Modeling, Estimation and Optimal Filtering in Signal Processing

Mohamed Najim
Copyright 0 2008, ISTE Ltd.

Appendix F

The Schur-Cohn Algorithm

In this appendix, our aim is to present the Schur-Cohn algorithm [1] which is
often used as a criterion for testing the stability of bounded-input bounded-output
systems [2].

To simplify the description of this algorithm, we first take up the analysis

of the stability domain of a 2nd-order transfer function. This particular case
leads to a simplification of the stability criteria imposed on the denominator of
the transfer function. Unfortunately, it cannot be applied to transfer functions
of an order greater than 2. We also present the Schur-Cohn stability algorithm
based on the transfer function of an all-pass filter, allowing us to establish
equivalence relation between the Schur coefficients and the reflection
coefficients.

Let there be a second-order transfer function defined as follows:

1  b1 z 1  b2 z 2 N 2 z 
H 2 z  [F.1]
1  a1 z 1
 a2 z 2 D2 z 

1  b1 z 1  b2 z 2
The poles of H 2 z 
1  p z 1  p z  are equal to:
1
1
2
1

1ª 1ª
p1  a1  a12  4a 2 º and p 2  a1  a12  4a 2 º [F.2]
2 «¬ »¼ 2 «¬ »¼
362 Modeling, Estimation and Optimal Filtering in Signal Processing

and its zeros are defined as follows:

1ª 1ª
z1  b1  b12  4b2 º and z 2  b1  b12  4b2 º [F.3]
2 «¬ »¼ 2 «¬ »¼

Depending on the values taken by a1 and a 2 , the poles can be real or

complex. For example, when a12  4a 2 , the poles are complex conjugates of
each other. Otherwise, they are real. To ensure stability, the poles of the
transfer function must be located within the unit circle in the z-plane, i.e.:

p1  1 and p2  1 [F.4]

This constraint implies that the following two inequalities are satisfied:

a2 p1 p 2 d p1 p 2  1 [F.5]

and:

a1 d 1  a 2 [F.6]

Relations [F.5] and [F.6] make it possible to define a triangle in the

( a1 , a 2 ) plane where the filter is stable and which is called the stability
triangle. This triangle depicted in Figure F.1. is a simple tool for testing the
stability as it is based on the values of the filter’s coefficients.
 Appendices 363

Figure F.1. The stability triangle

Application of the stability triangle

Let there be a pth-order transfer function defined as follows:

N p z 
H p z  [F.7]
D p z 

– 1  pi z 1 .
p p p
where D p z  1  ¦ a ip z i ¦ a ip z i
i 1 a0p 1 i 0 i 1

The first condition required for the stability is expressed in terms of a pp :

p
a pp  1 p – p i  1 since p i  1  i 1,.., p [F.8]
i 1

In the rest of this stability test, we will take k p a pp and assume that the first
condition [F.8] is satisfied. Let us develop the transfer function of a pth-order
all-pass filter using D p z  .

~
~
D p z  ¦ a ppi z i
H p z  i 0
[F.9]
D p z  p

¦ a ip z i
i 0
364 Modeling, Estimation and Optimal Filtering in Signal Processing

~
Furthermore, we define H p 1 z  as follows:

~ ~
~ H p z   k p H p z   a pp
H p 1 z  z ~ z ~
1  k p H p z  1  a pp H p z 
[F.10]
(a pp1  a pp a1p )  (a pp 2  a pp a 2p ) z 1  ...  (1  (a pp ) 2 ) z  p 1
(1  (a pp ) 2 )  ...  (a pp 2  a pp a 2p ) z  p  2  (a pp1  a pp a1p ) z  p 1

Note 1:
~
We note that H p 1 z  is also an all-pass filter of order p-1, and its expression
can be simplified by imposing:

(a ip  a pp a ppi ) 1 kp
a ip 1 a ip  a ppi  i 1,.., p  1 [F.11]
(1  (a pp ) 2 ) (1  k 2p ) (1  k p2 )

Thus, we have:

~ a pp11 z 1  ...  a1p 1 z  p  2  z  p 1

H p 1 z  [F.12]
1  a1p 1 z 1  ...  a pp12 z  p  2  a pp11 z  p 1

~
From equation [F.10], we note that the poles of H p 1 z  , ~
pi , are such that:

~
1  a pp H p  ~
pi  0 [F.13]

Thus, taking equation [F.8] into account, we obtain:

~
H p ~
pi  ! 1 [F.14]

~
We now show that satisfying the assertions “ H p z  is the transfer function of a
~
stable all-pass filter” and “ k p2  1 ” is equivalent to saying that “ H p 1 z  is stable”.

~
To do this, we first show that if “ H p z  is the transfer function of a stable all-
~
pass filter” and “ k p2  1 ”, then “ H p 1 z  is the transfer function of a stable all-pass
filter”.
 Appendices 365

We can easily show that any given all-pass function G z  satisfies the following
properties:

­ G z   1 if z ! 1
°
® G z  1 if z 1 [F.15]
° G z  ! 1 if z  1
¯
~
Consequently, if H p z  is in fact the transfer function of a stable all-pass filter,
~
H p ~
pi  ! 1 when ~ pi  1 . However, from equation [F.14], we see that
~ ~
H p ~
p i  ! 1 . Therefore, the poles ~
pi of H p 1 z  lie inside the unit circle in the
~
z-plane and H p 1 z  is stable.

~
Let us now assume that H p 1 z  is the transfer function of a stable all-pass filter
~
and that k p2  1 . Let us take up equation [F.10] and express H p z  as a function of
~
H p 1 z  . We thus obtain:

~
~ k p  z 1 H p 1 z 
H p z  ~ [F.16]
1  k p z 1 H p 1 z 

~
If O0 is a pole of H p z  , it must verify:

~
k p H p 1 O0  O 0 [F.17]

As k p2  1 , we get:

~
H p 1 O 0  ! O 0 [F.18]

~
Since H p 1 z  is the transfer function of a stable all-pass filter, equation [F.15]
gives us:
~
H p 1 z   1 if z ! 1 [F.19]
366 Modeling, Estimation and Optimal Filtering in Signal Processing

~
H p 1 z  1 if z 1 [F.20]

~
H p 1 z  ! 1 if z  1 [F.21]

Condition [F.18] contradicts [F.19], but is in agreement with [F.21].

~
Consequently, O 0  1 and H p z  is stable.

~
Using the same development as presented above, we can define H p  2 z  in
~ ~ ~
terms of H p 1 z  , then define H p 3 z  in terms of H p  2 z  , and so on, until we
~
obtain H 0 z  1 . At each successive step, we test the value of k p 1 , then k p  2 , and
~
so on. The Schur stability criterion states that H p z  is stable if k i2  1 for all
values of i.

Let us now look at the correspondence between Schur coefficients and reflection
coefficients.

Let us take equation [F.11]:

(a ip  a pp a ppi ) 1 kp
a ip 1 a ip  a ppi  i 1,.., P  1 [F.11]
(1  (a pp ) 2 ) (1  k p2 ) (1  k 2p )

and write it in a matrix form, taking into account that k p a pp and a 0p a 0p 1 1 :

ª a 0p 1 º ª a 0p º ª a pp º
« » « » « »
« # » 1 « # » kp « # » [F.22]

«a » (1  k p2 ) «« a p 1 »» (1  k 2p ) «a »
p  1 p p
« p 1 » « 1p »
¬« 0 ¼» «¬ a pp »¼ ¬« a 0 ¼»

Let us compare this matrix with equation [2.90], obtained using the Levinson
algorithm, into which we integrate a 0p a 0p 1 1 :
 Appendices 367

ª a 0p º ª a 0p 1 º ª 0 º
« p » « p 1 » « a p 1 »
« a1 » « a1 » « p 1 »
« # » « # » Up« # » [F.23]
« p 1 » « p 1 » « p 1 »
«a p » « a p 1 » « a1 »
« p » « 0 » «¬ 1 »¼
¬« a p ¼» ¬ ¼

The following polynomial is associated with the vector

>
a 0p a1p " a pp1 a pp
T
@:
p
D p z  ¦ aip z i
i 0

Thus, we can associate the following polynomial with the vector

>a p
p a pp1 " a1p a 0p @:
T

 
p
¦ a ppi z i z  p D p z 1
i 0

The Schur-Cohn algorithm is written as follows:

ª 1 kp º
«  »
ª D p 1 z  º 2
« (1  k p ) (1  k p2 ) » ª D p z  º
«  p 1
«¬ z  
D p 1 z 1
»
»¼
«
«
kp
z
1
z » «¬ p  
» « z  p D z 1 »
»¼
[F.24]
2 2
«¬ (1  k p ) (1  k p ) »¼

while the expression for the Levinson algorithm satisfies:

ª D p z  º ª 1 U p z 1 º ª D p 1 z  º
« p
 
1 »
¬« z D p z »¼
«
«¬ U p z 1 » «  p 1
»¼ ¬« z   »
D p 1 z 1 ¼»
[F.25]

We note that the matrices in equations [F.24] and [F.25] are the inverses of one
another. Thus, we have:
368 Modeling, Estimation and Optimal Filtering in Signal Processing

ª 1 kp º
«  »
2
« (1  k p ) (1  k p2 ) » ª 1 U p z 1 º ª1 0º
« kp 1 » «U z 1 » «0 1 » [F.26]
« z z » «¬ p »¼ ¬ ¼
«¬ (1  k p2 ) 2
(1  k p ) »¼

so:

kp Up [F.27]

This proves the equivalence between the Schur coefficients and the reflection
coefficients.

References

[1] T. Kailath, “A Theorem of I. Schur and its Impact on Modern Signal Processing”,
Operator Theory: Advances and Applications (I. Schur Methods in Operator Theory and
Signal Processing), 18, pp. 9-30, Birkhauser, 1986.
[2] S. K. Mitra, Digital Signal Processing – a Computer Based Approach, 3rd edition,
McGraw-Hill, 2006.