Theory of Stochastic Signals/Wiener–Kolmogorow Filter

1. Theory of Stochastic Signals
2. Filtering of Stochastic Signals
3. Wiener–Kolmogorow Filter

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Optimization criterion of the Wiener-Kolmogorow filter

As another example of optimal filtering, we now consider the task of reconstructing as well as possible the shape of an useful signal  $s(t)$  from the reception signal  $r(t)$,  which is disturbed by additive noise  $n(t)$,  in terms of the  mean square error  (MSE):

$${\rm{MSE}} = \mathop {\lim }\limits_{T_{\rm M} \to \infty } \frac{1}{{T_{\rm M} }}\int_{ - T_{\rm M} /2}^{+T_{\rm M} /2} {\left| {d(t) - s(t)} \right|^2 \, {\rm{d}}t} \mathop = \limits^! {\rm{Minimum}}.$$

The filter is named after its inventors  Norbert Wiener  and  Andrei Nikolajewitsch Kolmogorow.  We denote the corresponding frequency response by  $H_{\rm WF}(f).$

Derivation of the Wiener filter

The following conditions apply to this optimization task:

• The signal  $s(t)$  to be reconstructed is the result of a random process  $\{s(t)\}$, of which only the statistical properties are known in the form of the power-spectral density  ${\it Φ}_s(f)$. 
• The interference signal  $n(t)$  is given by the PSD  ${\it Φ}_n(f)$.  Correlations between the useful and interference signals are accounted for by the  cross-power density spectra  ${\it Φ}_{sn}(f) = \hspace{0.1cm} –{ {\it Φ}_{ns} }^∗(f)$. 
• The output signal of the sought filter is denoted by  $d(t)$,  which should differ as little as possible from  $s(t)$  according to the MSE.   $T_{\rm M}$  again denotes the measurement duration.

Let the signal  $s(t)$  be mean-free  $(m_s = 0)$  and power-limited.  This means:   The signal energy  $E_s$  is infinite due to the infinite extension of the signal   $s(t)$  and the signal power has a finite value:

$$P_s = \mathop {\lim }\limits_{T_{\rm M} \to \infty } \frac{1}{{T_{\rm M} }}\int_{ - T_{\rm M} /2}^{+T_{\rm M} /2} |{s(t)|^2 \, {\rm{d}}t > 0.}$$

• A fundamental difference with the matched filter task is the stochastic and power-limited useful signal  $s(t)$.
• Let us recall:   In the matched filter, the signal  $g(t)$  to be reconstructed was deterministic, limited in time and thus also energy-limited.

Result of the filter optimization

$\text{Here without proof:}$  The  transmission function of the optimal filter  can be determined by the so-called  Wiener-Hopf integral equation,  and is:

$$H_{\rm WF} (f) = \frac{{ {\it \Phi }_s (f) + {\it \Phi }_{ns} (f)} }{ { {\it \Phi }_s (f) + {\it \Phi }_{sn} (f) + {\it \Phi }_{ns} (f) + {\it \Phi }_n (f)}}.$$

• A. Kolmogorow  and  N. Wiener  independently solved this optimization problem almost at the same time.
• The index "WF" stands for Wiener filter and unfortunately does not reveal the merits of Kolmogorov.
• The derivation of this result is not trivial and can be found for example in  [Hän97]. 

The mathematical derivation of the equation is omitted.  Rather, this filter shall be clarified and interpreted in the following on the basis of some special cases.

• If signal and disturbance are uncorrelated   ⇒   ${\it Φ}_{sn}(f) = {\it Φ}_{ns}(f) = 0$, the above equation simplifies as follows:

$$H_{\rm WF} (f) = \frac{{ {\it \Phi }_s (f) }}{{ {\it \Phi }_s (f) + {\it \Phi }_n (f) }} = \frac{1}{{1 + {\it \Phi }_n (f) / {\it \Phi }_s (f) }}.$$

• The filter then acts as a frequency-dependent divider, with the divider ratio determined by the power-spectral densities of the useful signal and the interference signal.
• The "passband" is predominantly at the frequencies where the useful signal has much larger components than the interference:

$${\it Φ}_s(f) \gg {\it Φ}_n(f).$$

• The  mean square error  (MSE) between the filter output signal  $d(t)$  and the input signal  $s(t)$  is

$${\rm MSE} = \int\limits_{ - \infty }^{ + \infty } {\frac{{ {\it \Phi }_s (f) \cdot {\it \Phi }_n (f)}}{{ {\it \Phi }_s(f) + {\it \Phi }_n (f)}}\,{\rm{d}}f = \int\limits_{ - \infty }^{ + \infty } {H_{\rm WF} (f) \cdot {\it \Phi }_n (f)}\, {\rm{d}}f.}$$

Interpretation of the Wiener filter

Now we will illustrate the Wiener-Kolmogorov filter with two examples.

$\text{Example 1:}$  To illustrate the Wiener filter, we consider as a limiting case a transmission signal  $s(t)$  with the power-spectral density  ${\it Φ}_s(f) = P_{\rm S} · δ(f ± f_{\rm S}).$

• Thus, it is known that  $s(t)$  is a harmonic oscillation with frequency  $f_{\rm S}$. 
• On the other hand, the amplitude and phase of the current sample function  $s(t)$ are unknown.

With white noise   ⇒   ${\it Φ}_n(f) = N_0/2$   the frequency response of the Wiener filter is thus:

$$H_{\rm WF} (f) = \frac{1}{ {1 +({N_0 /2})/{\big[ P_{\rm S} \cdot\delta ( {f \pm f_{\rm S} } \big ]} })}.$$

• For all frequencies except  $f = ±f_{\rm S}$,    $H_{\rm WF}(f) = 0$ is obtained, since here the denominator becomes infinitely large.
• If we further consider that  $δ(f = ±f_{\rm S})$  is infinitely large at the point  $f = ±f_{\rm S}$,  we further obtain  $H_{\rm MF}(f = ±f_{\rm S} ) = 1. $
• Thus, the optimal filter is a bandpass around  $f_{\rm S}$  with infinitesimally small bandwidth.
• The mean square error between the transmitted signal  $s(t)$  and the filter output signal  $d(t)$  is

$${\rm{MSE} } = \int_{ - \infty }^{ + \infty } {H_{\rm WF} (f) \cdot {\it \Phi_n} (f) \,{\rm{d} }f = \mathop {\lim }\limits_{\varepsilon \hspace{0.03cm} {\rm > \hspace{0.03cm}0,}\;\;\varepsilon \hspace{0.03cm} \to \hspace{0.03cm}\rm 0 } }\hspace{0.1cm} \int_{f_{\rm S} - \varepsilon }^{f_{\rm S} + \varepsilon }\hspace{-0.3cm} {N_0 }\,\,{\rm{d} }f = 0.$$

• This infinitely narrow bandpass filter would allow complete regeneration of the harmonics in terms of amplitude and phase, given the assumptions made.  Thus, regardless of the magnitude of the interference  $(N_0)$,    $d(t) = s(t)$  would apply.
• However, an infinitely narrow filter is not feasible.  With finite bandwidth  $Δf$,  the mean square error is ${\rm MSE} = N_0 · Δf$.

This example has dealt with a special case where the best possible result  $\rm MSE = 0$  would be possible, at least theoretically.  The following example makes more realistic assumptions and gives the result  $\rm MSE > 0$.

$\text{Example 2:}$  Now consider a  stochastic rectangular binary signal  $s(t)$, additively overlaid by white noise  $n(t)$. 

Signals at the Wiener filter

The diagram contains the following plots:

• At the top, the sum signal  $r(t) = s(t) + n(t)$  is shown in gray for  ${\it Φ}_0/N_0 = 5$,  where  ${\it Φ}_0$  denotes the energy of a single pulse and  $N_0$  indicates the power density of the white noise. The useful signal  $s(t)$  is drawn in blue.
• In the center of the figure, the power-spectral densities  ${\it Φ}_s(f)$  and  ${\it Φ}_n(f)$  are sketched in blue and red, respectively, and given in terms of formulas.  The resulting frequency response  $H_{\rm WF}(f)$ is drawn in green.
• The lower figure shows the output signal  $d(t)$  of the Wiener filter as a gray curve in comparison to the transmitted signal  $s(t)$ drawn in blue.  Ideally,  $d(t) = s(t)$  should be valid.

The bottom plot shows:

(1)   The mean square error (MSE) is obtained by comparing the signals  $d(t)$  and  $s(t)$.

(2)   Numerical evaluation showed  $\rm MSE$  to be about  $11\%$  of the useful power  $P_{\rm S} $.

(3)   The signal  $d(t)$  predominantly lacks the higher frequency signal components  (i.e. the jumps).

(4)   These components are filtered out in favor of a better noise suppression of these frequencies.

Under these conditions, no other filter yields a smaller (mean square) error than the Wiener filter.

Its frequency response (green curve) is as follows:

$$H_{\rm WF} (f) = \frac{1}{ {1 + ({N_0 /2})/( {\it \Phi}_0 \cdot {\rm si^2} ( \pi f T )})} \hspace{0.15cm} .$$

From the central plot you can see further:

• The DC signal transfer factor here results in  $H_{\rm WF}(f = 0) = {\it Φ}_0/({\it Φ}_0 + N_0/2) = 10/11.$
• For multiples of the symbol repetition rate  $1/T$, where the stochastic useful signal  $s(t)$  has no spectral components,  $H_{\rm WF}(f) = 0$.
• The more useful signal components are present at a certain frequency, the more permeable the Wiener filter is at this frequency.

Exercise for the chapter

Exercise 5.9: Minimization of the MSE