Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

Least square deconvolution

This example illustrates devonvolution using least squares
Ivan Selesnick
selesi@poly.edu

Contents
Start
Create data
Output data
Convolution matrix H
Direct solve (fails)
Diagonal loading (noise-free)
Diagonal loading (noisy)
Derivative regularization (noisy)
Start
clear
close all

Create data
N = 300;
n = (0:N-1)';

% n : discrete-time index

w = 5;
n1 = 70;
n2 = 130;
x = 2.1 * exp(-0.5*((n-n1)/w).^2) - 0.5*exp(-0.5*((n-n2)/w).^2).*(n2 - n);
h = n .* (0.9 .^n) .* sin(0.2*pi*n);

% x : input

% h : impulse response

figure(1)
clf
subplot(2, 1, 1)
plot(x)
title('Input signal');
YL1 = [-2 3];
ylim(YL1);
subplot(2, 1, 2)
plot(h)
title('Impulse response');

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Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

Output data
randn('state', 0);

% Set state for reproducibility

y = conv(h, x);
y = y(1:N);

% y : output signal (noise-free)

yn = y + 0.2 * randn(N, 1);

% yn : output signal (noisy)

figure(2)
clf
subplot(2, 1, 1)
plot(y);
YL2 = [-7 13];
ylim(YL2);
title('Output signal');
subplot(2, 1, 2)
plot(yn);
title('Output signal (noisy)');
ylim(YL2);

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2015-11-15, 10:55 PM

Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

Convolution matrix H
Create convolution matrix H and verify that H*x is the same as y
H = convmtx(h, N);
H = H(1:N, :);

% H : convolution matrix

% Verify that H*x is the same as y

e = y - H * x;
% should be zero
max(abs(e))

ans =
0

Direct solve (fails)

Attempting to solve H*x = y leads to a solution of all NaN's (not a number)
g = H \ y;
%

H is singular

Warning: Matrix is singular to working precision.

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Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

g(1:10)

ans =
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN

Diagonal loading (noise-free)

Diagonal overcomes the singularity of H.
lam = 0.1;
g = (H'*H + lam * eye(N)) \ (H' * y);
figure(1)
clf
subplot(2, 1, 1)
plot(y);
YL2 = [-7 13];
ylim(YL2);
title('Output signal (noise-free)');
subplot(2, 1, 2)
plot(g)
ylim(YL1);
title(sprintf('Deconvolution (diagonal loading, \\lambda = %.2f)', lam));

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2015-11-15, 10:55 PM

Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

Diagonal loading (noisy)

lam = 0.1;
g = (H'*H + lam * eye(N)) \ (H' * yn);
figure(1)
clf
subplot(2, 1, 1)
plot(yn);
title('Output signal (noisy)');
ylim(YL2);
subplot(2, 1, 2)
plot(g)
title(sprintf('Deconvolution (diagonal loading, \\lambda = %.2f)', lam));

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2015-11-15, 10:55 PM

Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

lam = 1.0;
g = (H'*H + lam * eye(N)) \ (H' * yn);
figure(2)
clf
subplot(2, 1, 1)
plot(g)
ylim(YL1)
title(sprintf('Deconvolution (diagonal loading, \\lambda = %.2f)', lam));
lam = 5.0;
g = (H'*H + lam * eye(N)) \ (H' * yn);
subplot(2, 1, 2)
plot(g)
ylim(YL1)
title(sprintf('Deconvolution (diagonal loading, \\lambda = %.2f)', lam));

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Least square deconvolution

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

Derivative regularization (noisy)

e = ones(N, 1);
D = spdiags([e -2*e e], 0:2, N-2, N);

% second-order difference

First corner of D
full(D(1:5, 1:5))

ans =
1
0
0
0
0

-2
1
0
0
0

1
-2
1
0
0

0
1
-2
1
0

0
0
1
-2
1

Last corner of D
full(D(end-4:end, end-4:end))

ans =
1
-2

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0
1

0
0

0
0

0
0

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Least square deconvolution

1
0
0

-2
1
0

http://eeweb.poly.edu/iselesni/lecture_notes/least_squares/Lea...

1
-2
1

0
1
-2

0
0
1

Solve least squares problem

lam = 2.0;
g = (H'*H + lam * (D'*D)) \ (H' * yn);
figure(1)
clf
subplot(2, 1, 1)
plot(yn);
title('Output signal (noisy)');
ylim(YL2);
subplot(2, 1, 2)
plot(g)
title(sprintf('Deconvolution (derivative regularization, \\lambda = %.2f)', lam));

Published with MATLAB 7.8

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