⎞

3 = 2 ⎜ ⎟ + c1 ⎜ ⎟ c1 = 1

⎝2⎠ ⎝4⎠

5. Final solution: n n

⎛1⎞ ⎛1⎞

y [ n] = 2 ⎜ ⎟ + ⎜ ⎟ for n ≥ 0

⎝2⎠ ⎝4⎠

Example 2.22 RC Circuit (continued): Complete Response

Find the complete response of the RC circuit depicted in Fig. 2.30 to an input

x(t) = cos(t)u(t) V, assuming normalized values R = 1 Ω and C = 1 F and

assuming that the initial voltage across the capacitor is y(0−) = 2 V.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

<Sol.> t

−

1. Homogeneous sol.: y (h)

( t ) = ce RC

V ω0 = 1

2. Particular solution:

1 RC

y ( p)

(t ) = cos ( t ) + sin ( t ) V

1 + ( RC ) 1 + ( RC )

2 2

3. Complete solution:

R = 1 Ω, C = 1 F

1 1

y ( t ) = ce− t + cos t + sin t V

2 2

4. Coefficient c1 determined by I.C.: y(0−) = y(0+)

+ 1 1 1

2 = ce −0 + cos 0+ + sin 0+ = c + c = 3/2

2 2 2

5. Final solution:

3 1 1

y ( t ) = e − t + cos t + sin t V

2 2 2

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Linear Time-Invariant System

Example 2.23 Financial Computations: Loan Repayment

The following difference equation describes the balance of a loan if x[n] < 0

represents the principal and interest payment made at the beginning of each

period and y[n] is the balance after the principal and interest payment is

credited. As before, if r % is the interest rate per period, then ρ = 1 + r/100.

y [ n ] = ρ y [ n − 1] + x [ n ]

Use the complete response of the first-order difference equation to find the

payment required to pay off a $20,000 loan in 10 periods. Assume equal

payments and a 10% interest rate.

<Sol.>

1. We have ρ = 1.1 and y[− 1] = 20,000, and we assume that x[n] = b is the

payment each period.

2. The first payment is made when n = 0. The loan balance is to be zero after 10

payments, thus we seek the payment b for which y[9] = 0.

3. Homogeneous sol.:

y ( h ) [ n ] = ch (1.1)

n

4. Particular solution:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

y(

p)

[ n] = c p

Substituting y(p)[n] = cp and x[n] = b into the difference equation y[n] − 1.1y[n − 1]

= x[n], we obtain

c p = −10b

3. Complete solution:

y[n] = ch (1.1)n − 10b, n ≥ 0 (2.48)

4. Coefficient ch determined by I.C.:

I.C.: y [ 0] = 1.1 y [ −1] + x [ 0] = 22, 000 + b

0

ch = 22,000 + 11b

Fig. 2.31.

y [ n ] = ( 22, 000 + 11b )(1.1) − 10b

n

5. Payment b: By setting y[9] = 0, we have 9

b= = −3, 254.91

0 = ( 22, 000 + 11b )(1.1) − 10b

9

11(1.1) − 10

9

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Balance on a $20,000 loan for Example 2.23. Assuming 10% interest per period, the loan is paid off with 10 payments of $3,254.91.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.11 Characteristics of Systems Described by Differential

and Difference Equations

Complete solution: y = y (n) + y (f)

y (n) = natural response, y (f) = forced response

2.11.1 The Natural Response

Example 2.24 RC Circuit (continued): Natural Response

The system In Example 2.17 is described by the differential equation

d

y ( t ) + RC y (t ) = x (t )

dt

Find the natural response of the this system, assuming that y(0) = 2 V, R = 1 Ω

and C = 1 F.

<Sol.>

y ( ) ( t ) = c1e− t V

h

1. Homogeneous sol.:

2. I.C.: y(0) = 2 V

y (n) (0) = 2 V c1 = 2

3. Natural Response: y(

n)

( t ) = 2e − t V

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Linear Time-Invariant System

Example 2.25 First-Order Recursive System (Continued): Natural Response

The system in Example 2.21 is described by the difference equation

1

y [ n ] − y [ n − 1] = x [ n ]

4

Find the natural response of this system.

<Sol.> −n

⎛ 1⎞

1. Homogeneous sol.: y [ n ] = c1 ⎜ ⎟

(h)

⎝4⎠

2. I.C.: y[− 1] = 8

−1

⎛1⎞

8 = c1 ⎜ ⎟ c1 = 2

⎝4⎠

3. Natural Response:

n

⎛1⎞ The forced response is valid only

y [ n ] = 2 ⎜ ⎟ , n ≥ −1

(n)

for t ≥ 0 or n ≥ 0

⎝4⎠

2.11.2 The Forced Response

The forced response is the system output due to the input signal assuming

zero initial conditions.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ The at-rest conditions for a discrete-time system, y[− N] = 0, …, y[− 1] = 0,

must be translated forward to times n = 0, 1, …, N − 1 before solving for the

undetermined coefficients, such as when one is determining the complete

solution.

Example 2.26 First-Order Recursive System (Continued): Forced Response

The system in Example 2.21 is described by the difference equation

1

y [n] − y [ n − 1] = x [ n ]

4

Find the forced response of this system if the input is x[n] = (1/2)n u[n].

<Sol.> n n

⎛ 1⎞ ⎛ 1⎞

1. Complete solution: y [ n ] = 2 ⎜ ⎟ + c1 ⎜ ⎟ , n ≥ 0

⎝2⎠ ⎝4⎠

2. I.C.: Translate the at-rest condition y[− 1] to time n = 0

1

y [0] = x [0] + y [ −1] y[0] = 1 + (1/4) × 0 =1

4

3. Finding c1: 0 0

⎛1⎞ ⎛1⎞

1 = 2 ⎜ ⎟ + c1 ⎜ ⎟ c1 = − 1

⎝2⎠ ⎝4⎠

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Linear Time-Invariant System

4. Forced response:

n n

⎛1⎞ ⎛1⎞

y( f ) [n] = 2 ⎜ ⎟ − ⎜ ⎟ , n ≥ 0

⎝2⎠ ⎝4⎠

Example 2.27 RC Circuit (continued): Forced Response

The system In Example 2.17 is described by the differential equation

d

y ( t ) + RC y ( t ) = x ( t )

dt

Find the forced response of the this system, assuming that x(t) = cos(t)u(t) V, R

= 1 Ω and C = 1 F.

From Example 2.22

<Sol.> 1 1

1. Complete solution: y ( t ) = ce + cos t + sin t V

−t

2 2

2. I.C.:

y(0−) = y(0+) = 0 c = − 1/2

3. Forced response:

1 −t 1 1

y(

f)

(t ) = − e + cos t + sin t V

2 2 2

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Linear Time-Invariant System

2.11.3 The Impulse Response

♣ Relation between step response and impulse response

1. Continuous-time case: 2. Discrete-time case:

d h [ n ] = s[n] − s[n − 1]

h( t ) = s(t )

dt

2.11.4 Linearity and Time Invariance

♣ Forced response ⇒ Linearity ♣ Natural response ⇒ Linearity

Input Forced response Initial Cond. Natural response

x1 y1(f) I1 y1(n)

x2 y2(f) I2 y2(n)

α x1 + β x2 αy1(f) + β y2 (f) α I1 + β I2 αy1(n) + β y2 (n)

♣ The complete response of an LTI system is not time invariant.

Response due to initial condition will not shift with a time shift of the

input.

2.11.5 Roots of the Characteristic Equation

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ Roots of characteristic equation

Forced response, natural response, stability, and response time.

★ BIBO Stable:

1. Discrete-time case: ri n bounded ri < 1, for all i

2. Continuous-time case: e i

rt

bounded ℜe{ri } < 0

ri = 1 and ℜe{ri } = 0 ⇒ The system is said to be on the verge of instability.

♣ A block diagram is an interconnection of the elementary operations that act

on the input signal.

♣ Three elementary operations for block diagram:

1. Scalar multiplication: y(t) = cx(t) or y[n] = cx[n], where c is a scalar.

2. Addition: y(t) = x(t) + w(t) or y[n] = x[n] + w[n].

3. Integration for continuous-time LTI system: t

y (t ) =

−∞

x (τ )dτ ∫

system: y[n] = x[n − 1].

Fig. 2.32.

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Linear Time-Invariant System

∫

t

y (t ) = ∫ x (τ )dτ

−∞

(a)

(c)

(b) Symbols for elementary operations in block diagram descriptions of systems. (a) Scalar multiplication. (b) Addition. (c)

Integration for continuous-time systems and time shifting for discrete-time systems.

♣ Direct Form I:

1. In dashed box:

w[n] = b0 x[n] + b1x[n − 1] + b2 x[n − 2] (2.49)

2. y[n] in terms of w[n]:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

y[n] = w[n] − a1y[n − 1] − a2 y[n − 2] (2.50)

3. System output y[n] in terms of input x[n]: Cascade Form

y[n] = −a1y[n − 1] − a2 y[n − 2] + b0 x[n] + b1x[n − 1] + b2 x[n − 2] (Direct Form I)

y[n] + a1y[n − 1] + a2 y[n − 2] = b0 x[n] + b1x[n − 1] + b2 x[n − 2] (2.51)

Figure 2.33

(p. 162)

Block diagram representation of a

discrete-time LTI system described

by a second-order difference

equation.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ Direct Form II:

1. Interchange the order of Direct Form I.

2. Denote the output of the new first system as f[n].

f[n] = −a1f[n − 1] − a2 f[n − 2] + x[n] (2.52) Input: x[n]

3. The signal is also the input to the second system. The output of the second

system is

y[n] = b0 f[n] + b1f[n − 1] + b2 f[n − 2] (2.53)

Fig. 2.35.

Direct form II representation of an LTI system described by a second-order

difference equation.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

♣ Block diagram representation for continuous-time LTI system:

1. Differential Eq.:

N

dk M

dk

∑

k =0

ak k y(t) =∑ bk k x(t) (2.54)

dt k =0 dt

2. Let v(0)(t) = v(t) be an arbitrary signal, and set

(n)

( t ) = ∫−∞ν ( n −1) (τ )dτ ,

t

ν n = 1, 2, 3, ...

v(n)(t) is the n-fold integral of v(t) with respect to time

3. Integrator with initial condition:

(n)

( t ) = ∫0 ν ( n −1) (τ )dτ + ν ( n ) ( 0 ) ,

t

ν n = 1, 2, 3, ...

d (n)

ν ( t ) = ν ( n −1) ( t ) , t > 0 and n = 1, 2, 3, ...

dt Block diagram:

N M Fig. 2.37

∑ ak y (t) =∑ bk x

(N − k )

(N−k )

(t) (2.55)

k =0 k =0 (2.56)

Ex. Second-order system: y(t) = −a1y(1) (t) − a0 y(2) (t) + b2 x(t) + b1x(1) (t) + b0 x(2) (t)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

∫ ∫

Figure 2.37 (p. 166)

Block diagram representations of a continuous-time LTI

system described by a second-order integral equation. (a)

Direct form I. (b) Direct form II.

∫ ∫

(a)

(b)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.13 State-Variable Description of LTI Systems

♣ The state of a system may be defined as a minimal set of signals that

represent the system’s entire memory of the past.

Given initial point ni (or ti) and the input for time n ≥ ni (or t ≥ ti), we can

determine the output for all times n ≥ ni (or t ≥ ti).

2.13.1 The State-Variable Description

1. Direct form II of a second-order LTI system: Fig. 2.39.

2. Choose state variables: q1[n] and q2[n].

3. State equation:

q1[n + 1] = −a1q1[n] − a2q2 [n] + x[n] (2.57)

q2 [n + 1] = q1[n] (2.58)

4. Output equation:

y[n] = x[n] − a1q1[n] − a2q2 [n] + b1q1[n] + b2q2 [n],

y[n] = (b1 − a1 )q1[n] + (b2 − a2 )q2 [n] + x[n] (2.59)

5. Matrix Form of state equation: ⎡ q [n + 1] ⎤ ⎡ −a −a ⎤ ⎡ q [n] ⎤ ⎡ 1⎤

⎢q [n + 1]⎥ = ⎢ 1 ⎥ + ⎢0 ⎥ x[n]

1 1 2 1

⎥ ⎢ (2.60)

⎣ 2 ⎦ ⎣ 0 ⎦⎣ 2 ⎦ ⎣ ⎦

q [n]

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Direct form II representation of a second-order discrete-time LTI system depicting state variables q1[n] and q2[n].

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

6. Matrix form of output equation:

⎡ q1[n] ⎤

y[n] = [b1 − a1 b2 − a2 ] ⎢ ⎥ + [1]x[n] (2.61)

⎣ 2 ⎦

q [n]

Define state vector as the column vector

⎡ q [n] ⎤

q[n] = ⎢ 1 ⎥

⎣q2 [n]⎦

We can rewrite Eqs. (2.60) and (2.61) as

q[n + 1] = Aq[n] + bx[n] (2.62)

y[n] = cq[n] + Dx[n] (2.63)

where matrix A, vectors b and c, and scalar D are given by

⎛ − a1 − a2 ⎞ ⎡1 ⎤

A=⎜ ⎟ b=⎢ ⎥ c = [ b1 − a1 b2 − a2 ] D =1

⎝ 1 0 ⎠ ⎣0 ⎦

Example 2.28 State-Variable Description of a Second-Order System

Find the state-variable description corresponding to the system depicted in

Fig. 2.40 by choosing the state variable to be the outputs of the unit delays.

<Sol.>

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Block diagram of LTI system for Example 2.28.

1. State equation:

q1 [ n + 1] = α q1 [ n ] + δ1 x [ n ]

q2 [ n + 1] = γ q1 [ n ] + β q2 [ n ] + δ 2 x [ n ]

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2. Output equation:

y [ n ] = η1q1 [ n ] + η2 q2 [ n ]

3. Define state vector as

⎡ q1 [ n ] ⎤

q[ n ] = ⎢ ⎥

⎣ 2 ⎦

q [ n ]

In standard form of dynamic equation:

q[n + 1] = Aq[n] + bx[n] (2.62)

y[n] = cq[n] + Dx[n] (2.63)

⎡α 0⎤ ⎡δ1 ⎤

A=⎢ b=⎢ ⎥ c = [η1 η2 ] D = [ 2]

⎣γ β ⎥⎦ ⎣δ 2 ⎦

♣ State-variable description for continuous-time systems:

d

q(t) = Aq(t) + bx(t) (2.64)

dt

y(t) = cq(t) + Dx(t) (2.65)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Example 2.29 State-Variable Description of an Electrical Circuit

Consider the electrical circuit depicted in Fig. 2.42.

2.42 Derive a state-variable

description of this system if the input is the applied voltage x(t) and the output

is the current y(t) through the resistor.

<Sol.>

Circuit diagram of LTI system for Example 2.29.

each capacitor.

2. KVL Eq. for the loop involving x(t), R1, and C1:

x ( t ) = y ( t ) R1 + q1 ( t ) Output equation

1 1

y(t) = − q1(t) + x(t) (2.66)

R1 R1

3. KVL Eq. for the loop involving C1, R2, and C2:

q1 ( t ) = R2i2 (t ) + q2 (t )

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

1 1

i2 (t) = q1(t) − q2 (t) (2.67)

R2 R2 Use Eq. (2.67) to eliminate i2(t)

4. The current i2(t) through R2:

d 1 1

q2 ( t ) =

d

i2 ( t ) = C2 q2 (t ) q1 (t ) − q2 (t ) (2.68)

dt dt C2 R2 C2 R2

5. KCL Eq. between R1 and R2:

y ( t ) = i1 ( t ) + i2 ( t ) Current through C1 = i1(t)

where d

i1 ( t ) = C1 q1 ( t )

dt

d ⎛ 1 1 ⎞ 1 1

q1 ( t ) = − ⎜ + ⎟ 1

q ( t ) + q2 ( t ) + x (t ) (2.69)

dt ⎝ C1R1 C2 R2 ⎠ C1R2 C1R1

◆ Eqs. (2.66), (2.68), and (2.69) = State-Variable Description.

d

q(t) = Aq(t) + bx(t) (2.64)

dt

y(t) = cq(t) + Dx(t) (2.65)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

⎡ ⎛ 1 1 ⎞ 1 ⎤

⎢− ⎜ + ⎟ ⎥ ⎡ 1 ⎤

⎡ 1 ⎤

A=⎢ ⎝ 1 1

C R C1R2 ⎠ C1R2 ⎥

, b = ⎢ C1R1 ⎥

1

c = ⎢− 0 ⎥ , and D =

⎢ 1 1 ⎥ ⎢ ⎥ ⎣ R1 ⎦ R1

⎢ − ⎥ ⎢⎣ 0 ⎥⎦

⎣ C2 R2 C2 R2 ⎦

Example 2.30 State-Variable Description from a Block Diagram

Determine the state-variable description corresponding to the block diagram in

Fig. 2.44.

2.44 The choice of the state variables is indicated on the diagram.

∫ ∫

Block diagram of LTI system for Example 2.30.

<Sol.>

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

1. State equation: 3. State-variable description:

d

q1 ( t ) = 2q1 ( t ) − q2 ( t ) + x ( t ) ⎡ 2 −1⎤ ⎡1 ⎤

dt A=⎢ ⎥ , b = ⎢ ⎥,

⎣1 0 ⎦ ⎣0 ⎦

d

q2 ( t ) = q1 ( t ) c = [3 1], D = [0]

dt

2. Output equation:

y ( t ) = 3q1 ( t ) + q2 ( t )

2.13.2 Transformations of The State

The transformation is accomplished by defining a new set of state variables

that are a weighted sum of the original ones.

The input-output characteristic of the system is not changed.

1. Original state-variable description:

q& = Aq + bx (2.70)

y = cq + Dx T = state-transformation matrix

(2.71)

2. Transformation: q’ = Tq q = T−1 q’

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

3. New state-variable description:

q& ′ = Tq&

& ′ = TAq + Tbx.

1) State equation: q

q& ′ = TAT−1q′ + Tbx. q = T−1 q’

2) Output equation:

y = cT−1q + Dx.

3) If we set

A′ = TAT−1 , b′ = Tb, c′ = cT−1 , and D′ = D

then

q& ′ = A ′q + b′x and y = c′q + D′x

Ex. Consider Example 2.30 again. Let us define new states

q2′ (t ) = q1 (t ) and q1′(t ) = q2 (t )

Find the state-variable description.

<Sol.>

d d

1. State equation: q1 (t ) = 2q1 (t ) − q2 (t ) + x (t ) ⇒ q2′ (t ) = 2q2′ (t ) − q1′(t ) + x (t )

dt

144444244444

3 dt

14444 4244444 3

old description New description

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

d d 3. State-variable description:

q2 (t ) = q1 (t ) ⇒ q1′(t ) = q2′ (t )

dt 4244 dt 4244 ⎡ 0 1⎤ ⎡0 ⎤

14 3 14 3 ′

A =⎢ ⎥, ′

b = ⎢ ⎥,

Old description New description

⎣ − 1 2 ⎦ ⎣1 ⎦

c′ = [1 3], D′ = [ 0 ] .

2. Output equation:

y = 3q1 (t ) + q2 (t ) ⇒ y = 3q2′ (t ) + q1′(t )

1442443 1442443

Old description New description

A discrete-time system has the state-variable description

1 ⎡ −1 4 ⎤ ⎡2⎤ 1

A= ⎢ ⎥ , b = ⎢ ⎥, c = [1 1] , and D = 2.

10 ⎣ 4 −1⎦ ⎣4⎦ 2

Find the state-variable description A′, b′, c′, D′ corresponding to the new states

q1′[n] = − 12 q1[n] + 12 q2 [n] and q2′ [n] = 12 q1[ n] + 12 q2 [n]

<Sol.>

1. Transformation: q′ = Tq, where

1 ⎡ −1 1⎤

T= ⎢ ⎥ .

2 ⎣ 1 1⎦

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

⎡ −1 1⎤

T−1 = ⎢ ⎥ .

⎣ 1 1⎦

2. New state-variable description:

⎡ − 12 0⎤ ⎡1 ⎤

A′ = ⎢ ⎥, b′ = ⎢ ⎥ , c′ = [0 1] , and D′ = 2.

⎣3⎦

3

⎢⎣ 0 10 ⎥

⎦

♣ This choice for T results in A′ being a diagonal matrix and thus separates

the state update into the two decoupled first-order difference equations

1 3

q1 [ n + 1] = − q1 [ n ] + x [ n ] and q2 [ n + 1] = q2 [ n ] + 3 x [ n ]

2 10

2.14 Exploring Concepts with MATLAB

♣ Two limitations:

1. MATLAB is not easily used in the continuous-time case.

2. Finite memory or storage capacity and nonzero computation times.

♣ Both the MATLAB Signal Processing Toolbox and Control System Toolbox

are use in this section.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.14.1 Convolution x and h are signal vectors.

1. MATLAB command: y = conv(x, h)

2. The number of elements in y is given by the sum of the number of elements in

x and h, minus one.

<pf.>

1) Elements in vector x: from time n = kx to n = lx

2) Elements in vector h: from time n = kh to n = lh

3) Elements in vector y: from time n = ky = kx + kh to n = ly = lx + ly

4) The length of x[n] and h[n] are Lx = lx − kx + 1 and Lh = lh − kh +1

5) The length of y[n] is Ly = Lx + Lh − 1

Ex. Repeat Example 2.1

Impulse and Input : From time n = kh = kx = 0 to n = lh = 1 and n = lx =2

Convolution sum: From time n = ky = kx + kh = 0 to n = ly = lx + lh = 3

The length of convolution sum: Ly = ly – ky + 1 = 4

MATLAB Program: >> h = [1, 0.5]; y=

>> x = [2, 4, -2];

>> y = conv(x,h) 2 5 0 -1

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Find the convolution sum x[n] ∗ h[n].

<Sol.>

1. In this case, kh = 0, lh = 3, kx = 0 and lx = 9

2. y starts at time n = ky = 0, ends at time n = ly =12, and has length Ly = 13.

3. Generation for vector h with MATLAB:

>> h = 0.25*ones(1, 4);

>> x = ones(1, 10);

4. Output and its plot:

>> n = 0:12;

>> y = conv(x, h);

>> stem(n, y); xlabel('n'); ylabel('y[n]')

Fig. 2.45.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Convolution sum computed using MATLAB.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.14.2 The Step Response

1. Step response = the output of a system in response to a step input

2. In general, step response is infinite in duration.

3. We can evaluate the first p values of the step response using the conv

function if h[n] = 0 for n < kh by convolving the first p values of h[n] with a

finite-duration step of length p.

1) Vector h = the first p nonzero values of the impulse response.

2) Define step: u = ones(1, p).

3) convolution: s = conv(u, h).

Ex. Repeat Problem 2.12

Determine the first 50 values of the step response of the system with impulse

response given by

h [ n] = ( ρ ) u [ n]

n

<Sol.>

1. MATLAB Commands:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

>> h = (-0.9).^[0:49];

>> u = ones(1, 50);

>> s = conv(u, h);

>> stem([0:49], s(1:50))

2. Step response: Fig. 2.47.

Step response computed using MATLAB.

N M

1. Difference equation:

∑ a y[n − k] =∑ b x[n − k]

k =0

k

k =0

k (2.36) Command:

filter

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2. Procedure:

1) Define vectors a = [a0, a1, …, aN] and b =[b0, b1, …, bM] representing the

coefficients of Eq. (2.36).

2) Input vector: x

3) y = filter(b, a, x) results in a vector y representing the output of the system

for zero initial conditions.

4) y = filter(b, a, x, zi) results in a vector y representing the output of the

system for nonzero initial conditions zi.

♣ The initial conditions used by filter are not the past values of the output.

♣ Command zi = filtic(b, a, yi), where yi is a vector containing the initial

conditions in the order [y[−1], y[−2], …, y[−N]], generates the initial

conditions obtained from the knowledge of the past outputs.

Ex. Repeat Example 2.16

The system of interest is described by the difference equation

y[ n] −1.143y [ n − 1] + 0.4128 y [ n − 2] = 0.0675x[ n] + 0.1349x[ n − 1] + 0.675x[ n − 2]

Determine the output in response to zero input and initial condition (2.73)

y[−1] = 1 and y[−2] = 2.

<Sol.>

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

1. MATLAB Program:

>> a = [1, -1.143, 0.4128]; b = [0.0675, 0.1349, 0.675];

>> x = zeros(1, 50); 0.5

>> zi = filtic(b, a, [1, 2]);

>> y = filter(b, a, x, zi); 0.4

>> stem(y)

2. Output: Fig. 2.28(b). 0.3

3. System response to an

0.2

input consisting of the

Intel stock price data

0.1

Intc:

>> load Intc; 0

>> filtintc = filter(b, a, Intc);

-0.1

♣ We have assume that the

Intel stock price data are

-0.2

in the file Intc.mat. 0 10 20 30 40 50

♣ The command [h, t] = impz(b, a, n) evaluates n values of the impulse response

of a system described by a different equation.

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.14.4 State-Variable Descriptions

♣ MATLAB command: ss Representing the matices A,b,c, and D.

1. Input MATLAB arrays: a, b, c, d

2. Command: sys = ss(a, b, c, d, -1) produces an LTI object sys that represents

the discrete-time system in state-variable form.

★ Continuous-time case: sys = ss(a, b, c, d)

No − 1

♣ System manipulation:

1. sys = sys1 + sys2 Parallel combination of sys1 and sys2.

2. sys = sys1 ∗ sys2 Cascade combination of sys1 and sys2.

♣ MATLAB command: lsim

1. Command form: y = lsim(sys, x)

2. Output = y, input = x.

♣ MATLAB command: impulse

1. Command form: h = impulse(sys, N)

2. This command places the first N values of the impulse response in h.

♣ MATLAB routine: ss2ss Perform the state transformation

1. Command form: sysT = ss2ss(sys, T), where T = Transformation matrix

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Ex. Repeat Example 2.31.

1. Original state-variable description:

1 ⎡ −1 4 ⎤ ⎡2⎤ 1

A= ⎢ ⎥ , b = ⎢ ⎥, c= [1 1], and D = 2,

10 ⎣ 4 −1⎦ ⎣4⎦ 2

2. State-transformation matrix:

1 ⎡ −1 1⎤

T= ⎢ ⎥ .

2 ⎣ 1 1⎦

3. MATLAB Program:

>> a = [-0.1, 0.4; 0.4, -0.1]; b = [2; 4];

>> c = [0.5, 0.5]; d = 2;

>> sys = ss(a, b, c, d, -1); % define the state-space object sys

>> T = 0.5*[-1, 1; 1, 1];

>> sysT = ss2ss(sys, T)

4. Result:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

a= b=

x1 x2 u1 c= d=

x1 -0.5 0 x1 1 x1 x2 u1

x2 0 0.3 x2 3 y1 0 1 y1 2

Sampling time: unspecified

Discrete-time model.

Ex. Verify that the two systems represented by sys and sysT have identical

input-output characteristic by comparing their impulse responses .

<Sol.>

1. MATLAB Program: >> h = impulse(sys, 10); hT = impulse(sysT, 10);

>> subplot(2, 1, 1)

>> stem([0:9], h)

>> title ('Original System Impulse Response');

>> xlabel('Time'); ylabel('Amplitude')

>> subplot(2, 1, 2)

>> stem([0:9], hT)

>> title('Transformed System Impulse Response');

>> xlabel('Time'); ylabel('Amplitude')

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

Original System Impulse Response

2. Simulation results: 3

Fig. 2.48.

♣ We may verify that 2

Amplitude

the original and

transformed systems

1

have the (numerically)

identical impulse

response by computing 0

0 2 4 6 8 10

the error, err = h – hT. Time

Transformed System Impulse Response

3

2

Amplitude

Figure 2.48

(p. 181)

Impulse responses associated with the original 1

and transformed state-variable descriptions

computer using MATLAB.

0

0 2 4 6 8 10

Time

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

-17

x 10

1

-1

Amplitude err

-2

-3

-4

-5

-6

0 2 4 6 8 10

Time

Plot for err = h − hT

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

:

:

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.2 The convolution sum

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

x[n ] → x[k ]

h[n ] → h[k ] → h[−k ] → h[n − k ]

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

Linear Time-Invariant System

2.3 Convolution Sum Evaluation Procedure

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

on Imaging Processing (I)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

on Imaging Processing (I)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

on Imaging Processing (II)

Laplacian Operator

Laplacian operator is an

isotropic filter (rotation

invariant)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

on Imaging Processing (II)

g(x,y)

Signals and Systems, 2/E by Simon Haykin and Barry Van Veen

on Imaging Processing (II)

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