Estimated mean squared error for adaptive filters
The mean squared error (MSE) measures the average of the squares of the errors between the desired signal and the primary signal input to the adaptive filter. Reducing this error converges the primary input to the desired signal. Determine the predicted value of MSE and the simulated value of MSE at each time instant using the msepred
and msesim
functions. Compare these MSE values with each other and with respect to the minimum MSE and steady-state MSE values. In addition, compute the sum of the squares of the coefficient errors given by the trace of the coefficient covariance matrix.
Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x)
becomes step(obj,x)
.
Initialization
Create a dsp.FIRFilter
System object™ that represents the unknown system. Pass the signal, x
, to the FIR filter. The output of the unknown system is the desired signal, d
, which is the sum of the output of the unknown system (FIR filter) and an additive noise signal, n
.
num = fir1(31,0.5); fir = dsp.FIRFilter('Numerator',num); iir = dsp.IIRFilter('Numerator',sqrt(0.75),... 'Denominator',[1 -0.5]); x = iir(sign(randn(2000,25))); n = 0.1*randn(size(x)); d = fir(x) + n;
LMS Filter
Create a dsp.LMSFilter
System object to create a filter that adapts to output the desired signal. Set the length of the adaptive filter to 32 taps, step size to 0.008, and the decimation factor for analysis and simulation to 5. The variable simmse
represents the simulated MSE between the output of the unknown system, d
, and the output of the adaptive filter. The variable mse
gives the corresponding predicted value.
l = 32; mu = 0.008; m = 5; lms = dsp.LMSFilter('Length',l,'StepSize',mu); [mmse,emse,meanW,mse,traceK] = msepred(lms,x,d,m); [simmse,meanWsim,Wsim,traceKsim] = msesim(lms,x,d,m);
Plot the MSE Results
Compare the values of simulated MSE, predicted MSE, minimum MSE, and the final MSE. The final MSE value is given by the sum of minimum MSE and excess MSE.
nn = m:m:size(x,1); semilogy(nn,simmse,[0 size(x,1)],[(emse+mmse)... (emse+mmse)],nn,mse,[0 size(x,1)],[mmse mmse]) title('Mean Squared Error Performance') axis([0 size(x,1) 0.001 10]) legend('MSE (Sim.)','Final MSE','MSE','Min. MSE') xlabel('Time Index') ylabel('Squared Error Value')
The predicted MSE follows the same trajectory as the simulated MSE. Both these trajectories converge with the steady-state (final) MSE.
Plot the Coefficient Trajectories
meanWsim
is the mean value of the simulated coefficients given by msesim
. meanW
is the mean value of the predicted coefficients given by msepred
.
Compare the simulated and predicted mean values of LMS filter coefficients 12,13,14, and 15.
plot(nn,meanWsim(:,12),'b',nn,meanW(:,12),'r',nn,... meanWsim(:,13:15),'b',nn,meanW(:,13:15),'r') PlotTitle ={'Average Coefficient Trajectories for';... 'W(12), W(13), W(14), and W(15)'}
PlotTitle = 2x1 cell
{'Average Coefficient Trajectories for'}
{'W(12), W(13), W(14), and W(15)' }
title(PlotTitle) legend('Simulation','Theory') xlabel('Time Index') ylabel('Coefficient Value')
In steady state, both the trajectories converge.
Sum of Squared Coefficient Errors
Compare the sum of the squared coefficient errors given by msepred
and msesim
. These values are given by the trace of the coefficient covariance matrix.
semilogy(nn,traceKsim,nn,traceK,'r') title('Sum-of-Squared Coefficient Errors') axis([0 size(x,1) 0.0001 1]) legend('Simulation','Theory') xlabel('Time Index') ylabel('Squared Error Value')
Identify an unknown system by performing active noise control using a filtered-x LMS algorithm. The objective of the adaptive filter is to minimize the error signal between the output of the adaptive filter and the output of the unknown system (or the system to be identified). Once the error signal is minimal, the unknown system converges to the adaptive filter.
Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step syntax. For example, obj(x)
becomes step(obj,x)
.
Initialization
Create a dsp.FIRFilter
System object that represents the system to be identified. Pass the signal, x
, to the FIR filter. The output of the unknown system is the desired signal, d
, which is the sum of the output of the unknown system (FIR filter) and an additive noise signal, n
.
num = fir1(31,0.5); fir = dsp.FIRFilter('Numerator',num); iir = dsp.IIRFilter('Numerator',sqrt(0.75),... 'Denominator',[1 -0.5]); x = iir(sign(randn(2000,25))); n = 0.1*randn(size(x)); d = fir(x) + n;
Adaptive Filter
Create a dsp.FilteredXLMSFilter
System object to create an adaptive filter that uses the filtered-x LMS algorithm. Set the length of the adaptive filter to 32 taps, step size to 0.008, and the decimation factor for analysis and simulation to 5. The variable simmse
represents the error between the output of the unknown system, d
, and the output of the adaptive filter.
l = 32; mu = 0.008; m = 5; fxlms = dsp.FilteredXLMSFilter(l,'StepSize',mu); [simmse,meanWsim,Wsim,traceKsim] = msesim(fxlms,x,d,m); plot(m*(1:length(simmse)),10*log10(simmse)) xlabel('Iteration') ylabel('MSE (dB)') title('Learning curve for Filtered-x LMS filter used in system identification')
With each iteration of adaptation, the value of simmse
decreases to a minimal value, indicating that the unknown system has converged to the adaptive filter.
Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step
syntax. For example, obj(x)
becomes step(obj,x)
.
ha = fir1(31,0.5); fir = dsp.FIRFilter('Numerator',ha); % FIR system to be identified iir = dsp.IIRFilter('Numerator',sqrt(0.75),... 'Denominator',[1 -0.5]); x = iir(sign(randn(2000,25))); n = 0.1*randn(size(x)); % Observation noise signal d = fir(x)+n; % Desired signal l = 32; % Filter length m = 5; % Decimation factor for analysis % and simulation results ha = dsp.AdaptiveLatticeFilter(l); [simmse,meanWsim,Wsim,traceKsim] = msesim(ha,x,d,m); plot(m*(1:length(simmse)),10*log10(simmse)); xlabel('Iteration'); ylabel('MSE (dB)'); title('Learning curve for Adaptive Lattice filter used in system identification')
Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step
syntax. For example, obj(x)
becomes step(obj,x)
.
fir = fir1(31,0.5); firFilter = dsp.FIRFilter('Numerator',fir); % FIR system to be identified iirFilter = dsp.IIRFilter('Numerator',sqrt(0.75),... 'Denominator',[1 -0.5]); x = iirFilter(sign(randn(2000,25))); n = 0.1*randn(size(x)); % Observation noise signal d = firFilter(x)+n; % Desired signal l = 32; % Filter length mu = 0.008; % Block LMS Step size. m = 32; % Decimation factor for analysis % and simulation results fir = dsp.BlockLMSFilter(l,'StepSize',mu); [simmse,meanWsim,Wsim,traceKsim] = msesim(fir,x,d,m); plot(m*(1:length(simmse)),10*log10(simmse)); xlabel('Iteration'); ylabel('MSE (dB)'); title('Learning curve for block LMS filter used in system identification')
Note: If you are using R2016a or an earlier release, replace each call to the object with the equivalent step
syntax. For example, obj(x)
becomes step(obj,x)
.
ha = fir1(31,0.5); fir = dsp.FIRFilter('Numerator',ha); % FIR system to be identified iir = dsp.IIRFilter('Numerator',sqrt(0.75),... 'Denominator',[1 -0.5]); x = iir(sign(randn(2000,25))); n = 0.1*randn(size(x)); % Observation noise signal d = fir(x)+n; % Desired signal l = 32; % Filter length mu = 0.008; % Affine Projection filter Step size. m = 5; % Decimation factor for analysis % and simulation results apf = dsp.AffineProjectionFilter(l,'StepSize',mu); [simmse,meanWsim,Wsim,traceKsim] = msesim(apf,x,d,m); plot(m*(1:length(simmse)),10*log10(simmse)); xlabel('Iteration'); ylabel('MSE (dB)'); title('Learning curve for Affine Projection filter used in system identification')
adaptFilt
— Adaptive filter System object™Adaptive filter, specified as one of the following System objects:
x
— Input signalInput signal, specified as a scalar, column vector, or matrix. Columns of
the matrix x
contain individual input signal sequences.
The input, x
, and the desired signal,
d
, must have the same size and data type.
If adaptFilt
is a dsp.BlockLMSFilter
object, the
input signal frame size must be greater than or equal to the value you
specify in the BlockSize
property of the object.
Data Types: single
| double
d
— Desired signalDesired response signal, specified as a scalar, column vector, or matrix.
Columns of the matrix d
contain individual desired
signal sequences. The input, x
, and the desired signal,
d
, must have the same size and the data
type.
If adaptFilt
is a dsp.BlockLMSFilter
System object, the desired signal frame size must be greater than or equal
to the value you specify in the BlockSize
property of
the object.
Data Types: single
| double
m
— Decimation factor1
(default) | positive scalarDecimation factor, specified as a positive scalar. Every
m
th value of the estimated sequences is saved into
the corresponding output arguments, mse
,
meanw
, w
, and
tracek
. If m
equals 1, every
value of these sequences is saved.
If adaptFilt
is a dsp.BlockLMSFilter
System object, the decimation factor must be a multiple of the value you
specify in the BlockSize
property of the object.
Data Types: single
| double
| int8
| int16
| int32
| int64
| uint8
| uint16
| uint32
| uint64
| logical
mse
— Sequence of mean squared errorsEstimates of the mean squared error of the adaptive filter at each time instant, returned as a column vector.
If the adaptive filter is dsp.BlockLMSFilter
and the
decimation factor m
is specified, length of
mse
equals floor(M/m).
M is the frame size (number of rows) of the input
signal, x
. If m
is not specified,
the length of mse
equals floor(M/B),
where B is the value you specify in the
BlockSize
property of the object. The input signal
frame size must be greater than or equal to the value you specify in the
BlockSize
property of the object. The decimation
factor, if specified, must be a multiple of the
BlockSize
property.
For the other adaptive filters, if the decimation factor,
m
= 1, the length of mse
equals the frame size of the input signal. If m
> 1,
the length of mse
equals
floor(M/m).
Data Types: double
meanw
— Sequence of coefficient vector meansSequence of coefficient vector means of the adaptive filter at each time instant, estimated as a matrix. The columns of this matrix contain estimates of the mean values of the adaptive filter coefficients at each time instant.
If the adaptive filter is dsp.BlockLMSFilter
and the
decimation factor m
is specified, the dimensions of
meanw
is
floor(M/m)-by-N.
M is the frame size (number of rows) of the input
signal, x
. N is the length of the
filter weights vector, specified by the Length
property
of the adaptive filter. If m
is not specified, the
dimensions of meanw
is
floor(M/B)-by-N, where
B is the value you specify in the
BlockSize
property of the object. The input signal
frame size must be greater than or equal to the value you specify in the
BlockSize
property of the object. The decimation
factor, if specified, must be a multiple of the
BlockSize
property.
For the other adaptive filters, If the decimation factor,
m
= 1, the dimensions of meanw
is M-by-N. If m
>
1, the dimensions of meanw
is
floor(M/m)-by-N.
Data Types: double
w
— Final values of adaptive filter coefficientsFinal values of the adaptive filter coefficients for the algorithm
corresponding to adaptFilt
, returned as a row vector. The
length of the row vector equals the value you specify in the
Length
property of the object.
Data Types: single
| double
tracek
— Sequence of total coefficient error powersSequence of total coefficient error powers, estimated as a column vector. This column vector contains estimates of the total coefficient error power of the adaptive filter at each time instant.
If the adaptive filter is dsp.BlockLMSFilter
and the
decimation factor m
is specified, length of
tracek
equals floor(M/m).
M is the frame size (number of rows) of the input
signal, x
. If m
is not specified,
the length of tracek
equals
floor(M/B), where B is the value
you specify in the BlockSize
property of the object.
The input signal frame size must be greater than or equal to the value you
specify in the BlockSize
property of the object. The
decimation factor, if specified, must be a multiple of the
BlockSize
property.
For the other adaptive filters, if the decimation factor,
m
= 1, the length of tracek
equals the frame size of the input signal. If m
> 1,
the length of tracek
equals
floor(M/m).
Data Types: double
[1] Hayes, M.H. Statistical Digital Signal Processing and Modeling. New York: John Wiley & Sons, 1996.
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